2
votes
0answers
19 views

Time between end of use of ticker symbol by one company and beginning of use by another?

I have a CRSP stock dataset that goes up to december 2013. I'm trying to append yahoo finance data to it in order to bring it up to the current day. However, there are ticker symbols that once ...
1
vote
1answer
30 views

Kalman filtering

Is it possible to the extract the latent factor f from the following equations using kalman smoothing? f is the unobserved state value while z is observed series. From the literature i could read ...
7
votes
1answer
384 views

Do intraday volume and volatility share the same properties?

volatility clustering and mean reversion are very well known properties that one could use when trading. Traders, especially in options world, do take realized vol into account (e.g. by forecasting it ...
1
vote
2answers
72 views

Transforming Variables in Regression

I have a very simple problem that hopefully someone could help me with or at least point me in the right direction. I am testing to see which factors affect index returns the most and would like to ...
0
votes
2answers
87 views

Does a forward price have a drift component in any measure?

Going by intuition, a forward price should already take into account the drift in the underlying price process. Further, assuming interest rates are deterministic, the stochasticity in the forward ...
1
vote
0answers
19 views

Discrete Trading to reduce speculation

I recently read a paper by Terje Lensberg (2014) "Costs and benefits of financial regulation: Short-selling bans and transaction taxes" where he analyzed the effects of financial regulation (short ...
3
votes
1answer
119 views

US options market/microstruture research

Can someone point out where to find up to date market/microstruture research in the options market?
4
votes
1answer
35 views

(Re) normalisation of random variable in Monte-Carlo simulations

I have a very simple model (CIR) with a very simple discretisation scheme (Euler) and I use it to do Monte-Carlo Simulations. It is working. Someone insisted that renormalization of my random ...
1
vote
2answers
75 views

Why the expected return rate of a stock has nothing to do with its option price?

OK, I admit that this is a frequently asked question. But I couldn't find a satisfying answer after I read the explanations of books, went through the derivations of B-S formula, and searched answers ...
3
votes
2answers
96 views

Stock Returns Distribution in Heston Model

There is a paper by Dragulescu and Yakovenko (DY) in 2002 proposing a pdf for the stock returns in the Heston model. However, in a paper by Daniel, Bree and Joseph, they actually perform statistical ...
3
votes
2answers
87 views

How to simulate a CIR process using GPU and Matlab

I am trying to simulate a CIR process using Matlab and my GPU for effeciency. At the moment i run into some implementation problems due to the recursive nature of the discretization. The sheme I ...
3
votes
1answer
78 views

Question about historical volatility ranking

I have seen this strategy example, which uses garch in a regime switching context: https://systematicinvestor.wordpress.com/2012/01/06/trading-using-garch-volatility-forecast/ The author classifies ...
-1
votes
0answers
31 views

Help with introduction to financial mathematics and financial modeling [on hold]

theoretical physicist here. I am trying to find out what I need to be trained on in order to work on finance in areas like risk analysis and management, financial modelling, asset trading and ...
0
votes
1answer
35 views

Effective & Maturity Date Modified Following

I am constructing discount curve for tenor 1 month. First Instrument - PLN_1M_WIBOR has Effective Date on 2015-01-29 (spot). I was wondering what Maturity Date should be? 2015-02-27 or 2015-03-02? I ...
0
votes
1answer
72 views

Forward Curves and Par Yield Curves

I'm recently reading a research paper on the yield curve by Salomon brothers and in it it states that when the forward curve is above the par yield curve, it is seen as cheaper. If for example, the ...
1
vote
3answers
33 views

The Law of One Price in a discrete model

The following question assumes familiarity with the discrete model described in chapter 5 of Steven Roman's "Introduction to the Mathematics of Finance", 2nd edition, Springer 2012. I will not ...
1
vote
1answer
23 views

What is the gross accounting relation of Cobb-Douglas function?

