Quantitative Finance Weekly Newsletter - Thursday, July 31, 2014

Quantitative Finance newsletter

Top new questions this week: Strictly local martingales: what is the intuition behind them? A process $X_t$ is a local martingale if for each increasing sequence of stopping times $\{\tau_k,k=1,2,...\}$ the stopped process is a martingale. All true martingales are local martingales, but the … stochastic-processes simulations martingale sde   asked by Kiwiakos 6 votes answered by emcor 1 vote Why are we obsessed over normalizing financial data? I have recently began work on some high frequency financial tick data. I have been told to 'normalize' the data as much as possible and run linear regressions through them. In fact, the data doesn't … equities statistics high-frequency   asked by evilbiscuit 5 votes answered by jamos125 3 votes Looking for Research Paper on Creation of Currency Baskets I came across a paper, not sure it originated from academia or a blog or such, that reported on applying principal components to build currency baskets from a set of individual currency pairs and to … fx pca currency basket   asked by Matt Wolf 5 votes answered by rupweb 0 votes Why is the equity premium not arbitraged away? The Equity Risk Premium Puzzle concerns the observation that equity returns are generally greater than bond returns. The puzzle is well known and widely studied, what is keeping investors from … equities fixed-income   asked by A.L. Verminburger 5 votes answered by Bob Jansen 5 votes Heat/Diffusion Equation Iam working on a problem where I have successfully reduced a version of Black Scholes to the Heat Equation and then shown the solution to be: … black-scholes-pde proof   asked by UnknownUser 4 votes answered by Gordon 3 votes law of one price, understanding[basic question] I am reading about mathematical finance, and I was tipsed to ask the quesiton on this site. It is about the "law of one price". Just first I'll make precise the model my book uses: I have a single … arbitrage models market no-arbitrage-theory   asked by user119615 3 votes answered by user2383408 0 votes Brownian Bridge's first passage time distribution Let's say we have a Brownian Bridge $Y_{b,T}(t)$ such that $Y_{b,T}(0)=0$, $Y_{b,T}(T)=b$. Let's say we are interested in the first passage time of $Y_{b,T}(t)$ at level $b$: $\tau_b = \{\min \tau; … brownian-motion distribution   asked by athos 3 votes answered by Kiwiakos 1 vote Greatest hits from previous weeks: What data sources are available online? What sources of financial and economic data are available online? Which ones are free or cheap? What has your experience been like with these data sources? data finance economics   asked by John Smith 128 votes answered by Andy Nguyen 100 votes Is there any thing out there as a substitute for KDB? thanks a lot for your discussions on the original post. following your suggestions, let me re-phrase a bit : kdb is known for its efficiency, and such efficiency comes at a terrible price. However, … programming database   asked by Fenix Chen 9 votes answered by thomas - discretelogics 6 votes Can you answer these? Underlying changes impact on implied volatility What are some valid techniques that can be used to simulate how changes in the underlying are most likely to impact implied volatility along with the skew of all strikes for options with the same … options option-pricing implied-volatility   asked by user3803295 1 vote Cross-sectional volatility vs temporal volatility Volatility is usually defined as the standard deviation of returns, but sometimes it is calculated as the standard deviation of cross-sectional return divided by the square root of time, where other … volatility fixed-income   asked by Sam Li 2 votes Inflation-Linked Bonds & Asset Swap Spreads I am trying to plot the asset swap spreads of government inflation-linked bonds (ILBs) versus the asset swap spread of government nominal (plain-vanilla) reference bonds. I used the article in the … swaps   asked by Nick 3 votes

Subscribe to more Stack Exchange newsletters Unsubscribe from this newsletter or change your email preferences by visiting your subscriptions page on stackexchange.com. Questions? Comments? Let us know on our feedback site. If you no longer want to receive mail from Stack Exchange, unsubscribe from all stackexchange.com emails. Stack Exchange, Inc. 110 William St, 28th Floor, NY NY 10038 <3