0
votes
2answers
26 views

Is this type of currency index a thing already?

I was considering making some sort of free index data set that would basically attempt to estimate changes in the value of a currency against all other currencies. So I came to thinking if I took ...
1
vote
3answers
63 views

Stock Exchange Software

For weekends project, I would like to setup a "simulated" stock exchange on my dev server (windows/linux), ie. running my own NYSE server ? what options do I have, open source wise (can be c# or java ...
5
votes
1answer
145 views

Execution quality for illiquid securities

The SEC's execution quality statistics measurements (Rule 605) arguably does a poor job at measuring the execution quality of ...
0
votes
1answer
77 views

SABR Calibration: Normal vs Log-Normal Market Data

This question is about getting some clarification as to how to understand market quotes for normal & log-normal vols together with certain model assumptions. So let us define $C_{BS}(F_0,K,T,\...
3
votes
1answer
178 views

Issue with OLS Regression for Nelson Siegel Svensson parameters

I have been working on getting input parameters to the Non-Linear Optimization which gives the Nelson Siegel Svensson model parameters and am carrying out the OLS regression as described in this ...
0
votes
0answers
7 views

Negative probabilities - what are the two ordinary pgfs that correspond to the gf of a half-coin?

In Half of a Coin: Negative Probabilities, author considers pgf of a fair coin represented by random variable, $X = 1_H$: $$G_X(z) = E[z^X] = \sum_{x=0,1} z^xP(X=x) = (z^0)(1/2) + (z^1)(1/2) = \frac{...
-1
votes
0answers
8 views

Negative probabilities - what is the relationship between negative probabilities and bonds?

In Half of a Coin: Negative Probabilities, author talks about bonds (I guess?) And duration. What's the connection with negative probabilities? We have negative probabilities if we have negative ...
0
votes
1answer
57 views

if I had a 1M spread option. Would you say that was 1m notional (for IM purposes) or 1m pay + 1m rec i.e. 2m notional?

if I had a 1M spread option. Would you say that was 1m notional (for IM purposes) or 1m pay + 1m rec i.e. 2m notional?
0
votes
0answers
14 views

Calculating weekly portfolio returns for portfolios sorted by volatility

I am having some issues with finding the right code in STATA for sorting the data into portfolios by historical volatility (standard deviation) of returns and then calculating portfolio returns and ...
2
votes
1answer
54 views

Exactly what data is available in XBRL, and how far back does it go?

What data is available from the SEC in XBRL format? Is it just 10-Qs and 10-Ks, or other filings as well? When did XBRL become mandatory for all filers (or is it still not?)
0
votes
0answers
12 views

signal processing [on hold]

I obtained a degree in Signal Processing and electronic circuit. Can I work in quantitative finance with a background in signal processing?Do you have examples of jobs? Moreover is that a phd ...
1
vote
1answer
38 views

how to choose a price adjustment, a roll date and a data center for my trading strategy?

I have many doubts about Which roll date and price adjustment should I use. I need to backtest like 50 diferents futures. 6 index(mini sp500, Nikkei 225…), 10 Agriculture (soybean, Oat, Corn….),3 ...
0
votes
1answer
7 views

'Anchors' for REER/PPP estimates

I'm having trouble trying to understand the concept of 'anchors'. I came across the term in a sentence that said "we use a relative purchasing power parity approach that is based on the longterm ...
0
votes
1answer
17 views

Where can I get all XBRL tags with descriptions and details

I'm trying scraping SEC filings using open source xbrl platform Arelle(arelle.org). Using their docs I have managed scraping from SEC rss and storing them in postgresql database. What I am struggling ...
2
votes
1answer
66 views

Incorporating Autocorrelation [on hold]

I want to incorporate autocorrelation in my variance process when calculating the two-day variance of returns in a multivariate setting. First I will give an example in the univariate setting and I ...
0
votes
0answers
12 views

Obtain historical quotes programmatically

What do people use to get all the historical daily quotes (high, low, open, close) for all the stocks traded on an exchange during a period of time? So, suppose I want this info for all stocks traded ...
22
votes
9answers
7k 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 ...
1
vote
2answers
32 views

Initiating new orders with active “order-session” only?

