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by EdisonCruise
May 21st, 2017, 6:14 am
Forum: Trading Forum
Topic: How to trade open price in practice as in my backtest?
Replies: 10
Views: 1109

How to trade open price in practice as in my backtest?

I have developed a strategy by trading open price. However, how should I make order in practice to make the return of my strategy as close as in backtest? There are some ways I can think of: 1) Send limit order with limit price in call auction period before market open. This way seems to able to get...
by EdisonCruise
July 11th, 2016, 3:13 am
Forum: Numerical Methods Forum
Topic: Is Bayesian Logistic Regression useful in predicting financial price change?
Replies: 0
Views: 390

Is Bayesian Logistic Regression useful in predicting financial price change?

I am developing a factor model to predict price change. Bayesian Logistic Regression seems more advanced than the traditional Logistic Regression. However, as in this matlab example http://cn.mathworks.com/help/stats/examples/bayesian-analysis-for-a-logistic-regression-model.html Each feature vector...
by EdisonCruise
April 14th, 2016, 12:33 am
Forum: Numerical Methods Forum
Topic: How to calibrate a linear regression model to forecast asset return?
Replies: 5
Views: 1494

How to calibrate a linear regression model to forecast asset return?

Thank you Alan. What I can do is only suggestion one.Developing my model based on recent literatures and hope it works.
by EdisonCruise
April 13th, 2016, 12:25 am
Forum: Numerical Methods Forum
Topic: How to calibrate a linear regression model to forecast asset return?
Replies: 5
Views: 1494

How to calibrate a linear regression model to forecast asset return?

May be that's right, but as I know, factor model is still popular.
by EdisonCruise
April 12th, 2016, 2:54 am
Forum: Numerical Methods Forum
Topic: How to calibrate a linear regression model to forecast asset return?
Replies: 5
Views: 1494

How to calibrate a linear regression model to forecast asset return?

<t>I want to calibrate a mulitvariate linear regression model for forecasting asset return. Now I am doing the following procedure. Subjectively picking up observable factors, like interest rate, fx rate, equity index. Download the data from 2007 to 2016. Select a rolling window, with size 1 year, 2...
by EdisonCruise
April 6th, 2016, 7:30 am
Forum: Numerical Methods Forum
Topic: Is there any open-source robust optimization software for portfolio selection?
Replies: 1
Views: 1352

Is there any open-source robust optimization software for portfolio selection?

<t>I am a beginner in robust optimization. I want to get a robust portfolio with a Worst-Case Conditional Value-at-Risk method. This requires a minimization of loss considering various scenarios with parametric uncertainty. Finally this leads to a problem like min_x(max_U(g(x,U))), where x is the po...
by EdisonCruise
March 27th, 2016, 4:50 am
Forum: Trading Forum
Topic: Does mean-variance allocation make sense in practice?
Replies: 6
Views: 1989

Does mean-variance allocation make sense in practice?

<t>Thank you all for your suggestions.Alan, I have tried adding constrains to the mean-variance strategy. If there are n ETF, then each ETF's weight is in the range [0,1/n] if forecasted return is positive, or [-1/n,0] if forecasted return is negative. The after minimization, the weight of each ETF ...
by EdisonCruise
March 25th, 2016, 7:43 am
Forum: Trading Forum
Topic: Does mean-variance allocation make sense in practice?
Replies: 6
Views: 1989

Does mean-variance allocation make sense in practice?

<t>There are about 10 ETF as assets. I am comparing the following strategiesA. mean-variance allocation strategy: 1. Forecast asset return; 2.Forecast asset covariance; 3 Minimize portfolio volatility ? portfolio return to calculate ETF weights. Result: portfolio return annual 5.5%, volatility 3.6%,...
by EdisonCruise
February 3rd, 2016, 12:25 am
Forum: Trading Forum
Topic: How to make order in practice when doing delta hedging?
Replies: 4
Views: 3097

How to make order in practice when doing delta hedging?

<t>Thank you DavidJN. I have implemented a simulation to test hedging strategies. However, I am not sure everything in the real trading environment can be easily simulated. Especially the market impact effect. Say I want to close a long position of 200 contracts, but on on the market there are only ...
by EdisonCruise
February 1st, 2016, 8:33 am
Forum: Trading Forum
Topic: How to make order in practice when doing delta hedging?
Replies: 4
Views: 3097

How to make order in practice when doing delta hedging?

<t>Dear all,I am doing a project that requires implementing delta hedging in practice. I have some question and don?t know how to begin:(1) If my plain vanilla option is deep in the money at its expiration. Then I must hold a large amount of the underlying future. If the option payoff at the future?...
by EdisonCruise
January 18th, 2016, 12:00 am
Forum: Technical Forum
Topic: Is there any industrial standard method to hedge option while need to roll future?
Replies: 4
Views: 2009

Is there any industrial standard method to hedge option while need to roll future?

The option is settled by cash, depending on the spot rate of dec future, say on its price of 15th , Sep.
by EdisonCruise
January 15th, 2016, 8:30 am
Forum: Technical Forum
Topic: Is there any industrial standard method to hedge option while need to roll future?
Replies: 4
Views: 2009

Is there any industrial standard method to hedge option while need to roll future?

<t>Thank you daveangel.I think that this can be cured by pricing with carrying cost theoretically. However, it seems that there is still an accounting issue. Say, we have sold a call option expiring on Sep and hedging it with June future. Suppose we hedged the option perfectly until May. On someday ...
by EdisonCruise
January 14th, 2016, 2:50 am
Forum: Technical Forum
Topic: Is there any industrial standard method to hedge option while need to roll future?
Replies: 4
Views: 2009

Is there any industrial standard method to hedge option while need to roll future?

<t>Suppose I sell a call option expiring on September on March. Active future contracts are on June and October. So I need to long June contract since March, then near the end of May, I need to switch to October contract. Usually at the end of May, October contract is 1-2% higher than the June contr...
by EdisonCruise
December 22nd, 2015, 9:21 am
Forum: Student Forum
Topic: Some confusion on John Hull?s method to calculate Minimum Variance Hedge Ratio
Replies: 10
Views: 2540

Some confusion on John Hull?s method to calculate Minimum Variance Hedge Ratio

Thank you daveangel.Most people are directly using that formula on Hull's book for a long time. It is difficult to make a correction now.
by EdisonCruise
December 22nd, 2015, 8:25 am
Forum: Student Forum
Topic: Some confusion on John Hull?s method to calculate Minimum Variance Hedge Ratio
Replies: 10
Views: 2540

Some confusion on John Hull?s method to calculate Minimum Variance Hedge Ratio

<r>Thank you daveangel. I thank your results are correct and I have no problem in calcuating h.However, after obtaining h, how to calculate the number of foward contract N one needs to hold?My result is N = h*QA*S/(QF*F)but John Hull's book suggestsN = h*QA/(QF)Where QA is Size of position being hed...
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