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- Method for an additive decomposition of hypothetical P&L by risk factor
- How do you implement effective market data quality controls in a risk management environment?
- Has anyone actually built a robust sub-1h trading model?
- Why is Europe still using EURIBOR?
- Backtesting with L3 data in very low-liquidity market
- Does the regulatory feedback loop between PD and Asset Correlation under CRR imply a unique fixed-point MoC?
- Derivative of the Basel Risk-Weight Function with Respect to MoC C
- CDS vs Corps recovery rates
- Market making in prediction markets (Kalshi/Polymarket): what changes in the CLOB stochastic control problem?
- INR OIS CURVE for valuation
- Why couldn’t outside investors arbitrage away the Treasury mispricings during the LTCM crisis?
- Can a bot wallets behavior analysis be done to reverse engineer their strategy on meme coin markets?
- Does an infinite asset universe imply a vanishing equity risk premium even without invoking risk aversion?
- Standardizing non-standard cyclical data (e.g., Luni-Solar / Panchang metrics) as features in execution & signal pipelines
- Treasury futures Net Basis / Implied Repo Rate
- Vega P&L Attribution
- Does FICC pay the seller out of its own pocket before it gets paid by the buyer?
- Mathematical derivation of FRTB SA framework for market risk capital requirements
- Mid price vs micro price for IV calculation
- Pricing curve for corporate bonds from EU, US, and GB?
- Is the older London Call (privilege), different from European Call?
- Fedwire Security Service - where securities are stored?
- Factors use during Portfolio Construction
- How is anything bespoke priced and traded?
- Adjust a quality measure (Sortino Ratio) to account for Autocorrelation in Trade Returns
- Bitcoin Pi Cycle - top and bottom indicator - precise definition
- APIs to get first notice date for relevant commodities / futures?
- Should I re‑run prediction monthly or use single snapshot at MOB3 to avoid customer group movement in N2B banking model?
- How should correlated, regime-dependent return-path forecasts be combined into a trading consensus?
- Sports Betting Q
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- How to ascertain/establish certainty of a portfolio rebalancing strategy?
External answer — Quantitative Finance Stack Exchange Author: Valerii Sakara Original post: https://quant.stackexchange.com/a/85763 License: CC BY-SA 4.0 — https://creativecommons.org/licenses/by-sa/4.0/ Adaptation: HTML converted to plain text; contact email addresses remov…
- Extract yield volatility from bond option prices
External answer — Quantitative Finance Stack Exchange Author: Hritabrata Das Original post: https://quant.stackexchange.com/a/85759 License: CC BY-SA 4.0 — https://creativecommons.org/licenses/by-sa/4.0/ Adaptation: HTML converted to plain text; contact email addresses remov…
- How to Determine Parameters in a Non-recombining Binomial Tree for Option Pricing
External answer — Quantitative Finance Stack Exchange Author: Hritabrata Das Original post: https://quant.stackexchange.com/a/85752 License: CC BY-SA 4.0 — https://creativecommons.org/licenses/by-sa/4.0/ Adaptation: HTML converted to plain text; contact email addresses remov…
- Should an uncertain volatility model option be priced higher or lower than a constant volatility model option?
External answer — Quantitative Finance Stack Exchange Author: Max Michlits Original post: https://quant.stackexchange.com/a/85717 License: CC BY-SA 4.0 — https://creativecommons.org/licenses/by-sa/4.0/ Adaptation: HTML converted to plain text; contact email addresses removed…
- Best ML technique for detecting multiple game cards in image
External answer — Cross Validated Stack Exchange Author: cdalitz Original post: https://stats.stackexchange.com/a/675854 License: CC BY-SA 4.0 — https://creativecommons.org/licenses/by-sa/4.0/ Adaptation: HTML converted to plain text; contact email addresses removed. Using …
- Calculate implied volatility of american option on interest rate futures
External answer — Quantitative Finance Stack Exchange Author: carry_and_pray Original post: https://quant.stackexchange.com/a/85611 License: CC BY-SA 4.0 — https://creativecommons.org/licenses/by-sa/4.0/ Adaptation: HTML converted to plain text; contact email addresses remov…
- QLIKE loss function to evaluate forecasting model of log(realized volatility)
External answer — Quantitative Finance Stack Exchange Author: carry_and_pray Original post: https://quant.stackexchange.com/a/85610 License: CC BY-SA 4.0 — https://creativecommons.org/licenses/by-sa/4.0/ Adaptation: HTML converted to plain text; contact email addresses remov…
- Plotting Treasury Futures implied repo over time: what should the time series look like?
