0
votes
0answers
2 views

How to generate jump times in in Multilevel path simulation for jump-diffusion SDEs?

I am trying to generate jump times in in Multilevel path simulation for jump-diffusion SDEs using the following MATLAB code: I used following Algorithm in Yuan Xia paper:
0
votes
0answers
1 views

How to simulate jump times in Multilevel path simulation for jump-diffusion SDEs?

How to simulate jump times in Multilevel path simulation for jump-diffusion SDEs in this pag ? Yuan Xia I used this code: function tj=Simulate_jump_time clc; M=2; l=2; landa = 1; T=1; nf = M^l; hf ...
0
votes
0answers
4 views

What to do when I do not get enough fill in cash leg during cash - future arbitrage

Futures have fixed lot sizes in my exchange, but cash do not. When I am spread trading the cash - future pair, what should I do if I am unable to get enough fill on the cash side.
1
vote
1answer
72 views

Bachelier model: number of stocks in replicating strategy

Given: Consider a two-asset, continuous time model (B,S) where \begin{equation} dB_t = B_t r dt, \quad dS_t = \mu dt + \sigma dW_t. \end{equation} The question is: Show that there exists a ...
1
vote
1answer
19 views

Bloomberg-alternatives for intraday stock price data?

Given the limitation Bloomberg imposes in terms of the number of days you can go into the past when retrieving historical intraday data, what are similarly reliable alternative solutions? I require ...
4
votes
1answer
173 views

Analysis of Unbalanced Covered Calls

Hello I am doing an analysis on covered calls with and extra amount of naked calls. Ignore the symbol and current macroeconomic events. I couldn't find any reference to this strategy (unbalanced is ...
2
votes
0answers
8 views

Data Selection for Empirical Pricing Kernel Estimation

I want to estimate an empirical pricing kernel for an index. Hence, I need to estimate a physical and risk neutral density. For estimating the physical density, only the index data in an observed time ...
1
vote
1answer
39 views

Market Timing Performance for a single stock

It seems there are models that study the market timing ability of funds. Models such as the Treynor-Mazuy and Merton-Henriksson. One can also study the bull beta and compare it to a bear beta. My ...
2
votes
1answer
31 views

How to calculate a forward-starting swap with forward equations?

I have been trying to resolve this problem for some time but I cannot get the correct answer. The problem is the following one. Compute the initial value of a forward-starting swap that begins at ...
2
votes
2answers
55 views

arbitrage in Heston model

Really struggling in this question: Consider a market with two assets $(B,S)$ whose price dynamics satisfy \begin{equation} dB_t = B_t r dt \end{equation} \begin{equation} \quad \quad \quad \quad \, ...
1
vote
0answers
10 views

Why asset management firms shouldn't be custodian of its own funds?

I am reading the Madoff case. One of the issue is BMIS Firm (Bernie Madoff Investment Securities) were acting as a Asset Management Firm, broker as well as Custodian. Why is it an issue? What sort of ...
1
vote
2answers
122 views

How can I export intraday frequency data from Bloomberg and (how) is this procedure different than for lower frequencies?

For a research project, I would like to work with some intraday asset prices. I have already successfully exported the corresponding data at daily frequency, using the Excel API, but somehow this ...
0
votes
1answer
29 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 ...
2
votes
1answer
120 views

Wiener process integral

Suppose that $W_{t}$ is a Wiener process. Assume $W_{0}=0.$ Is it true that $\int_{t=0}^{T}dW_{t}=W_{T}$? If so, why? Is one preferred to the other?
1
vote
1answer
24 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
8 views

How to prepare data for superior predictive ability (SPA) test?

Can anyone please let me know how to prepare data to compute superior predictive ability (SPA) test in R? I am working on forecasting volatility in stock markets, the context is, I used ...
1
vote
1answer
19 views

Longer term average probabilities of fills at fx ECNs?

I am wondering whether anyone can share experiences and longer term average probabilities of fills when quoting inside the spread at various fx ECNs. I need to make an assumption of the probability of ...
0
votes
1answer
19 views

Par and Zero Coupon Yield Curves

The government par yield curve shows a marginally lower yield than the Government zero coupon curve. What is the reason for this in general.
3
votes
1answer
63 views

Is volatility really a coherent risk measure?

Why people say that volatility is a coherent risk measure? I don't see it clearly because what happen if the two assets are correlated positively? subadditivity would not be preserved. That ...
-1
votes
0answers
12 views

How to calculate portfolio weights? [on hold]

I am an analyzing an equity portfolio for college course project. I have decided to weight the holding period returns of each of the equities by market capitalization(market price per share * total ...
2
votes
1answer
215 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 ...
0
votes
0answers
5 views

dynamic programming with serially independent returns

Book suggests that "asset returns are assumed to be serially independent, so wealth is a single state connecting one period to the next". I understand path dependency is lost in case of serial ...
0
votes
1answer
76 views

Where can I find a correlation matrix between the revenues of different industries?

I don't need something super complicated, I would just like a quick and dirty way of estimating the correlation coefficients between the revenues of different companies. Information on companies in ...
0
votes
0answers
27 views

What is the most elegant way to write a trading (or asset selection) algorithm in MATLAB, based on a simple criterion?

