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I wish to map and display the Support/Resistance lines (i.e. SMA20_daily) of ES onto NQ graph as I think they are mutually effecting each other, how may I achieve this?...
Asked on 02/04/2021 by rc76
1 answerTake $x_1, x_2, ldots, x_T$ to be the price of a stock, indexed by $t=1, 2, ldots, T$. Define rate of return at time $t>W$ for a...
Asked on 02/03/2021 by Vivek Subramanian
0 answerI just read that SABR model is a stochastic volatility model, which attempts to capture the volatility smile in derivatives markets. The name stands for "stochastic alpha, beta, rho", referring...
Asked on 01/25/2021 by user330060
3 answerLet's say there's a sample stock, XYZ, that trades on NYSE (or maybe NASDAQ). I can look at the historical data for it (from any number of websites) to...
Asked on 01/23/2021 by dirtside
3 answerI've developed some software which generates sets of trades, and I'd like to backtest those trades. My software currently outputs a CSV file with details of each trade:2011-03-31,MSFT,Buy,1002011-04-02,AAPL,Buy,502011-05-10,MSFT,Sell,100Is there...
Asked on 01/20/2021 by dordal
5 answerIs there any good variance reduction technique to price with MC deep OTM and short tenor options under Local Volatility? Can importance sampling be used? I couldn’t find any reference...
Asked on 01/17/2021 by ffbzona
0 answerin the context of my dissertation I am working on high frequency trading and would like to investigate its effects on the German stock market. For this purpose I will...
Asked on 01/15/2021 by user49942
0 answerI tried manually calculating Bloomberg's historical beta based on the historical spread of SPY and equity price data, but I couldn't get the same result. I read ...
Asked on 01/08/2021 by Friedrich
0 answerI downloaded the bid-ask spread from Bloomberg, but did not check how they calculate them.Is it only the ask minus bid price or is it weighted in a way?...
Asked on 01/07/2021 by user45980
1 answerBinomial trees as the number of time steps is increased (or equivalently as the time step tends to 0), converge to the exact value for an option.So why do...
Asked on 01/03/2021
2 answerGet help from others!
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