# All Questions

163 views

### Kolmogorov-Smirnov test for Generalized Pareto Distribution

I've fitted my data to a generalized pareto distribution as to model the returns in the tails more accurately. The interior is fitted with kernel distributions. I would like to now test whether the ...
11 views

### Send TRAIL STOP order when price hits a certain level, with IB TWS

Posting here after searching around and not finding any responses to basically the same question that I saw on EliteTrader, with another variant posted 10 years ago (update: the same question on ...
3 views

### Portfolio Hedging under Uncertain Correlations

I have a portfolio ($w_0=1$) and two hedging assets ($w_1,w_2$) and a co-variance matrix for the three $\Sigma$. However the co-variance $\Sigma$ is only an estimate. For fairly well behaved assets ...
72 views

### Do I need simulink to model the risks of an option portfolio

I wish to buy Matlab Home and learn to model the risks of a derivatives portfolio and then stress test it. So I am guessing I will need : Stochastic calculus Linear algebra Stats/Probability Some ML ...
11 views

### residential mortgage prepayment modelling

I'm trying to develop a model for predicting prepayments, after reading several arcticles about it over the net. the model should use market data and be behavioral model (i.e. regression/survival ...
42 views

### Ledoit-Wolf Shrinkage estimator not giving positive definite covariance matrix

I used ten year daily data for 407 stocks and computed the daily and monthly covariance matrices. Since I have more variables than observations for the monthly matrix, I wasn't surprised to find the ...
66 views

### “Hedging” a put option, question on exercise

I have a question on the following exercise from S. Shreve: Stochastic Calculus for Finance, I: Exercise 4.2. In Example 4.2.1, we computed the time-zero value of the American put with strike ...
12 views

### Does the low CAD positively or negatively impact Canadian Investors? [on hold]

I'm interested in getting into investing, but I have a limited amount of business experience. I plan on putting a small amount of money on the market just to see how it goes. I don't quite understand ...
20 views

### Numerical computation of Heston model Integral: Simpsone Rule or Gauss-Legendre Method

I want to price a call option using the Heston model for a given set of parameters. theory from URL: http://elis.sigmath.es.osaka-u.ac.jp/research/Heston-original.pdf The integral equation (18) ...
16 views

### Are low oil prices and low shipping costs really a leading indicator for a shrinking economy

Recent article in Bloomberg saying that lowered shipping costs n the form of the Baltic Dry Index and lowered oil prices are in someway a concern for a growing global economy: ...
41 views

### Research topics - neural networks and market liquidity

I am a masters student looking for some direction on using neural network on market depth data to help predict market liquidity and bid-ask spreads. Can some of the more experienced people give me ...
81 views

### How do I show that there is no tangency portfolio?

Question: Suppose that the risk-free return is equal to the expected return of the global minimum variance portfolio. Show that there is no tangency portfolio. A hint for the question states: Show ...
53 views
+50

### Sources of index data (MSCI, FTSE, S&P etc.)?

Who are the major suppliers of index data that cover multiple index providers, e.g. MSCI, FTSE, S&P etc? There are a huge number of people sourcing e.g. equity data, but index data is much harder ...
14 views

### calculate annualised tracking errors

I have 36 months of relative returns. I need to calculate the annualised tracking error. So using 36 months of returns is it simply like below, ...