All Questions
1
vote
0answers
43 views
How to measure the correlation between performance and some other factor?
I am trying to research whether there is a correlation between some factor $X$ and the financial performance of private equity funds. Specifically, I want to prove whether $X$ leads to or is a sign ...
-4
votes
0answers
18 views
Index Futures and protective puts [closed]
Not particularly quantitative.
A bullish position on the index can be by buying the index, isn't it better yet to buy futures on the index? This would allow leverage.
And protecting the position with ...
-4
votes
0answers
38 views
Where can I find interest rates banks have to pay on their bonds? [closed]
Possible Duplicate:
What data sources are available online?
I am looking for a site that gives me (free) access to the interest rates banks have to pay on both the short- and long-term ...
-5
votes
1answer
15 views
*Easy* Calculating EPS [closed]
I have started teaching myself basic business stuff and have a question regarding calculating earnings per share.
Q:
[bunch of numbers for revenue, expenses...]
At the beginning of year: 80,000 ...
-4
votes
0answers
36 views
Application of mathematical models on pricing strategy [closed]
Background: I am a programmer tasked to write an excel sheet for the sales people to calculate selling price for customer qoutation. So, please pardon me if I am off topic with bad description, as I ...
7
votes
1answer
119 views
Is there a closed-form solution for the partial autocorrelation function of a Markov regime-switching process?
Consider a Markov Regime-switching process $X_{t}$ with $k$ regimes represented by $s_{t}$ such that
$$X_{t}=\mu\left(s_{t}\right)+\epsilon_{t}$$
and
$$\epsilon_{t}\sim ...
-2
votes
4answers
113 views
Exercising an American call option early
I have seen the rationale behind why it is never optimal to exercise an American call option early, but have a question about it.
If the option strike price is $E=\$20$ and it expires at $T=1yr$, if ...
7
votes
3answers
156 views
Is it ever possible that---because of illiquidity---exercising an out-of-the-money option is better than directly buying the stock?
Is there a case, where due to illiquidity, exercising out-of-the-money options could be better than directly buying the stock?
When a stock is too illiquid, there are some costs because of this ...
4
votes
1answer
76 views
What's the best way to test/validate an interest rate lattice model
I have some implementations of interest rate lattice models. I would like to verify their performance. What would be the best approaches?
Currently I compare pricings of some interest rate dependent ...
-4
votes
0answers
35 views
What is book value of debt and book value of equity on a balance sheet? [closed]
I'm a truly newbie here. It's an assignment that asked to find book value of debt and book value of equity from the balance sheet. Is it the total debt or just long-term debt? How about the equity?
2
votes
2answers
140 views
GJR-GARCH Model In R
Any idea how to estimate GJR-GARCH models in R? Is there any particular library like fGarch that supports such models?
5
votes
1answer
113 views
Which greeks do you need to hedge if you want to implement an implied-volatility security?
Assume you want to create a security which replicates the implied volatility of the market, that is when $\sigma$ goes up, the value of the security $X$.
The method you could use is to buy call ...
4
votes
1answer
124 views
Reference on Electronic volatility trading [closed]
Possible Duplicate:
Looking for a recommendation for a real life volatily trading book.
I recently came in contact with a quant desk that traded volatility. The discussion only highlited my ...
-5
votes
0answers
52 views
Tutorial on Commingled Funds? [closed]
Can anyone point me to a good, free, intro-level tutorial on commingled funds (or, alternatively, offer one here :-))? It should describe basic mechanics and -- very importantly -- provide an ...
-4
votes
0answers
57 views
Tutorial on Swaps [closed]
Is there a good, free, very basic tutorial on Swaps out there?
It should describe basic mechanics and -- very importantly -- provide an understanding of the important attributes of these products.
A ...
0
votes
1answer
91 views
Tutorials on Leveraged Loans?
What are some good, preferably free, introductions to leveraged loans or can you give on here?
The introduction should describe basic mechanics and very importantly provide an understanding of the ...
2
votes
1answer
109 views
Cross Bid and Ask prices for Forex trading
I am using ITCH protocol to get the Market Data information for Forex and trying to implement LOB on it and what i have noticed is that Bid and Ask prices are crossing very often.