Assume a $T \times N$ matrix $X$ of values for an asset characteristic at time $t \in \{1,2,\dots,T \}$, where $T$ is the observation period in months and $N$ is the number of assets and a ...
1
vote
0answers
23 views

Adjusting for your own orders in future backtests

I was asked this question in an interview and despite thinking about it for a while, I haven't been able to come up with a good answer. Suppose you have a strategy you are running where at certain ...
0
votes
1answer
36 views

Index for Hedge fund, Private Equity, Venture Capital

We have index for stock market, like S&P500, Nikkei 225, etc. I wonder if we have any index for hedge funds, private equity or venture capital?
0
votes
0answers
9 views

How much money should i ask for a this software? [migrated]

We are having a meeting tommorow and I have to come up with price for the it system. What thay want is: Database with around 20 tables Web managment system and Web API iOS app Android app Windowos ...
0
votes
1answer
78 views

Moneyness and option prices

I'm attaching stock prices from CRSP to a dataset of option prices in order to compute the option moneyness. I'm wondering whether I should adjust the underlying prices taking into account splits and ...
1
vote
0answers
11 views

In theory historical performance of a portfolio

I am looking at the quantitative model our team is using for analyzing the performance of a portfolio of stocks. However I don't understand what the model is trying to achieve. The model is supposed ...
0
votes
0answers
9 views

Are these nonstationary variables?

If I have understood correctly, computing the correlation of two nonstationary variables can lead to spurious results. For example, computing the correlation of two stock price time series would lead ...
1
vote
0answers
21 views

Total demand under logit model

The setting is simple, i.e. formula for demand of service/product is linear $$ d = \alpha - \beta p $$ where $ \alpha $ is maximum demand, $ \beta $ is some coefficient, and $ p $ is price. There ...
0
votes
0answers
10 views

How to calculate the standard deviation of a 'deviation from a moving average'?

Say I have a vector of daily price changes for an asset and calculate the standard deviation of returns in the usual way. Let's call this result A. Now assume that for the same asset I also have a ...
6
votes
2answers
75 views

Does it make sense to use upward and downward volatility in option pricing?

Historically stocks have a higher likelihood to increase in price than to fall in price. As such would it make sense to split a stocks volatility measurement into upward and downward components? For ...
0
votes
0answers
29 views

What interest rate dynamics would you suggest to simulate a single swap?

I need to calculate the Potential Future Exposure (PFE) for a single swap (not a portfolio). As far as I know, a stochastic model is needed to simulate the interest rate curves (from here). Could ...
2
votes
1answer
40 views

Variability in the Expected Shortfall estimator

Are there any results for calculating the variability in the Expected Shortfall measure. I am looking for Large sample confidence intervals under Normality for Expected Shortfall or calculation of ...
1
vote
1answer
52 views

Black Scholes model: condition of payout function

Given: Consider a two-asset, continuous time model (B,S) where $$dB_t = B_t r dt, \quad dS_t = S_t ( \mu dt + \sigma dW_t)$$ Clearly, the martingale deflator is: $$Y_t = e^{(-r - ...
0
votes
3answers
48 views

Is there a broad currency index just like there is an equity market index?

I would like to assess the performance of currency traders so I was wondering if there is a broad currency index that can be used as a benchmark to assess the performance of these traders. The index ...
2
votes
1answer
156 views

Event studies using revenue data vs. measuring abnormal returns

This may be a silly question, but does there exist a methodology for examining the impact of "events" on companies that are not publicly traded? I suppose it would look at abnormal revenues rather ...
2
votes
2answers
156 views

What would be considered a good/competitive throughput for a FIX engine?

I am writing my own FIX engine and I am in the process of running some benchmarks. I am not sure whether my results are good or bad. Can someone with experience in the area provide me with some ...
5
votes
4answers
134 views

What are the canonical books for statistics applied to finance?

I have some decent knowledge of probability, stochastic processes and option theory, however I do not have a proper background in statistics. Now I am working quite a lot with data, and trying ...
1
vote
1answer
173 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 ...
6
votes
1answer
135 views

Girsanov Theorem and Quadratic Variation

Girsanov theorem seems to have many different forms. I've got a problem matching the form in wiki to the one in Shreve's book, due to the difficulty of quadratic variation calculation. Below is the ...
1
vote
0answers
22 views

Hot do I calculate an effective forward rate? [on hold]

I have to find nominal and effective forward interest rate for 3M-9M term, knowing that current interest rates are: 3M - 2.05% 6M - 2.04% 9M - 2.03% 12M - 2.02% For a nominal interest rate I just ...
1
vote
0answers
14 views

What is the future value of a growing annuity with different periods for payment growth and monthly payments?

How can I modify the formula in this answer so that the frequency of payment growth is also a variable? For example, instead of payments growing by 2% each year I would like them to grow 2% every two ...
0
votes
0answers
30 views

Any Simple Way to Prove Black Scholes Type Identies?

A certain complicated option pricing formula results in products of Black Scholes $N$ components like this: $-p_1N(d_1)N(d_6)+p_sN(d_2)N(d_5)>?0$ where $p_s>p_1$ Trying to find a simple way ...
1
vote
0answers
12 views

Estimating Number of “Day Trades” from Total Volume of Commodity Futures Contract

Looking at futures data I am trying to calculate/estimate the number of "day trades", i.e. positions that were initiated and closed during the same day, as distinct from those positions that were ...
1
vote
2answers
57 views

Dupire model and Local Volatility model

In the context of Option pricing model. Is there a difference between the Dupire Model and the Local volatility model ? Thanks Achal
0
votes
0answers
18 views

Cost of carry for posting bonds as collateral

Cost of carry for posting bonds as collateral How do you calculate cost of carry for posting bonds as collateral?
1
vote
1answer
94 views

What are the dynamics of the reverse of this FX process?

Assuming the dynamics of the exchange rate between two currencies at time $t$ is given by: $$ dX_t=\Delta r X_t dt+ σ X_t dW_t$$ Is the FX Reverse process $\frac{1}{X_t}$ a brownian motion? How can ...
4
votes
3answers
2k views

Mean reverting Indicator

I'm looking for an indicator which tells me if it's a good time to use mean reverting type quantitative trading strategies. In order to do so I look at the market (the few hundred stocks I trade) and ...

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