There is an R interface to Quantopian Zipline called flyingfox. Here is a blog post from its creator.... Read More

Leverage, tax, ease of taking short positions and the risk of losing more than your investment are the main differences to a stock. Note, CFDs are a derivative on a stock hence the similarity in the... Read More

I will work through a detailed example. I hope it helps. Suppose for simplicity that you are trying to hedge the interest rate risk of one simplistic debt instrument. Suppose that the obligor owes yo... Read More

Yes, you could call this a liquidity effect. The 10yr breakeven rate is defined as the difference between the nominal yield of the 10yr Treasury and the real yield of the 10yr TIPS. The TIPS has less... Read More

Plenty of HFT shops do not require C++ from the quants who are only involved in modeling. As you hypothesize, Python is sufficient for researching models. Your friend may simply be at a place that va... Read More

St Louis Fed published in 2006 a very nice paper: What Are the Odds? Option-Based Forecasts of FOMC Target Changes by William Emmons, Aeimit Lakdawala, and Christopher Neely, which discusses futures... Read More

import numpy as np t = np.linspace(1,T,T) t1,t2 = np.meshgrid(t,t) Btt = np.exp(-np.abs(t1-t2)/tau) #Btt = b**np.abs(t1-t2)... Read More

Since you talk about a variance risk premium, a word about some of the details involved might be important. Technically, your variance premium is the difference between the expected volatility under... Read More

In general, no one assigns ISINs to CME futures. One some other exchanges, an ISIN is assigned to the entire class of futures with different expiries.... Read More

In Dealing with the inventory risk: a solution to the market making problem (preprint available at arxiv) we extend the approximation proposed by Marco and Sasha to a rigorous mathematical framework... Read More

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