Is it a must to establish "quote-session" & subscribing to quotes/market data before initiating a "New Order-single(Market-GTC)"? I actually can't see any use of quote-session for trading ...
0
votes
0answers
6 views

Proxying returns for PE and Alternative Investments

The data for these asset classes don't go back very far. Anyone have any methods to proxy their "index" returns for analysis?
-2
votes
0answers
14 views

What business would you suggest to make a billion dollars from a $10 billion loan through SBLC - Standby Letter of Credit? [on hold]

Luckily over a month ago, I found an interesting way to raise money even if I don't have a good project and that is through SBLC - Standby Letter of Credit. I saw numerous companies over the internet ...
0
votes
0answers
8 views

is it necessary to make currency change in fama french

is it necessary to change the currency of return and market cap from Malaysian currency to dollar , before dividing the stocks in small medium large.
0
votes
1answer
182 views

Augmented Dickey-Fuller Questions

I've been searching in bibliography about this test applied to an AR(p) model. $$Q(L)(Y_{t})=c+\epsilon_{t}$$ Where L represent the Lag Operator and $Q=1-\phi_{1}x-.....-\phi_{p}x^{p}$ is the ...
1
vote
3answers
96 views

reference for elementary mortgage math

I have a student doing a project on default rate & prepayment rate for mortgages. She would like to include a section on how the quantities affect pricing, & so would like to reference a ...
-1
votes
0answers
22 views

Python Calculating Drawdowns?

Simple question for a newb quant. I'm writing a program to calculate drawdown and duration for any given strategy. The problem is, if my cumulative returns start at zero and go negative immediately, ...
0
votes
0answers
17 views

Can the net portfolio's beta be different from the sum of long and short betas of the portfolio?

The way I calculate it is summing up the weighted beta of long and shorts but I saw a table where this wasn't the case so I am wondering if this is not the correct way.
3
votes
1answer
241 views

Differences between editions of Security Analysis by Graham and Dodd?

Where can I find a comparison of the contents, a list of everything that changed or the differences among the different editions of the book Security Analysis by ...
7
votes
1answer
182 views

Why Must Dividends Be Reinvested to Use Risk-Neutral Pricing?

Assume the price of a stock $S_t$ paying continuous dividend $a$ satisfies $$ dS_t = S_t\left((\mu - a)dt + \sigma dW_t\right). $$ The risk-neutral pricing formula states that if $\mathbb{Q}$ is any ...
3
votes
3answers
99 views

Why do we assume quadratic utility in portfolio theory?

In my text (Investments by BKM), the investor's mean-variance utility (given as $U = E[R] - \frac12A\sigma^2$) is stated to be the objective function we wish to maximize. Upon further digging, it ...
1
vote
2answers
39 views

How do they calculate stocks implied volatility?

I know the construction of Black-Scholes model and how do we solve it for an Implied Volatility. But in general, which option ...
1
vote
1answer
45 views

What does each bar in the empirical average eigenvalues spectrum of the correlation matrix of log-returns of stocks represent?

An example diagram, taken from this paper, looks like follows: What is its physical interpretation? The highest eigenvalue, the paper says, represents market mode. So, what does the difference in ...
-1
votes
0answers
14 views

1 year return as of middle of the month [on hold]

Assume that somebody tells you that 1 year return as of 3/15/2016 is 10%. Do you understand it as return for the period from 3/16/2015 to 3/15/2016 or as return for the period from 4/1/2015 till 3/15/...
-1
votes
0answers
15 views

Advice for pre-MFE prep [on hold]

I am an MFE aspirant and plan to apply for June '17 course at Singapore. I am currently working through Mark Joshi's reading list at http://www.markjoshi.com/RecommendedBooks.html. I would like to get ...
0
votes
1answer
20 views

How to interpret Carhart Four-Factor Model?

I am reading up on the Carhart Four-Factor model. Let's say there a regression of stock returns on alpha, RM-RF, ...
0
votes
0answers
17 views

Why is market cap in YQL other than on Yahoo finance web page?

