# All Questions

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### Why do I still see large orders?

When analysing T&S for stocks such as AAPL, I sometimes see huge orders. These orders are in the order of 10.000 shares or more. To my knowledge, large orders are (supposed to be) executed by ...
14 views

### Using Black-Scholes to price a geometric average price call

Sorry if this is the wrong exchange for this question. It seems to be the most relevant, anyway. I'm trying to learn and understand the Black-Scholes framework, with a focus on the stochastic ...
22 views

### Replication of the portfolio in single step binomial model

I would be grateful if anyone would comment how to construct this: Assume $S_{i}^k$ is a stock price at time level $i$ and at price level $k$. Assume option is written on $S$ with a a payoff ...
73 views

### How to price an option on a dividend-paying stock using the binomial model?

This is actually an exercise from a course. But I don't completely understand the wording of the question. A stock is now trading at 100 dollars. Its price over the next 6 months evolves as a two ...
10 views

### Dynamic Hedging for a Bond

Sorry if this question is duplicate. Analyzing the scenario to hedge bond credit risk with CDS. but if Bond price changes CDS notional will not change. is there any way i can hedge this ?
35 views

### rollapply with Arima model: testing for stability of coefficients

I am trying to fit an arima model on a rolling window using rollapply.My aim is to plot a graph of the evolution of the coefficient, plot the error and the standard deviation. well i encountered the ...
45 views

### Reuters RIC chain for Eurodollar midcurve options

Can someone please tell me what this is? Thanks. Edit: The RIC for the straight eurodollar options is 0#GE+, I need RICs for the 1,2,3,4 mid curve options which the IMM/IOM calls GE0, GE2, GE3, ...
29 views

### Portfolio of Assets

The following represents a model for an economy. At time $t=0$, four assets have the value $X_1= £5$, $X_2=£5$, $X_3=£10$ and $X_4=£4$. Three possible states of the world exist ($\alpha_1$, ...
181 views

### The future language of quant programming?

Im just about to begin the programming aspect of my education towards being a Quant. I know what languages are currently being used and how popular they are. However, I have several good friends ...
12 views

### Difference between Risk avoidance and Risk transfer

I was hoping some could explain the two terms namely, risk avoidance and risk transfer. Also, can a risk be avoided by transferring it?
45 views

### matlab interpretation of johansen cointegration test

I need some help understanding the results of Johansen Cointegration test run on MATLAB. I am quite new to econometrics and do not fully comprehend what MATLAB has come up with. I would be really in ...
8 views

### Empirical distribution function of overlapping time series data

If we model asset return volatility for periods of more than one (say more than one day) there is the square-root rule which holds true under some assumptions. The situation is more tricky if we look ...
11 views

### How do you organize this Roman occasions? [on hold]

Carthage was destroyed by the Romans. The capital moved to Byzantium was started. f. Carthage was destroyed by the Romans. c. Roma put in place a decentralized government. The capital moved to ...
145 views
+50

### Observed market price for the August-Greece-paid bonds were the NPV of the bond or of an option?

The bonds which Greece has paid had been valued by market as junk once, just before their payment. Given that the observed market value is the net present value of the instrument, why were they so ...
69 views

### What are the canonical references on wholesale credit risk management?

I am trying to read up on "Wholesale credit risk ", but I can't find any useful references. Why is the emphasis on wholesale?
54 views
+100

### Futures fair value with spot in different currency

The fair value, $F$, for a futures contract is $F = S(1+rt) - D,$ where $S$ is the underlying spot price, $r$ is the interest rate, $t$ is the time to maturity, and $D$ is the dividends. What is ...
115 views

### Breaking Down Option P&L

I am comparing the MTM valuations of two risk systems, with respect to FX Options. My Question is can I quantify the difference in MTMs given the following: System1: AUD/JPY, MTM = USD 461,000, ...
74 views

### Using multiple regression to determine coefficient that feed into another multiple regression problem

Ok so it is a bit of a complicated problem so I hope I explain this well. I currently have a multiple regression formula where I input 3 items and the output is expected growth. Each of these input ...
424 views

### How to price a Swing Option?

I'm working in the commodity market and I've to price Swing Options with MATLAB, preferably with finite element. Has anyone already priced these kind of derivatives? I'm thinking about using the ...
22 views

### How should I achieve cross-hedging?

I am Airliner.I want to protect my business from price volatility of jet fuel cost.Jet fuel is not traded in futures market but Crude oil is traded in futures market. I have daily spot prices of jet ...
68 views

### Cash flow diagram, interest rate inflow series

I have a econ midterm coming up soon and stumbled upon this question. My approach is: 2C=800/(1.12^2)+1200/(1.12^6)=125.71 or C=1245.71/2=622.85 But I have a gut feeling this is wrong. I believe the ...
7k views

### How are cryptography and speech recognition technology applied to forecasting financial markets?

One of the answers to my previous question regarding the strategy of Renaissance Technologies, there was a reference to The Quants: How a New Breed of Math Whizzes Conquered Wall Street and Nearly ...
34 views

