Questions tagged [modeling]
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243 questions
-1 votes
1 answer
38 views
How useful is analyzing historical 13F hedge fund holdings for strategy development?
I’m exploring whether studying and learning from historical changes in major hedge funds’ portfolios (via 13F filings) provide actionable insights for strategy development or risk management. ...
2 votes
0 answers
82 views
Replicating Parameter Estimates from Fergusson’s 2020 Inflation Forecasting Models
I’m working on replicating the parameter estimates for the four models in Table 1 of the paper “Forecasting Inflation Using Univariate Continuous-Time Stochastic Models” by Kevin Fergusson (2020), ...
- 21
0 votes
2 answers
155 views
Collecting/Processing Data Via IBKR, SQL Databases and Python
So, I collect Open/Close data for a lot of tickers, process it in multiple ways, and use it for an ARIMA model. Right now, I do this through Excel, but I'm running into a lot of data capacity problems....
- 3
2 votes
1 answer
208 views
Interest Rates Modelling post IBOR cessation
There are many excellent and well known books on interest rates modelling, the ones that come to mind are for example: The SABR/LIBOR Market Model (Rebonato, 2011) Interest Rate Modeling (Vol 1, 2 &...
- 6,680
0 votes
1 answer
460 views
How are Option Pricing Models used in Industry/Practice? [closed]
I am an MSc Financial Mathematics student, and I am struggling to grasp how stochastic models (e.g., Heston, SABR, etc) are applied in real-world scenarios. Is the following correct? Say I am a market ...
5 votes
2 answers
281 views
How many options are necessary in computing a "model-free" measure?
The VIX itself is computed via a "model free" measure, or rather, using a continuum of OTM option prices to come up with an "P-measure" of implied volatility. It is perhaps obvious ...
- 2,886
0 votes
0 answers
122 views
Peaks and gaps in log-return of XAUUSD 1-minute log-return density
I'm tinkering around a 1-minute XAUUSD data from March 2009-December 2023 to see if I can model it with a log-normal or log-t distribution and I happen to notice some interesting properties in the log-...
0 votes
1 answer
373 views
Calculate implied volatility of american option on interest rate futures
I want to calculate implied volatility of american option of a short term interest rate future. Let's take for example a put option for a SOFR future with $K=95, price=0.105, T=0.750685, underlying=95....
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1 vote
0 answers
85 views
Modeling compounded RFRs with Vasicek
I’m wondering if simple interest rates models, like Vasicek, could be successfully used for modeling compounded setting-in-arrears rates (compounded SOFR for example)? As far as I see I can do that ...
- 71
5 votes
0 answers
141 views
Predatory trading as a game of size
Predatory trading has been addressed in literature frequently. I have read for example Brunnemeier (2005) but that paper mostly addresses predatory trading surrounding a preexisting distressed trader. ...
1 vote
0 answers
71 views
Question about the "VolZScore" in this article about applying the Boids algorith to equities to find flocking behavior
In this article, "Flocking behavior of US equities": https://www.cs.dartmouth.edu/~lorenzo/teaching/cs174/Archive/Winter2013/Projects/FinalReportWriteup/ira.r.jenkins.gr/final.html They use ...
- 113
0 votes
0 answers
104 views
How to mathematically model Bid and Ask as two separate processes, and combine into a Price process?
Let's say you were modeling bid and ask as two separate processes. With their own mean and variance. And with the constraint that ask must be greater than or equal to bid. How would you then ...
- 113
0 votes
0 answers
88 views
Option pricing model adjustments in practice
I’m trying to understand significant differences in theoretical options pricing data that I‘m seeing. I’m new to this, so I suspect I’m missing something obvious. Taking a fixed set of inputs 1, when ...
- 1
3 votes
1 answer
506 views
Preferred Option pricing model [closed]
I am at Uni studying mathematical finance and wanted to know which is most preferred /widely used model by Finance Industry Practitioners from the list below. Fourier Transform for option pricing ...
- 43
0 votes
1 answer
367 views
Simulating the Term Structure of Interest Rates in the CIR model
I have successfully implemented the CIR model of the short rate, and now want to use these short rate paths to construct distributions of various tenors - 2y, 3y, 5y, 10y for example - across the ...
- 53