I am trying to figure out what the market cap for Clearside Biomedical, Inc. (CLSD) is different when asking for it with YQL than on Yahoo finance. Correct is Yahoo finance: http://finance.yahoo....
1
vote
1answer
36 views

Calculating the greeks for Quantlib Python Swaptions

So I have created a Swaption object and can get the premium with the NPV() function. However, I would also like to calculate the greeks (eg. delta, vega). From some searching, I found that vega can ...
3
votes
1answer
99 views

How to price this basket option?

Underlying assets are three global stock index : Eurostoxx 50, HSI, KOSPI 200 Maturity: 36 months with advanced redemption date in every 6 months if prices of indexes satisfy given conditions at each ...
0
votes
1answer
21 views

How to get the average monthly percent excess returns for portfolios formed?

I'm replicating the Fama-French five factor model. I have formed factor portfolios. I'm not sure how to calculate the average monthly percent excess returns for portfolios. In other words, I want to ...
0
votes
1answer
22 views

Moody's, S&P, Fitch revenues FOR COUNTRY!

I need a variable which identifies the possible conflict of interests between credit rating agencies and countries, although they do not pay in order to be rated. Such a variable could be the ...
0
votes
1answer
19 views

How to interpret my Four-Factor Model results?

I am currently writing my thesis using the Carhart Four-Factor Model. I got my results but I am not sure how to word them. Coefficient on my SMB is 0.22. Wording: if small companies returns are 1% ...
0
votes
2answers
80 views

Compiling QuantLib example

I have followed the guidlines for installing QuantLib for mac from here http://quantlib.org/install/macosx.shtml and also fixed the flags using the commands: export CXXFLAGS = -stdlib=libstdc++ ...
3
votes
1answer
37 views

Overestimating or underesitmating risk?

This question might be silly, but I want to be sure of myself. If one has Value-at-Risk forecasts and there are zero VaR breaches (i.e. no return value is smaller than or equal to the VaR value) then ...
0
votes
1answer
27 views

Fame-French alpha for a single stock

I want to study the impact of corporate culture on risk-adjusted stock returns. After quantifying corporate culture I wanted to use panel methodology (I have a sample of 100 S&P500 companies over ...
3
votes
2answers
117 views

GARCH models vs VIX

I am examining how investor sentiment affects the probability of stock market crises. I am using methodology similar to this paper https://ideas.repec.org/p/dij/wpfarg/1110304.html. VIX (equivalents) ...
1
vote
2answers
361 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 ...
0
votes
0answers
21 views

DOL (Department of labour) API does not showing most recent results when requested instead shows unauthorized

I have recently been experimenting with backtesting swing trading FX strategies using quandl economic data and now that the time to deploy these models has arrived I have signed up for a developer ...
0
votes
0answers
24 views

Extreme value theory expected value of GPD

We're using extreme value theory to model tail risks on our portfolio. After we choose the threshold, we fit generalized Pareto distribution to our data over the threshold. The expected value of GPD ...
0
votes
0answers
13 views

help with p&L vectors historical simulation

My question is about the calculation of the Value at Risk based on historical simulation. I have a table which contains the P&L-vectors of each day of one year. But I don't know what is contained ...
0
votes
0answers
29 views

How can I improve the pricing simulation of basket option?

I valuated the price of below basket option Underlying assets are three global stock index : Eurostoxx 50, S&P500, KOSPI 200 Maturity: 36 months with advanced redemption date in every 6 months ...
6
votes
4answers
4k views

How to use Itô's formula to deduce that a stochastic process is a martingale?

I'm working through different books about financial mathematics and solving some problems I get stuck. Suppose you define an arbitrary stochastic process, for example $ X_t := W_t^8-8t $ where $ W_t ...
3
votes
4answers
95 views

Are smart beta and risk parity the same?

So from what I have been reading online, smart beta ETFs aim to use a different type of weighting (instead of by market cap as traditional ETFs like SPY do to track an index) to achieve positive ...

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