0
votes
2answers
151 views

Step By Step method to calculating VaR using MonteCarlo Simulations

In trying to find VaR for 5 financial assets with prices over a long period of time(2000 days worth of data) how would I do the following: Carry out monte-carlo simulation in order to find a VaR ...
0
votes
0answers
2 views

Writing an Options Strategy Backtester

I've been doing some digging, and this question has been asked many times in various forms over the years - Backtesting Options Strategies in R Are there any good tools for backtesting options ...
0
votes
2answers
73 views

Is there a way to meaningfully generate daily returns from monthly?

I have a set of 7 investments in a portfolio and I need to optimize the weightings based on some exposures to various markets/styles/economic factors. I was hoping to do some sort of simple exposure ...
4
votes
3answers
374 views

How to calculate probability of touching a take-profit without touching a stop-loss?

How to calculate probability of touching a take-profit without touching a stop-loss (no-dividend stock, infinite time)?
1
vote
2answers
168 views

Calculating historical implied volatility

I know that each individual option has it's own implied volatility, but how do you go about calculating the overall implied volatility for an underlying? For example when someone sais the IV of a ...
0
votes
1answer
237 views

Can I use PyAlgoTrade for Forex?

Is it possible to use PyAlgoTrade for Forex related algorithms? If it is, please point me in the right direction on how to get PyAlgoTrade to work on Forex data.
0
votes
1answer
48 views

Deduce expected exposure profile from option/structure delta?

I am thinking about whether there exists a relationship between the delta of an option (or any structured derivative) and it's expected positive/negative exposure? An intuitive question would be ...
2
votes
4answers
144 views

Which database to choose for storing and aggregating finance data?

I'm planing to store stock market data in realtime and aggregate ticks for draw volume based cluster graph. Something like this: Every tick (or second) data will be grouped by period (1,5,10 ...
0
votes
1answer
28 views

Error using ghyp-distribution function

I want to fit multivariate GH distribution on my data, and then generate simulations for that distribution. Using the instructions given in ghyp package, I wrote following lines of code in R. ...
5
votes
1answer
185 views

Calibration Merton Jump-Diffusion

Consider the following SDE $dV_t = rV_tdt +\sigma V_t dW_t + dJ_t$ where $J_t$ is a Compound poisson process with log-Normal jump size $Y_i$. How am I supposed to calibrate this model to CDS spreads?...
0
votes
3answers
35 views

Skewed Student t distribution MLE and Simulation

I have Financial LOB data and I feel that a skewed t distribution will fit best. I have a problem trying to find the parameters using MLE numerically since Matlabs built in function does not allow for ...
0
votes
0answers
10 views

Show if Arrow price vector $\pi$ exists, then the law of one price hold

Now, the proof I have read goes like this: Take assets 1 and 2, entirely identical. By assumption there is a pricing vector, i.e. $\sum_s\pi_sd^1_s=q^1$ and $\sum_s\pi_sd^2_s=q^2$ where $d^i_j$ is ...
1
vote
1answer
16 views

Why closest weekly options have enormous Implied Vol.

I know weekly expiration cycle's Implied Vol. explodes prior to earnings, that is due to Theta and Expected move. But why does it happen on stocks that don't have earnings? ( let's say earnings will ...
0
votes
1answer
23 views

How is possible to relate volatility with risk?

I read that equallying voliatility with risk is one of the hardest critics on Quantitative Finance and that this is -indeed- the fundamental base of Quant. This question is analogous considering that ...
6
votes
1answer
147 views

How to perform risk budgeting for non-linear portfolios?

