Quantitative Finance Weekly Newsletter - Thursday, October 20, 2016

Quantitative Finance newsletter

Top new questions this week: Maximum Certainty Equivalent Portfolio with Transaction Costs Out of curiosity I tried to compute the portfolio weights of a maximum certainty equivalent allocation, however, by incorporating (quadratic) transaction costs. However, my result is not as intuitive ... portfolio-management optimization modern-portfolio-theory portfolio-optimization   asked by muffin1974 5 votes answered by chrisi 5 votes Python Backtesting Framework Similar to Quantstrat I use Quantstrat heavily for strategy research and optimisation. I have two Python developers about to join my team and would like to use it as an opportunity to diversify our research tools so we are ... backtesting futures python   asked by Ed Wilson 4 votes Baxter & Rennie HJM: differentiating Ito integral From Baxter and Rennie, page 138: $$f(t,T)=\sigma W_t+f(0,T)+\int_0^t\alpha(s,T)ds$$ $$Z_t=\exp-\bigg(\sigma(T-t)W_t+\sigma\int_0^tW_sds+\int_0^Tf(0,u)du+\int_0^t\int_s^T\alpha(s,u)ds\bigg)$$ ... stochastic-calculus itos-lemma heath-jarrow-morton   asked by none 4 votes answered by Quantuple 6 votes Black-Scholes call option formula, which probability measure The stock and bond under the Black-Scholes framework, no dividends: $$S_t=S_0e^{\sigma W_t+\mu t}=S_0e^{\sigma \tilde{W}_t +(r-\frac{1}{2}\sigma^2)t}$$ $$B_t=e^{rt}$$ where $\tilde{W}_t$ is ... black-scholes call radon-nikodym   asked by none 3 votes answered by Behrouz Maleki 4 votes Measurable effects of quantitative easing on corporate financing cost I have read about Quantitative Easing (QE) and its attempt to bring back inflation. In this, central banks create money, then give it to other banks that buy government bonds, corporate bonds, and ... macro-economics   asked by Marie. P. 2 votes Brazilian break even inflation Brazil has had historically two sets of inflation bonds, the NTN-B and NTN-C series each with a different inflation index. The NTN-C is no longer issued. When creating historical BEI curves for ... fixed-income inflation   asked by pyCthon 1 vote Valuating Prepayment on Loans- Which models are favorable? I have some trouble in choosing the right method/model for the valuation a prepayment option on a loan (in General). So far I had some ideas about valuatiing it via a simple PV-method but there ... option-pricing spread-options   asked by Kosta S. 1 vote answered by Jose Pedro Melo 0 votes Greatest hits from previous weeks: How can I go about applying machine learning algorithms to stock markets? I am not very sure, if this question fits in here. I have recently begun, reading and learning about machine learning. Can someone throw some light onto how to go about it or rather can anyone share ... machine-learning prediction mathematics   asked by zubinmehta 93 votes answered by Shane 116 votes Relationship between Beta and Standard Deviation I was doing some financial analysis on two firms in the coffee industry. After calculating Beta and Standard Deviation for both firms, I seem to have stumbled on some weird phenomenon. It appears ... volatility beta standard-deviation   asked by James 2 votes answered by vonjd 1 vote Can you answer these? Finding a market the admits strong arbitrage but does admit an inconsistent pricing strategy Background Information: A weak arbitrage is a self-financing strategy $\phi$ such that $$V_0(\phi) = 0, \ \ V_T(\phi)\geq 0$$ and $$\mu(V_T(\phi) > 0) > 0 \ \text{i.e.}\ V_T(\phi) \geq 0.$$ A ... modern-portfolio-theory mathematics finance-mathematics   asked by Wolfy 1 vote Method to establish relationship of two intraday variables with increase in sampling time frequency I have y (dependent variable) and x (independent variable) for n firms. Both y and x have values estimated at three or more different sampling time frequencies in a day (e.g. 1 hour, 2 hour, and so). ... r regression high-frequency intraday   asked by runjumpfly 1 vote Basel Basic CVA Approach Model Foundations I am working on CVA (credit valuation adjustments). The Basel committee released consultative document reviewing the CVA Risk Framework 'Review of the Credit Valuation Adjustment Risk Framework ... models cva basel   asked by Thomas DB 1 vote

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