We have Cobb-Douglas function like this $Y=AK^\alpha L^{1-\alpha}$, in one of the book, it deduce like this: How can we get this formula? $$\frac{\Delta Y}Y = \frac{\Delta A}A+\alpha\frac{\Delta ...
1
vote
0answers
16 views

What is the most efficient way to periodically download all new 10-K filings from SEC's EDGAR?

I found this website which uses a perl script to download all the filings. It states: "There are 200K+ 10-K (and equivalent) filings, which will take considerable harddisk space and time to download. ...
6
votes
1answer
233 views

Time series analysis on illiquid price data?

Say for example I have the following company in some specialized industry: A - Company that is about to be listed in Exchange 1, i.e., no price history B - Company that produce similar products as ...
3
votes
1answer
92 views

How to estimate CVA by valuing a CDS of the counterparty?

I'm trying to estimate CVA of one of my derivatives by valuing a credit default swap (CDS) of my counterparty. However, I don't know how to set up the CDS deal (notional amount, maturity, etc.). ...
1
vote
0answers
31 views

forecasting trading costs with end of day data

I am trying to create a model that forecasts trading costs (using end of day data, so no intra day data). My trading cost (also called Implemented Shortfall (IS) is defined as such for a single stock, ...
2
votes
1answer
31 views

Are CME security id's unique and constant over time?

For any given day, CME security IDs are unique - a number will always refer to a single product. Are they unique over time as well? That is, might a new security have a security id that used to be ...
-1
votes
1answer
61 views

Equity Chart - design and granularity

I am looking to build a web based Equity chart to display performance of FX trading strategies. I would like to hear opinions and advice on a few areas that I am unsure about. Granularity Equity ...
0
votes
0answers
24 views

Creating correlated Brownian motions from independent ones

This is the exercise from book "Stochastic Calculate for Finance Volume 2", Page 199. Let $(W_{1}(t),...,W_{d}(t))$ be a d-dimensional Brownian motion. $(\sigma_{ij}(t))_{m\times d}$ be an ...
0
votes
1answer
27 views

Validation of Bates SVJ model

I have just finished implementing the Bates model for pricing European call options. To check results, I have been looking for a validation set where I could see the Bates parameter values and ...
1
vote
3answers
53 views

How to differentiate a brownian motion?

By definition a wiener process cannot be differentiated. But when we use Ito's lemma on F = X^2, where X is wiener process we have total change in ...
0
votes
1answer
300 views

Excel to Java for Interactive brokers

I have a working excel workbook connected to Interactive brokers DDE API. I am struggling to upgrade to a more robust environment like Java. I tried to change it to ActiveX for Excel but the ...
-1
votes
2answers
43 views

Why aren't there any single owner companies over a billion dollars? [on hold]

The biggest companies have multiple owners which dilute the authority and finances of the company. They are either publicly traded companies via selling shares through stock markets, or privatly owned ...
9
votes
3answers
13k views

How to simulate stock prices with a Geometric Brownian Motion?

I want to simulate stock price paths with different stochastic processes. I started with the famous geometric brownian motion. I simulated the values with the following formula: ...
1
vote
1answer
40 views

What is a Basis Swap Curve?

I know what a Swap Curve is. But I don't understand what a Basis Swap Curve is and how it is constructed? Need some guidance on this.
1
vote
1answer
53 views

Calculate CVaR for a portfolio

I would like to calculate the Conditional Value at Risk for a portfolio. To be honest, I'm trying for a few days to find an example to calculate for an entire portfolio, not just for one security and ...
3
votes
0answers
22 views

Clarification of Saturation-Reset Regimes

I have worked my way through this article, waiting to get into school I have been self-learning a bit. I have a good grasp on most of the article, but the component strategy of Saturation and Reset ...
0
votes
1answer
28 views

Good book about replicating portfolios

I want to know if anybody can suggest me a good textbook which explains in detail and in an understandable way how to create replicating portfolios of financial instruments like options "cash or ...
4
votes
3answers
191 views

Why is Brownian motion merely 'almost surely' continuous?