Should that be ...
3
votes
2answers
145 views
How is someone's Sharpe ratio recorded and communicated?
When I read about, say, some hedge fund wanting people with such-and-such Sharpe ratio, how is that ratio recorded and communicated to the interested party? I mean, do people just take it on faith ...
2
votes
1answer
94 views
The binomial model is wrong?
In the standard MBA one-period binomial model, the value of an option is
$v = \frac{1}{R}\bigl(\frac{u - R}{u - d}V(sd) + \frac{R - d}{u - d}V(su)\bigr)$
where $R$ is the realized return over the ...
5
votes
2answers
231 views
How to build a mean reverting basket?
I have been playing with mean reverting pairs, but seems that most of the low hanging fruit (ie pairs) have been squeezed already. I would like to start with mean reverting baskets (>2 securities) in ...
4
votes
2answers
154 views
cointegration applied to Portfolio Construction & Risk management
There are all sorts of applications of cointegration to generating alpha on mean-reverting timeseries: comparing spot vs. futures, bond spreads, identifying mean-reverting residuals, etc.
But there ...
6
votes
1answer
133 views
Implementing a Fast Fourier Transform for Option Pricing
So, I'm in need of some tips regarding a small project I'm doing. My goal is an implementation of a Fast Fourier Transform algorithm (FFT) which can be applied to the pricing of options.
First ...
7
votes
1answer
131 views
When pricing options, what precision should I work with?
I'm wondering if there's any point at all in double-precision calculations, or whether it's ok to just do everything in single-precision, seeing how the difference on non-Tesla GPUs for single and ...
3
votes
1answer
160 views
HFT - How to define and measure latency?
I have read and heard a lot about latency. But I can't find any solid information that explains how latency is defined and measured. When people say they have achieved millisecond or nanosecond ...
3
votes
1answer
121 views
Can American options with no dividends and zero risk-free rate be treated as European?
Let's say you've got American options on a future of a stock index. There are no dividends, and no risk-free rate either (assume $r=0$). Can these options then be treated as European from the ...
3
votes
2answers
104 views
MPT: Adding constraint on minimum asset weight
I'm new to finance in general, and recently read about Modern Portfolio Theory. Now I'm wondering how to add the following constraint on asset weights:
Each asset weight $w_i$ should either be $w_i ...
1
vote
1answer
99 views
Why use swap-rates in a yield curve?
I have a question concerning interest yield curves. Many institutions use the Libor-swap rate curve as a yield curve. Let's be precise and say that we want the yield curve to be the curve that gives ...
1
vote
0answers
83 views
Using volatility cycles to switch between trend following & range bound trading? [closed]
"...a low volatility environment is usually a good environment for trend following strategies; see Jez Liberty’s state of trend following report here..."
...
4
votes
1answer
83 views
How do brokers charge for locates?
Few quick questions on how locates work.
How do brokerages charge for locates? They charge based on volume?
How long you need the locate (I assume an one day is max)?
Do the brokerages ...
-4
votes
0answers
33 views
How in Excel change the direction on numbers (from right (0) to left (100))? [closed]
I have a line of numbers from 0 to 100. They follow each other like usual:
1 2 3 4 5 6 7 8 9 10 ... and so on --> ... 100
And I need to change their direction from right to left, like this:
100 ...
2
votes
3answers
188 views
VaR implementation using quantlib?
I am thinking of writing a VaR framework for my existing system, using quantlib to do the bulk of the calculations.
Despite several searches, I have not as yet come across a quantlib VaR ...
-3
votes
0answers
41 views
Need help with options question [closed]
It is Thursday April 26, 2012. You can find the closing quotes for call options on the S&P/TSX 60 index (SXO), which closed at 690.020 that day, at The Montreal Exchange website: ...
-2
votes
0answers
36 views
What is the quality of the data available from EODData.com? [closed]
Possible Duplicate:
Is “eoddata” a good data source?
Does anyone have any experience with the historical data available from EODData.com? They offer,
Intraday data (1, 5, ...