I am using this question to compute optimal weights following a risk budgeting approach. The problem is I am using non-linear portfolios (options,equity,fixed income,fx). What I am looking for is ...
51
votes
8answers
19k views

Efficiently storing real-time intraday data in an application agnostic way

What would be the best approach to handle real-time intraday data storage? For personal research I've always imported from flat files only into memory (historical EOD), so I don't have much ...
4
votes
1answer
638 views

Open source equity/bond index data

I have been using the tseries package of R (get.hist.quote) to get historical quotes for various indices from yahoo finance. I am interested in DAX, VDAX, EB.REXX ...
1
vote
1answer
46 views

Non-contractual accounts behavioural study

I need to carry a non-contractual accounts behavoiural study for a bank. The objective is to estimate core/non core ratios and then bucket and ftp them. Any recipe where to start? I have 3yrs of ...
0
votes
0answers
23 views

Market microstructure by Mark B. Garman (J. Financial Economicss 3, 257-275, 1976)

Link: http://www.sciencedirect.com/science/article/pii/0304405X76900064 In Garman's inventory model, buying order and selling order are poisson process with order size = 1. Buying price and selling ...
2
votes
1answer
47 views

Expected option return in MATLAB

The expected return of an option is given by its expected payoff under $P$ over its market price under $Q$. For the Black-Scholes model, expected call option return is given as (see here): $$ E(R)=\...
0
votes
2answers
134 views

How to automatically get all options data for a particular stock into microsoft excel?

I'm looking for a way to get the entire options chain (All options expiries) for a particular stock in excel without manually copy pasting anything. It does not have to be real time and I will only be ...
0
votes
1answer
14 views

How do they calculate stocks implied volatility?

I know the construction of Black-Scholes model and how do we solve it for an Implied Volatility. But in general, which option price do Softwares use to come up with Implied Vol for Overal Stock, let'...
5
votes
1answer
238 views

Up and Down days in GBPUSD and a Filter

I want to study if the odds of an up or down day in a forex pairs is 50-50. I just count the total number of up and down days in X years and compare it with the total days. The results are very ...
1
vote
0answers
18 views

DAX - company's weights

How often are company's weights being changed on DAX? Where can I find historical data of DAX weights?
2
votes
1answer
108 views

VEC GARCH (1,1) for 4 time series

I have to estimate a VEC GARCH(1,1) model in R. I already tried rmgarch, fGarch, ccgarch, mgarch, tsDyn. Has somebody estimated a model like that? ...
5
votes
1answer
169 views

DCC GARCH - Specificating of ARCH and GARCH parameter Matrices STATA

The command in STATA to calculate the DCC model of two variables is: mgarch dcc ( x1 x2=, noconstant) , arch(1) garch(1) distribution(t) $$ \begin{bmatrix} ...
1
vote
1answer
108 views

quantlib python : missing methods?

I'm reading Introduction to Selected Classes of the QuantLib Library I by Dimitri Reiswich and tries to "convert" it to Python. It seems to me that some C++ possibilities aren't available in python. I'...
1
vote
1answer
70 views

Derivative: Delta of a Down and Out Call Option with Barrier=Debt(K)

I am trying to compute the derivative of this function with respect to V0: This is the price of a down and out call option, assuming the barrier equal to the level of debt K. In other terms, I need ...
1
vote
0answers
13 views

x13 Arima analysis with negative values

I'm running x13 Arima analysis on a US GDP series to get the "trend" component. ...
1
vote
0answers
51 views

Valuation Method for CASH in S.06.02 QRTs

Extract from the latest spec for C0150 (Valuation Method) of S.06.02: Identify the valuation method used when valuing assets. One of the options in the following closed list shall be used: ...
1
vote
0answers
5 views

S0602 - whether to report Quantity (C0130) or Par Amount (C0140) for Money Market Funds?

We have several positions in a money market fund (CIC IE43) to report in the S.06.02 QRT, and we receive source data for both Quantity & Par Amount. These are actually identical. Which one ...
1
vote
0answers
27 views

Reference Request: Trader Replication

I am looking for any reference where the following problem was addressed: given the list of trades of a trader teach an AI to replicate that trader's strategy. There are several well-known results ...
0
votes
0answers
15 views

Help with amortisation table in Excel VBA [on hold]

I am a beginner with VBA. I am trying to create an amortisation table where the interest rate used depends on two inputs which will be provided by the user. For example if X=2; and Y=3, then interest ...
1
vote
1answer
21 views

Reference for option pricing, binomial multi-period model using martingales and conditional expectations

The title basically says it all. I am looking for a reference text on the pricing of options in a binomial multi-period model. It should be mathemathically rigorous using martingales and conditional ...
0
votes
1answer
56 views

Pricing foreign currency bonds - which approach is more theoretically “sound”?

