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Quantitative Finance

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Sharpe Ratio can be turned into a convex function. And information ratio as well. Supppose I add these ratios as follows: (SR + 3 IR ) / 2 Can this function transfer into convex? How should I do it?
andy's user avatar
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2 votes
1 answer
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I have the question connected with ARFIMA-GARCH models. I have a time series for which I want to calibrate best model (p,q)-(P, Q) (via BIC) with $ p,q <= 4, P,Q <=2$. GARCH part can be "...
Dmitriy's user avatar
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I will restate here a problem that I am finding a bit difficult to solve and I have already posted here. I summarized the problem as it follows. From Albert S. Kyle's 1989 model. Suppose that the are ...
Oliver Queen's user avatar
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A quant interview problem: We have $2n$ identical size balls containing $n$ colors. For each color there are two balls, one ball is heavy and the other is light. All heavy balls weigh the same. All ...
Xu Shan's user avatar
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I'm reading Grinold & Kahn (2000) for the proof of the Fundamental Law of Active Management. I can't understand formula (6A.20) on page 168, which says: Finally, by assuming that all the signals ...
Gödel's user avatar
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Is there any consensus on what is the price behavior in presence of informed trading? Can we observe in retrospect any anomaly in the time series of prices of realized transactions, or transformations ...
Mr Frog's user avatar
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This is throwing me for a loop. in regards to this passage, does the M^L represent to perform this sum over every "overlapping window" individually? Would this mean "M symbols" are ...
PecanPython's user avatar
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1 vote
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In many countries, companies whose securities are traded on a stock exchange are subject to an ad-hoc disclosure requirement. This ad-hoc announcement publication duty refers to the obligation to ...
MiFischer22's user avatar
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6 votes
3 answers
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Let's suppose that some trader knows something, that most of other market participants don't know. That knowledge may be directly related to the stock market e.g. number of open long positions below/...
mkultra's user avatar
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I am learning about Fundamental Law of Active Management, and there seems to be two different Information Coefficient (IC) formulae presented. Though I myself am not a CFA candidate, these appear to ...
koyamashinji's user avatar
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6 votes
1 answer
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I've been reading up on market microstructure models and toyed around with them -- i.e., I got simulations for Roll (1984), Glosten-Milgrom (1985), Kyle (1985), Kyle (1985) with multiple periods. I am ...
Stéphane's user avatar
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The following assumptions are part of the paper of Back, Chao and Willard and I can not solve for the statistic that is denoted as $\phi$ in the sequel. I would be glad if anyone could help me. Below ...
Nav89's user avatar
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It strikes me that the legal definition of insider trading is very difficult from what we commonly think about in finance/economics.
Slow Learner's user avatar
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It's tough trying to figure this out myself and I after a few hours I thought I'd ask for help: I'm trying to do tick imbalance bars from 'Advances in Financial Machine Learning', using equations: $...
the_dude's user avatar
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2 votes
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I am searching for some textbook in financial mathematics that presents information asymmetry models (maybe more advanced models), so as to make some practice. Does anbody know such a book?
Nav89's user avatar
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