Quant

I am trying to compute a rough approximation for the theoretical price of a Nikkei 225 index future with a far-away expiry. I don't need much accuracy, just a very rough but reasonable upper and lower bound.

I understand the theory behind how to do this, but I need the data to actually do it. Can anyone point me in the right direction for what one would normally use fo...

I am working on a project that includes risk/return characteristics for a certain strategy and its benchmark (SPX). Included on the outputs is a sensitivity table, which may be showing signs of overfitting.

I tested sharpe ratio with varying risk-free rates, and while the table does show a worse sharpe for higher rates, to be expected, it also shows a worse sharpe for ...

i have a quick question about conversion factor and his implication in calendar bonds roll trading.

I go short on a calendar roll (short front+long back) which has the same cheapest to deliver. The CF is roughly 0.60 for both contracts. The calendar widen +10cts so it negatively impact my position. I realise that the implied repo is pretty much the same than when i...

In the (wonderful) book "The Dao of Capital", the author, M. Sptiznagel, describes at pag. 242 this procedure to estimate the crash losses and bootstrap standard errors that follow high MS Indices:

Upon bucketing two-months returns by their starting MS index quartiles (over a 3 year window of overlapping two month returns following bucketing) and calculating the 2nd a...

I come from a different field (Machine learning/AI/data science), but aim to ask a philosophical question with the utmost respect: Why do quantitative financial analysts (analysts/traders/etc.) prefer (or at least seem) traditional statistical methods (traditional = frequentist/regression/normal correlation methods/ts analysis) over newer AI/machine learning methods? I've rea...