External answer — Quantitative Finance Stack Exchange Author: WithinCellsInterlinked Original post: https://quant.stackexchange.com/a/85577 License: CC BY-SA 4.0 — https://creativecommons.org/licenses/by-sa/4.0/ Adaptation: HTML converted to plain text; contact email address…
- Charges to parameters of SABR model for a swaption
External answer — Quantitative Finance Stack Exchange Author: pandashark Original post: https://quant.stackexchange.com/a/85569 License: CC BY-SA 4.0 — https://creativecommons.org/licenses/by-sa/4.0/ Adaptation: HTML converted to plain text; contact email addresses removed. …
- Risk management tools for long term Gamma/Vega sellers subject to margin calls
External answer — Quantitative Finance Stack Exchange Author: James Cartwright Original post: https://quant.stackexchange.com/a/85485 License: CC BY-SA 4.0 — https://creativecommons.org/licenses/by-sa/4.0/ Adaptation: HTML converted to plain text; contact email addresses rem…
- Is $S_0$ actually $F(0, 2)$ in pricing formulas for forex derivatives?
External answer — Quantitative Finance Stack Exchange Author: river_rat Original post: https://quant.stackexchange.com/a/85461 License: CC BY-SA 4.0 — https://creativecommons.org/licenses/by-sa/4.0/ Adaptation: HTML converted to plain text; contact email addresses removed. …
- What is the formula behind the standard deviation of an option strike?
External answer — Quantitative Finance Stack Exchange Author: João Original post: https://quant.stackexchange.com/a/85355 License: CC BY-SA 4.0 — https://creativecommons.org/licenses/by-sa/4.0/ Adaptation: HTML converted to plain text; contact email addresses removed. From …
- Is there another data download program available like Q Collector Expert For DTN IQ Feed or from any other data source?
External answer — Quantitative Finance Stack Exchange Author: João Original post: https://quant.stackexchange.com/a/85346 License: CC BY-SA 4.0 — https://creativecommons.org/licenses/by-sa/4.0/ Adaptation: HTML converted to plain text; contact email addresses removed. Yahoo…
- What is the correct interpretation of IRR?
External answer — Quantitative Finance Stack Exchange Author: João Original post: https://quant.stackexchange.com/a/85318 License: CC BY-SA 4.0 — https://creativecommons.org/licenses/by-sa/4.0/ Adaptation: HTML converted to plain text; contact email addresses removed. Inter…
- Why does the carry of a bond not adjust for defaults?
External answer — Quantitative Finance Stack Exchange Author: Dimitri Vulis Original post: https://quant.stackexchange.com/a/85313 License: CC BY-SA 4.0 — https://creativecommons.org/licenses/by-sa/4.0/ Adaptation: HTML converted to plain text; contact email addresses remove…
- most accurate analytic approximation for American options with cash dividends
External answer — Quantitative Finance Stack Exchange Author: João Original post: https://quant.stackexchange.com/a/85307 License: CC BY-SA 4.0 — https://creativecommons.org/licenses/by-sa/4.0/ Adaptation: HTML converted to plain text; contact email addresses removed. Volad…
- GARCH(1,1)-M MLE optimization with fmincon in R
External answer — Quantitative Finance Stack Exchange Author: QuantCalc.net Original post: https://quant.stackexchange.com/a/85298 License: CC BY-SA 4.0 — https://creativecommons.org/licenses/by-sa/4.0/ Adaptation: HTML converted to plain text; contact email addresses remove…
- Were internet related companies at the height of the dot-com bubble really overvalued from a long term persepective?
External answer — Quantitative Finance Stack Exchange Author: AMach Original post: https://quant.stackexchange.com/a/85293 License: CC BY-SA 4.0 — https://creativecommons.org/licenses/by-sa/4.0/ Adaptation: HTML converted to plain text; contact email addresses removed. Ther…
- Is realized volatility autocorrelation due to causal relationships between current realized volatility and future latent volatility?
