# All Questions

554 views

### Bond Portfolio Immunization - Duration Matching

**Question is at the bottom** Suppose you have a portfolio of bonds A, B, and C with the following characteristics: (the "Frequency" column is the # of coupon pmts per year and also the # of ...
27 views

### How to filter and normalize market data obtained from distinct sources (FIX 4.4, bloomberg, etc) in an algorithmic trading system?

I'm wondering if some of you known how to resolve this requirement: I have to define the architecture of an algorithmic trading system (but I'm not an architect, so I'm trying to do my best). I have ...
115 views

### Real-time market data from the exchanges: what should we be aware of?

We receive daily end-of-day data from a data vendor (i.e. not direct from an exchange) and are comfortable with this. We are now wanting to receive live data, and after a few enquiries we are feeling ...
11 views

### Any one know examples for co-integrated stocks?

Can anyone give examples for pair of shares/stocks that can be used in Pair trading ?? one such example is Royal Dutch Shell A vs Royal Dutch Shell B shares.. i want few more examples to check ...
2k views

### What is an efficient data structure to model order book?

What is an efficient data structure to model order book of prices and quantities to ensure: constant look up iteration in order of prices retrieving best bid and ask in constant time fast quantity ...
24 views

### How to test the 5 Factor CAPM of Fama & French (2014)?

I would like to conduct a study testing the 5 factor CAPM, using UK stocks. Does anyone have any suggestions of how I can do this? Could this task be as simple as regressing average returns for a ...
24 views

### What is an appropriate algorithm to use for tax loss harvesting?

I've been reading into how Betterment and Wealthfront have architected their tax loss harvesting algorithms, but they stop short of providing any real examples. Essentially, they both reduce to: ...
7 views

### How to adjust historical data highs/lows for splits and dividends?

When I download historical data from yahoo finance, only the closing price is adjusted for dividends/splits. Is there a way of figuring out the factor by which lets say the highs/lows have to be ...
13 views

### The role of Gamma in replicating a put

I am analyzing portfolio protection by replication of a put. Having my portfolio with value $V$ I could buy put giving me the payoff $P$ resulting in a call like pay-off scenario $C=V+P$. Say, I ...
19 views

### Foreign exchange - Dealer spreads and order size

Is it true that in foreign exchange markets, dealer spreads are lower for smaller order and increases for larger orders? This seems counter-intuitive when compared to other markets where dealer ...
118 views

### How to price exotic options using Monte-Carlo?

I am actually trying to solve some exercise problem using Monte-Carlo and C++ for exotic options. Namely, the exotic options are geometric Asian options and discrete barrier option. It is claimed ...
21 views

### What does tradable asset mean?

I see a lot of theorems related to tradable assets in quantitative finance text books. What is a tradable asset? What does 'tradable' mean exactly? Does it simply mean the asset can be bought and ...
6 views

### How do I calculate the book value of a company from its balance sheet? [on hold]

I went to a financial modeling seminar, but I didn't understand what was going on because I was so new to the world of finance. If I'm looking at a balance sheet, how do I get EBITDA? From there how ...
30 views

### How do estimate parameters of geometric brownian motion with time-varying mean?

Does anyone know how to estimate $A$, $\sigma_1$,$\sigma_2$ from the following system? $$dx = \mu_t x dt + \sigma_1 x dB_x$$ $$d\mu = A(\bar\mu - \mu) dt + \sigma_2 dB_\mu$$ Variation in $x$ could ...
14 views

### Where can one find realistic historical transaction costs?

I am interested in strategy simulation at different frequencies (high frequency and daily frequency) and I want to compute the optimal frequency of execution. To do this, I need to obtain realistic ...
2k views

### Difference between google finance and yahoo finance?

I am wondering about the huge differences of the data provider google finance and yahoo finance. I am interested in the monthly data from adidas listed on xetra. In google: ETR:ADS and in yahoo ...
6 views

### Stub rate and first fixing in IRS

I have 2 questions that probably are related. Suppose there is an IRS that pays a 2% fixed rate every 6 months and receives the Libor 3 months (but paid every 6 months). The swap starts today (March ...
273 views

### How trading in currency pair works, underlying techniques and mechanisms

I am somewhat experienced in Forex trading, but I have a question which has bothered me for quite some time. If we for instance go back in time four months, to before the beginning of value loss the ...
27 views

### Co-integration Ratio Using R for pair trading [on hold]

I am hoping to do pair trading using R. To do that , i have to calculate the Co-integration Ratio between the two stocks. How can i obtain this Co-integration Ratio using R ??
7 views

### gauss module for maxlik.lcg and optmum.lcg [on hold]

Im wondering if anyone has the gauss module, preferably version 10.0 or after, I would like to have maxlik.lcg and optimum.lcg since my version is too old, so it's not compatible with the code I have. ...
3 views

### How to calculate global exposure via commitment approach for FX swaps?

How would you calculate global exposure for FX swaps using the commitment approach? In particular, would you take into account both legs? CESR guidelines (CESR/10-788) defines that the exposure for ...
11 views

### Where can I get equivalent of 3 months libor or swap historical data?

Please note: I have already checked your standard "Historical data sources" link, but it does not have the data I need: I am looking for 5 years of libor/swap data for major currencies. Daily, or ...
41 views

45 views

### How to get around flat likelihood function when calibrating GBM parameters

(Hope this is the correct place for this question - I posted it first on stackoverflow:) I want to calibrate jointly the drift mu and volatility sigma of a geometric brownian motion, ...
469 views

### Johansen Cointegration Test

I just performed a Johansen Co-integration test on two stocks. The results I get are: ans = r0 r1 t1 true false I am using Matlab. Can ...
726 views

### Derivation of Ito's Lemma

My question is rather intuitive than formal and circles around the derivation of Ito's Lemma. I have seen in a variety of textbooks that by applying Ito's Lemma, one can derive the exact solution of a ...
76 views

79 views

### Where can I find a guide to implement the FAST protocol from scratch having already a FIX implementation ready?

I need to implement a FAST engine from scratch without using any open source or commercial FAST implementations. The FAST spec does not help much so I am not sure from where to start. Have anyone done ...
31 views

### portfolio optimization with uncertain returns

What is the usual method of dealing with many uncertain mean returns in portfolio optimization? For example say you have a 3 asset portfolio with assets A, B and C. All the correlations and variances ...
37 views

### Does a call calendar lose its entire value if underlying increases well past the strike?

If I buy a call calendar spread, and the underlying increases, both options are in the money by the expiry of the short call. So both options increase in value, but the short one increases less ...
42 views

### PEGY Ratio: Does it make sense?

PEGY ratio is calculated as PE ratio/(Earnings Growth Rate + Dividend Yield). Putting aside the discussion of whether forward or trailing P/E ratio should be used, isn't adding dividend yield over ...