-4
votes
0answers
29 views
How do I calculate annual returns? [closed]
How do I calculate annual returns when the adjusted close is vastly different from the opening price as listed on Yahoo Finance for instance. Use Brk-B's historic prices from 2000-2012 for the example ...
2
votes
1answer
65 views
Good reference on sample autocorrelation?
I'm not a statistician but I'm writing my thesis on mathematical finance and I think it would be neat to have a short section about independence of stock returns. I need to get better understanding ...
8
votes
0answers
90 views
Exploiting breakdowns in correlation of estimated volatility
In the attached image I have a plot of the rolling correlation of 90-day historic volatility (using the Garman Klass estimator based on Sinclair's Volatility Trading) of JPM v. the S&P. As can be ...
3
votes
0answers
127 views
What are some applications of bioinformatics or genetics to generating alpha in U.S. equities?
There are many disciplines that have contributed to how one model's risk and return. Physics introduced Brownian motion and RMT. Machine learning has helped to solve complex portfolio construction ...
2
votes
1answer
104 views
Resequencing of MsgSeqNum in FIX 4.2
I am trying to achieve the following functionality using QuickFIX for FIX 4.2
Send a couple of orders and make sure they’re filled.
Then disconnect.
Change the incoming (from Broker) sequence number ...
3
votes
3answers
215 views
Stock Price Behavior and GARCH
In my (limited) understanding, the behavior of a stock price can be modeled using Geometric Brownian Motion (GBM). According to the Hull book I'm currently reading, the discrete-time version of this ...
3
votes
0answers
162 views
Real time stock volatility
Is there any need for real time weighted volatility on a tick by tick basis for equities?
If you had that access to that, what could you do with it?
7
votes
2answers
109 views
Is there an optimal covariance one would want forecasts to have?
Often in a quant process, one will generate a time series of return forecasts and use them in some sort of optimization to generate a portfolio. Generally, there will be a covariance matrix of market ...
2
votes
0answers
61 views
What is the highest frequency greek for options on futures on bonds?
I'm considering exchange traded options of futures on bonds. Options on bond futures are usually American, thus the Black model is out of question. Which is the most imporatant Greek with respect to ...
4
votes
3answers
114 views
How to measure investors' “experienced” volatility?
In asset allocation, you usually send reports to your clients where you will report the volatility of its portfolio. Assuming you only have monthly returns, you will compute volatility over a ...
2
votes
0answers
73 views
What is an appropriate hedge ratio for hedging a credit instrument with equity of the same issuer?
Given a bond and a stock issued by the same issuer, what is the appropriate ratio of bond-to-stock one should hold in order to minimize the specific risk to that issuer? Equivalently, what is the ...
-4
votes
2answers
78 views
Calculate a discount rate given a PV at some point in the future
Repost from CrossValidated...
I am trying to calculate a 24-month Customer Lifetime Value for a hypothetical magazine subscription service. CLV is typically calculated as the summation of the present ...
1
vote
2answers
147 views
definition for “the viscosity” in financial market data series
I am willing to calculate and monitor the evolution of extreme-viscosity in the financial markets data series.
Wikipedia says "Put simply, the less viscous the fluid is, the greater its ease of ...
1
vote
1answer
166 views
Arbitrage between markets
I'm trying to understand how arbitrage works, but I'm having some difficulties based on some restrictions:
I have markets A, B and C.
The currencies that are traded are X <-> Y, and X <-> Z.
...
2
votes
0answers
69 views
Does the correlation amongst stocks rise when stock values decline?
Is there any research on whether the correlations among stocks rise when stock indices decline? Which model could account and test for that effect ? Maybe GARCH-BEKK, or some models using copulas?
3
votes
3answers
145 views
Why in general is the variance of volume changes higher than variance of price changes?
Why, in general, is the variance of volume changes higher than variance of price changes?
I understand that these two quantities are functions of some very different factors, but I don't understand ...
2
votes
2answers
151 views
Entry and exit points for very short mean-reverting timeseries
I have a model specifying a cointegration relationship on a number of transaction-level timeseries.
I would like to specify entry and exit points for trades where these points ideally would be just ...