You own a fixed rate corporate bond in foreign currency (let's say JPY). Your domestic currency is USD. Which of the these two approaches do you consider theoretically better? Discount JPY cash ...
4
votes
1answer
68 views

Correlation of a lognormal asset and a normal asset

So if i want to calcualte the correlation between a pair of assets, my intuition is that i should calculate whatever correlation i plan on using; When we look at correlation, it's normally the ...
9
votes
3answers
8k views

Trading C++ Libraries

Are there any free c++ libraries that would have some of the functions that would be used in developing a trading strategy. For instance, calculating drawdown, Volatility Forecasting, MAE, MFE....etc. ...
1
vote
1answer
65 views

Pricing a Vanilla swap between coupons; What rates to use?

Vanilla Swap question. Entered into a 5Y fixed for floating HUF swap. Fixed is annual coupons, Float is semi-annual coupons. 1 month later I want to price it. I set up my future values for Fixed ...
3
votes
1answer
54 views

Option price derivation with these dynamics

If my underlying follows a dynamics of the form \begin{align*} dF(t,T)/F(t,T)=\sigma_1(t,T)dW_1(t)+\sigma_2(t,T)dW_2(t), \end{align*} where $\sigma_1(t,T)=h_1e^{-\lambda(T-t)}+h_0$, and $\sigma_2(t,T)...
4
votes
1answer
71 views

GARCH volatility modeling, squared returns, and convergence

After reading some more of Volatility Trading, I decided to try to make a simple volatility model using daily log returns of an ETF I follow. It turns out "simple" is sort of relative. Unfortunately, ...
3
votes
1answer
94 views

How to derive an option price for an asset with these dynamics?

Assuming my underline asset price follows the process: $$d\ln (F_{t,T})=-(1/2)\sigma ^2e^{-2\lambda(T-t)}dt+\sigma e^{-\lambda(T-t)}dB_t $$ How should I derive an option price formula?
5
votes
1answer
48 views

Why does jump process has to be Cadlag and not the other way around

In all books and references that I have been exposed to, the jump processes have been defined to be Cadlag(right continuous with left limits). But no one has explained why this is the preferable case, ...
2
votes
1answer
58 views

How to measure the real interest rate using the consumer price index

I am examining how investor sentiment affects the probability of stock market crises. I am using methodology similar to this paper https://ideas.repec.org/p/dij/wpfarg/1110304.html. One of the ...
185
votes
26answers
122k views

What data sources are available online?

What sources of financial and economic data are available online? Which ones are free or cheap? What has your experience been like with these data sources?
1
vote
0answers
25 views

Changing timezones with historic forex data (Interactive Brokers API IBPy)

I would like to be able to change the timezone for my requests to the IB API, how can I do this? I am writing in Python, and thus use the IBPy wrapper found here. Supposedly, the third argument of ...
1
vote
2answers
56 views

Sharpe Ratio and your annualization

My question is related on this How to annualize Sharpe Ratio? but is a bit different. Under assumpion of IID returns, if excess return is positive, the SR increase over time horizon, with factor $\...
1
vote
1answer
53 views

Risky duration formula for what kind of bond?

In a documentation, there is the following formula for "zero interest rate risky duration" of a bond: $\frac{1-exp(-s \cdot T)}{s}$, where $s$ is spread, $T$ time until maturity. What type of bond (...
1
vote
0answers
33 views

R:log return calculation for panel data structure

I have a long form panel for hourly prices of stocks. I want to do log return calculation for this panel data structure. This is sample data: ...

15 30 50 per page