Questions tagged [quant-trading-strategies]

Question 1

Given assumptions around transaction costs (e.g., slippage, fees), and potentially downsampled tick or bar data, how can we derive the minimum holding period required for a strategy to be viable — ...

Question 2

I am currently looking for some comprehensive books on commodities, particularly focusing on the power market. My goal is to better understand the various financial products involved, their pricing ...

Question 3

Suppose you have $100 But you invest 10% of in in each investment with payoffs (multipliers). that are as follows; 1, 0.9, 2 Investing 10% into 1: ...

Question 4

I have recently read the paper "Gamma Exposure (GEX), Quantifying hedge rebalancing in SPX options" by SqueezeMetrics (2017) and tried to implement it for NSE Nifty50 weekly options. The ...

Question 5

I am wondering how it work in big firms like Citadel Securities in market-making and HFT teams. You have a lot of different pods, and the number of markets where you can operate is small. Hence ...

Question 6

I am wondering how PFOF (Payment For Order Flow) works and why people say that hedge funds make wider spread using PFOF. If a client sends an order A then the broker is going to redirect that order to ...

Question 7

A task I'm working on has the following problem definition: There are 2 provided time-series, an exchange rate (exch_rate) and a tradeable rate (executable_rate). You can assume that the ...

Question 8

I am trying to improve a regular vol-control for a personal project based on t-2 ewma or std vol as it does not really perform any better in sharpe ratio than it's benchmark (S&P500). I am ...

Question 9

I have trained a GARCH(1,1) model that does a decent job of forecasting volatility (for real-world stock price time-series). For "known" events such as earnings announcements one can ignore ...

Question 10

When doing MM people in the industry say that most of the time they have a signal, which give them a faire value of the instrument and they quote around that. For RFQ it makes sense since there's no ...

Question 11

A lot of people working in the finance industry are saying that what makes finance hard is that the signal to noise ratio (SNR) is extremely low. I don't get what is precisely meant by that. How are ...

Question 12

I have a strategy that works in the backtests.. but it seems to me that it is not working in the real world.. Here is how i have backtested the strategy: I apply a specific strategy on all the stocks ...

Question 13

When it comes to trading strategies I get the feeling that whenever I read about a strategy in a book or when I have view, all of that is already priced in and does not make a case for a good trading ...

Question 14

I am evaluating the cumulative % return on a trading strategy that requires constant rebalance / scaling, but find it difficult to arrive at an intuitive and sensible method. Daily PnL & % Return ...

Question 15

When comparing realized swap rate volatility and implied ATM swaption volatilities, should one expect the shape across tenors of the implied volatility to be reflected in the realized and their level? ...

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Questions tagged [quant-trading-strategies]

How can we determine the minimum viable holding period given granular data and transaction costs?

Power market books for Quantitative Finance

Compounding with fixed fraction of bankroll [closed]

Gamma Exposure Options, is it of any value?

Concurrent algo

PFOF how it works

Understanding Exchange Rate and Tradeable Rate in trading task

Ideas of vol-control mechanism to improve sharpe

Volatility forecasting in presence of jumps

Quoting around fair value

What is the precise meaning of signal and noise in finance

Strategy works on backtest, but doesnt seems to work in the real world

What is not priced in - Trading Strategies

How to calculate cumulative percentage return on a changing base

Shape and level of swap rate historical volatility VS swaption implied volatility

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