Why is Brownian motion required to be merely almost surely continuous instead of continuous? For example, this is stated as condition 2 in this article in section 1, Characterizations of the Wiener ...
0
votes
1answer
60 views

How to fit a SARIMA + GARCH in R?

I'd like to fit a non stationary time series using a SARIMA + GARCH model. I have not found any package that allow me to fit this model. I'm using rugarch: model=ugarchspec( variance.model = ...
1
vote
1answer
24 views

Stock price is a martingale if the riskless interest rate is zero?

I came across a question as such: Suppose company IBC is trading at \$75 per share. What does it cost to construct a derivative security that pays exactly one dollar when IBC hits $100 for the ...
0
votes
1answer
17 views

Lease Accounting / FX Embedded Derivatives

I have a lease agreement where the functional currency is USD, domestic currency is UAH. Lease agreement is written in EUR (rent rate) and payments are to be done in UAH in the amount of rent rate ...
1
vote
1answer
48 views

Proving there exists no arbitrage opportunities given 3 states and 2 assets

Assume there are 3 states of the world: w1, w2, and w3. Assume there are two assets: a risk-free asset returning Rf in each state, and a risky asset with Return R1 in state w1, R2 in state w2, and R3 ...
2
votes
2answers
72 views

Braess's paradox in quantitative finance: When optionality leads to lower value…?

One of the standard tenets of quantitative finance is that options should have an intrinsic value because optionality as such (in the sense of having more choices) should bring about value. This ...
4
votes
3answers
95 views

Technical analysis - Calculating Aroon Indicator Serie

I'm trying to build a class to create Aroon series. But it seems I don't understand the steps well. I'm not sure about what purpose I have to use the period parameter. Here is my first attempt: ...
1
vote
0answers
26 views

Confused on interpretation of betas/alphas in regression in finance

I ran a regression on two stocks. I don't have the data in front of me, but it is a more conceptual question. Let's say SP500 returned a total 23% return over this time period and MSFT returned ...
0
votes
1answer
32 views

Binomial tree vs trinomial tree in pricing options

Very new to pricing models. Is there a general guideline when to use binomial tree and when trinomial tree is preferred? As far as I know, unlike binomial tree, trinomial tree only gives a range ...
3
votes
2answers
108 views

Time-independent local volatility

Suppose somebody provides us with a surface of European call prices $C(\tau,K)$ where $\tau$ stands for time-to-maturity and $K$ for the strike. By Dupire's results, there is a unique local volatility ...
0
votes
1answer
22 views

A problem involving random walks from Shreve

Problem 5.4i in Shreve examines a symmetric random walk. Let $\tau_2 $ be the first time that the random walk reaches 2. For $\alpha\in (0, 1) $, we are given that $$E [\alpha ^ {\tau_2}] =\sum_{k = ...
1
vote
1answer
271 views

ex ante tracking error correlation between funds

I have two portfolio's called Comb & Global. They both have the same investable universe lets says 3000 stocks & are measured against the same benchmark. So it is possible that both funds hold ...
1
vote
1answer
47 views

What is the difference between a book value and a market value?

0 down vote favorite I would like to understand the following problem. A 2yr zero-coupon bond has an annual yield rate of 11% per year. A 4yr zero-coupon bond has an annual yield rate of 19% ...
0
votes
0answers
6 views

use of recurrence quantification analysis for deterministic signal identification and classification

The recurrence quantification analysis (RQA) is a method of nonlinear data analysis which quantifies the number and duration of recurrences of a dynamical system presented by its state space ...
-1
votes
0answers
20 views

building a portfolio without knowing the initial capital

Lets say I have the trades made by trader X on multiple stocks and I want to aggregate them into a portfolio to compute the portfolio return over time. For instance, I know that X bought 10 shares of ...
0
votes
0answers
16 views

IbPy download historical price data

How can i download historical price data from interactive brokers using IbPy and python?

15 30 50 per page