Find answers to your questions about Quantitative Finance or help others by answering their Quantitative Finance questions.
Studying asset pricing, I often hear the terms cashflow risk and discount risk but I'm not sure what they mean? The Campbell/Shiller (1988) decomposition includes cashflows (future dividends) and discount...
Asked on 10/27/2021
2 answerIn finance models that use historical returns for inputs, including option pricing models, forecasting and portfolio optimization, only the statistical moments of the returns distribution, $mu$ and $sigma$...
Asked on 10/27/2021
1 answerI am looking for free historical intraday data (e.g., 30 mins, 1 hour) and I have came up to this website finam.ru, which is in Russian but it can be...
Asked on 10/27/2021 by Jack_T
1 answerI am modeling a portfolio of correlated assets whose lack of liquidity can be reasonably described by a Markov-switching model. That is, not only is movement size among assets correlated,...
Asked on 10/27/2021 by CasusBelli
0 answer98% of the initial reference value is .98 x 267.88 dollars,...
Asked on 10/27/2021 by Derek Shen
2 answerAssume standard Black-Scholes model,$$dS(t)=S(t)(rdt+sigma dW(t))$$where $sigma$ is a constant and $W(t)$ is a Brownian motion under the risk neutral measure.A call option is replicable,...
Asked on 10/27/2021
2 answerThis is somewhat of a broad question, but I think we all would like to find signals that predict something in the future. However, often times, we are just...
Asked on 10/26/2021
0 answerI want to evaluate and optimize an algorithmic trading system.For this I want to follow a step by step approach - first looking at the entry, later at other...
Asked on 10/26/2021 by Claudia Rosso
2 answerThe generalized Black Scholes Model refers to a stock dynamic that satisfy $$dS(t)=S(t)(mu_t dt+ sigma_t dW(t))$$ By martingale representation theorem, it seems that if there is a...
Asked on 10/26/2021 by Preston Lui
1 answerThis is somewhat non-technical question, but it seems like this forum is still the best place for it. I'm reading Shleifer's Inefficient Markets, where he points out that [...] for...
Asked on 03/11/2021 by lithium123
1 answerGet help from others!
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