External answer — Quantitative Finance Stack Exchange Author: QuantCalc.net Original post: https://quant.stackexchange.com/a/85290 License: CC BY-SA 4.0 — https://creativecommons.org/licenses/by-sa/4.0/ Adaptation: HTML converted to plain text; contact email addresses remove…
- Replicating 2c-c & 2p-p from Bjerksund Stensland (2002)
External answer — Quantitative Finance Stack Exchange Author: QuantCalc.net Original post: https://quant.stackexchange.com/a/85279 License: CC BY-SA 4.0 — https://creativecommons.org/licenses/by-sa/4.0/ Adaptation: HTML converted to plain text; contact email addresses remove…
- GBM with adjusted normal distribution
External answer — Quantitative Finance Stack Exchange Author: QuantCalc.net Original post: https://quant.stackexchange.com/a/85277 License: CC BY-SA 4.0 — https://creativecommons.org/licenses/by-sa/4.0/ Adaptation: HTML converted to plain text; contact email addresses remove…
- Do Bond-flies trade?
External answer — Quantitative Finance Stack Exchange Author: AMach Original post: https://quant.stackexchange.com/a/85245 License: CC BY-SA 4.0 — https://creativecommons.org/licenses/by-sa/4.0/ Adaptation: HTML converted to plain text; contact email addresses removed. Yes …
- How can I evaluate a time‑series forecasting model when I must train on the entire small dataset?
External answer — Cross Validated Stack Exchange Author: Stephan Kolassa Original post: https://stats.stackexchange.com/a/672468 License: CC BY-SA 4.0 — https://creativecommons.org/licenses/by-sa/4.0/ Adaptation: HTML converted to plain text; contact email addresses removed.…
- Trading card game poss
External answer — Cross Validated Stack Exchange Author: JadeImp Original post: https://stats.stackexchange.com/a/672293 License: CC BY-SA 4.0 — https://creativecommons.org/licenses/by-sa/4.0/ Adaptation: HTML converted to plain text; contact email addresses removed. I’d sa…
- How to choose between t-test or non-parametric test e.g. Wilcoxon in small samples
External answer — Cross Validated Stack Exchange Author: Christian Hennig Original post: https://stats.stackexchange.com/a/670925 License: CC BY-SA 4.0 — https://creativecommons.org/licenses/by-sa/4.0/ Adaptation: HTML converted to plain text; contact email addresses removed…
- How Do You Balance Feature Search Strategy and HP Optimization Cost?
External answer — Data Science Stack Exchange Author: MuhammedYunus Original post: https://datascience.stackexchange.com/a/134542 License: CC BY-SA 4.0 — https://creativecommons.org/licenses/by-sa/4.0/ Adaptation: HTML converted to plain text; contact email addresses removed…
- Difference between transforming individual features and taking their polynomial transformations?
External answer — Cross Validated Stack Exchange Author: EdM Original post: https://stats.stackexchange.com/a/670674 License: CC BY-SA 4.0 — https://creativecommons.org/licenses/by-sa/4.0/ Adaptation: HTML converted to plain text; contact email addresses removed. Briefly: P…
- Is using contemporaneous components to forecast an aggregate a valid method or a form of data leakage?
External answer — Cross Validated Stack Exchange Author: Stephan Kolassa Original post: https://stats.stackexchange.com/a/670273 License: CC BY-SA 4.0 — https://creativecommons.org/licenses/by-sa/4.0/ Adaptation: HTML converted to plain text; contact email addresses removed.…
- Time lag in the definition of transaction price in Almgren & Chriss (2001) and Almgren (2003)
External answer — Quantitative Finance Stack Exchange Author: Daneel Olivaw Original post: https://quant.stackexchange.com/a/84000 License: CC BY-SA 4.0 — https://creativecommons.org/licenses/by-sa/4.0/ Adaptation: HTML converted to plain text; contact email addresses remove…
- GEE vs mixed models for cross-sectional sibling data
External answer — Cross Validated Stack Exchange Author: Rick Hass Original post: https://stats.stackexchange.com/a/669872 License: CC BY-SA 4.0 — https://creativecommons.org/licenses/by-sa/4.0/ Adaptation: HTML converted to plain text; contact email addresses removed. Thou…