The tag has no wiki summary.

learn more… | top users | synonyms

1
vote
0answers
206 views

Quadratic utility function

May you can help me undertanding the following conclusion: Suppose we have an agent who has preferences over contingent claims, represented by a concave function $U$. This simply means that ...
1
vote
0answers
510 views

portfolio optimization with a loop

I am attempting to minimize the variance of a 3 stock portfolio using optimization within a loop. What I have done is calculated the stock returns and cov matrix from dates 1980-01-01 to 1989-12-31 ...
1
vote
0answers
144 views

Keynesian Multiplier [closed]

I am taking a degree in macro economics, and am at a juncture where knowledge about the Keynesian Multiplier is imperative. Though I've been at the lectures, read the literature and scoured the web, I ...
0
votes
1answer
63 views

how to extract moments of GB from moment generating function?

I'm searching for the moments of geometric brownian motion using the gmm optimization program. the aim is to make the process y(t) of returns follows a normal distribution Are there any packages in ...
0
votes
1answer
423 views

Why is delta-hedging of ATM options near expiry difficult to do? [closed]

Can someone explain to me why the delta-hedging of ATM options near expiry is difficult?
0
votes
2answers
204 views

Are PX_BID and PX_ASK on Bloomberg closing bid/ask? or are they daily averaged?

Bloomberg provides PX_BID and PX_ASK on a daily basis, but it's not clear exactly where these numbers come from. Are they closing bid and ask prices, or are they averaged over the entire day? For ...
0
votes
2answers
57 views

Infinite autocorrelation - Unit root?

I have a time series of gold prices, on which I want to build an ARIMA model. The series is autocorrelated and if I can difference as often as I want, it always is. First: data: d1gold Dickey-Fuller ...
0
votes
1answer
51 views

How does buying back stock affect a company's credit spread?

How does buying back stock affect a company's credit spread? Would it cause it to get smaller? Any clarification would be appreciated.
0
votes
1answer
127 views

Directional/Non-Directional Risk

Can someone explain to me what is direction/non-directional risk? Went through few sites but couldn't understand much.
0
votes
1answer
107 views

Regression extensions

I'm trying to find extensions for my regression and obviously would like to use PE, BV and CFO. But I've got monthly data, while all company's fundamentals are semi-annually... Can I deal with it ...
0
votes
0answers
39 views

Career change examples from hard sciences to finance post 35 age [closed]

Are there good examples of people who changed successfully from PhD in hard science like Electrical Engineering, Physics, Mathematics, computer Science to finance later in life (say post 35 age)? (One ...
0
votes
0answers
61 views

Option payoffs and replicating payoffs

I've come across the below question which has no answers to it and I was hoping someone could provide some help. I know it quite a long question and I appreciate any help with this. An investment ...
0
votes
0answers
45 views

Multi-Factor Models Application

I am trying to use what I learned about multi-Factor Models to apply to some questions: Suppose investing 80% in Portfolio A -100% in Portfolio B 20% in risk free asset If $\hat{F_1}$, denoted by ...
0
votes
1answer
122 views

download intra day data [duplicate]

I am trying to download intra day stock data for some 7000 symbols using google url : ...
0
votes
0answers
25 views

map company CIK numbers to symbols [duplicate]

I got a list of CIK numbers and company name from http://www.sec.gov/divisions/corpfin/organization/cfia.shtml. It has almost 11,500 company CIK's. I want to map CIK number to company symbols,I got ...
0
votes
0answers
22 views

definition of high frequency data [duplicate]

i would like to know what does mean high frequency data and low frequency data?there i could not find any basic definition of these two term,also it is very important to know what is meant by mean ...
-1
votes
3answers
554 views

What are the best master programmes for someone interested in a career in quantitative finance? [closed]

Any recommendations on the best schools and overall education choices for quantitative finance?
-1
votes
2answers
178 views

What's the first time-integral of price called?

In general I'm wondering about the names of time-derivatives of price. E.g. in physics the first few time-derivatives of position are: f(x) = displacement f'(x) = velocity f''(x) = acceleration ...
-4
votes
1answer
3k views

How to annualize log returns? [closed]

I have daily log return from 01.01.2011 to 10.28.2011 and I'd like to compare the total return of that 10 months period (which is of -7.093%) to annual log returns of previous years. I know it's ...