### Order routing: correlation of having same exchange for buy and sell

I am not familiar with the technicalities of order routing so my main sources of information as of now is the sec gov trade execution info and an explanation of how SOR works. Question 1: Let's ...
109 views

### Finding Expression for Optimal Markowitz Weights

So there are two assets with return rates $r_1$ and $r_2$ which have identical variances and a correlation coefficient $p$. The risk free rate is $r_f$. I need to find an expression for the optimal ...
80 views

### comparing modified VaR to ordinary VaR

What inferences can one draw when given a modified VaR at x% confidence and an ordinary VaR at x% confidence level. If the two are equal one inference can be that returns are gaussian but that also ...
26 views

### US options market/microstruture research

Can someone point out where to find up to date market/microstruture research in the options market?
132 views

### constrained portfolio optimization by fmincon

I am working through this paper, http://www.nber.org/papers/w8922.pdf I want to implement the portfolio weight constraints see page 6-7. Here is the brief overview of my problem: Let ...
40 views

### at c(x)% “where x is a numerical figure”, what does that c mean?

When i read financial news, sometimes, there is cX% (where X is a number). Below are few examples: 1. "improving to c4% on a proforma basis" 2. "market share is now c6% of the ..." What does that c ...
126 views

### Variance swap replication and variance vega

Noob here. I've been trying to gain a better understanding of variance swaps and what better way than to replicate it with a portfolio of better understood instruments. I have read the GS 1999 ...
57 views

### Right metric to manage a portfolio based on correlation?

I want to algorithmically add a new investment to an existing portfolio. The decision should be based on a low correlation to the existing assets. E. g. the following situation The portfolio ...
175 views

### CAC40 components historical data

I'm looking for historical data of the CAC40 components. I looked at these previously asked questions: What data sources are available online? Finding historical data for indices as well as Yahoo ...
37 views

### Questions on Brownian Motion

Hi all I'm preparing for my final exam in a few days on Stochastic Processes and was wondering how can if I have properly calculated thee following probabilities: (Let $W_1$ be a standard BM in ...
48 views

### Short term<10 sec volatility model

For example we have Price time series (seconds or ticks) USD/EUR S...Sn 0.937 0.936 0.934 0. 933 0.935 etc and Momentum Series of r(1..n) r=S(n)-S(n-1) ******My qustion is simple************* Which ...
84 views

### Where can I find US public company bankruptcy data

I am doing a thesis about firm survival in time of crisis (2008-2009) and I would like to know where can I find publicly available database about company bankruptcy. Since I have thousands of ...
41 views

### Monte Carlo simulation returns not normal distributed

I am generating 100,000 paths of SPX out to 1 year using Euler discretization. I look at how S is distributed for 100,000 paths at the 1 year point and I find it is lognormally distributed. I look at ...
10 views

I have a few questions on the structuring of principal protected notes. Let's say that the note has a call option on the S&P500 so that it has the following payoff at maturity: $PPN_T=100\% + A ... 7answers 5k views ### What tools exist for order book analysis and visualization? What tools exist for order book analysis and visualization? In particular, if one wanted to examine a limit order book and understand how it changes throughout the day where would you turn for ... 1answer 399 views ### Kelly Capital Growth Investment Strategy (Example in R) In the paper Response to Paul A Samuelson letters and papers onthe Kelly Capital Growth Investment Strategy pages 5 and 6 Dr William T Ziemba, gives a praticle example on Kelly Growth. I’m trying to ... 0answers 7 views ### Simulated Price Data via Harmonic Logarithmic Walks? Hi I came up with this equation last week and was wondering if: 1) There was already a name for this mathematical process. If so, where I might find more information. 2) Also, I am not adept at ... 0answers 21 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. 1answer 136 views ### Practical implementation of Libor Market Model I am trying to implement a project about the BGM model, suggested in the book "The Concepts and Practice of mathematical finance" by Mark Joshi. My question is related to the forward volatility ... 0answers 15 views ### 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: ... 0answers 15 views ### Implementing Minimum Leverage in an SOCP Portfolio Optimization I'm optimizing a portfolio of n assets and my optimization variable is of the form $$x = [t,w,w_L,w_S]$$ where $$t:= \text{slack variable for turning my QP objective into SOCP constraint}$$ ... 3answers 169 views ### What is the fastest way to decode the FAST protocol for market data? What kind of technology are people using these days for decoding FAST? Can FPGA be used in that area? 1answer 34 views ### out-of-sample variance using rolling window I am currently working on the comparison of the constructed portfolios using out-of-sample variance criteria. I am going to use rolling window procedure for the comparison. First, I choose a window ... 1answer 35 views ### Sortino Ratio calculation I've been using an excel template to calculate the sortino ratio for my automated trading strategies. http://investexcel.net/calculate-the-sortino-ratio-with-excel Basically i input my monthly ... 2answers 372 views ### Historical Data on$/yen forward exchange rates

Would anyone happen to know where I can find historical forward exchange rate data between the yen and dollar?
95 views

### When do CDS curves yield arbitrage opportunities?

In CDS markets we can sometimes observe inverted CDS curves or unusually steep curves. I am just wondering at what level certain curves become non-realistic. E.g. if we have 500bp for the 1-Year ...