# All Questions

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### Company rank within an industry

I'm looking at the list of companies in the S&P 500 Pure Value Index. For each firm, I want to obtain the dividend yield industry percentile rank and the PEG ratio industry percentile rank. I've ...
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### Fitting stochastic variance distributions to index return data

I want to calculate option prices based on a realistic distribution of the underlying. The underlying is a liquid index such as Eurostoxx50. I think of two aproaches, both of them incorporate ...
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### How to compare the results of covered call and protective put option strategies?

I'm doing a Scenario analysis by creating delta options hedging strategies for Hong KongHSI. In this scenario I hold a basket of stocks and select protective put option hedging or covered call ...
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### Sharpe Ratio - my own calculation differs from Yahoo finance, Morningstar

I am trying to compute the Sharpe ratio for my portfolio. To check that I am doing this correctly, I am first trying to compute it for SPY (the S&P 500 index). ...
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### why people want to get a continuous time series from futures data?

So for the backtesting , is it necessary to make an adjustment for the last day of the current contract and the first day of the next far contract? Even if there's is a gap, that's the actual price, u ...
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### Max Likelihood via Marquardt Optimisation

I asked a related question here: How to apply Levenberg Marquardt to Max Likelihood Estimation I tried the approach suggested it works for some of the parameters but not the variances. I spoke to ...
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### How to get permanently growing chart within PCA

I looked onto different questions and answers about application of PCA on this site and found this interesting article : ...
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### Technical analysis in Python - source of knowledge

I did my best, but I could not find answer for this one - is there any good and in-depth source of knowledge about using Python for technical analysis ? Obviously, there are plenty of tutorials, blogs ...
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### Why Ito calculus?

Coming from physics, I am used to the fact that the Ito interpretation of most natural stochastic equations is wrong, and one should be using Stratonovich calculus instead (of course they are ...
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### Break down XIRR to different segments

Currently, I have the following transactions. ...
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### Where can I buy historic raw order by order data for Euronext market?

I cannot find any vendor that sell the full depth order by order data historically. I called Euronext and for some sick reason they "have the data" but "do not sell it". Do you guys know where I can ...
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### Martingale Stock Prices

In http://www.principlesofforecasting.com/files/pdf/Granger-stockmarket.pdf Granger makes survey of some arguments. In section I there are two hypothesis H01, and H02. H01: Stock prices are a ...
In Tomas Bjork's Arbitrage Theory in Continuous Time (or here), $\exists$ these propositions How does the first formula follow from from the algorithm? I get that $\Pi(0;X) = V_0(0)$, but I don't ...