0
votes
1answer
6 views

Source of market or security attribute information?

There are many securities and exchanges on platforms like Bloomberg and Quandl, but many securities are described with the relevant pit close times and pit open times, exchanges, related futures, and ...
0
votes
1answer
41 views

Performance of Open Source Time Series Database for Financial Market Data

We would like to store financial tick data in a database (potentially billions of rows) and then create aggregated (open-high-low-close) bar data from it (e.g. 1min or 5min bars). It was mentioned ...
0
votes
1answer
15 views

What is the correlation of stock options?

I want to calculate the VaR of two correlated option positions, and I know the correlation between stock price returns. I want to separately calculate $Var_1$,$Var_2$ for option 1 and 2, and then use ...
1
vote
3answers
83 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 ...
0
votes
1answer
18 views

Gamma Imbalance Explanation

Can someone please give me an explanation as to what put-call gamma imbalance specifically refers to (imbalance of what?), and why they may exacerbate volatility from a market perspective, and why the ...
0
votes
1answer
41 views

Can a large OpenInt of calls cause a stock to go down?

I read forum post from another site. Which stated... ...
1
vote
1answer
14 views

Utility Theory - Certainty equivalent approximation formula derivation

I have a question on an exercise from chapter 9 of D. Luenberger, Investment Science, International Edition, where I suspect there may be a typo. Exercise 8 (Certainty approximation) There ...
4
votes
1answer
1k views

Historical volatility from close prices (Haug pg 166)

I have implemented a function for calculating historical volatility using close the close method as described by Haug on page 166. When I implemented the formula given by Haug, it resulted in some ...
1
vote
2answers
29 views

Why QuantLib computes the fixed-leg NPV by this formula?

I'm trying to understand how QuantLib creates (bootstraps) a yield curve from a vanilla swap at the source level. I have the following test code: ...
2
votes
1answer
34 views

How to show that this exponential utility function is wealth-independent?

I have a question on the following exercise from chapter 9 of D. Luenberger, Investment Science, International Edition. Exercise 2 (Wealth Independence) Suppose an investor has exponential ...
2
votes
1answer
64 views

Matlab Portfolio Optimization with bid ask spread

I'm trying to find the optimal portfolio of options and stock which minimizes the standard deviation of the portfolio returns but also taking into consideration the bid and ask prices of the assets. ...
0
votes
1answer
49 views

Extracting Default probability from a single CDS

I have to find the CDS's default probability using the simplest Poisson Process (intensity constant). I'm wondering how to get this estimate if I have only a CDS with maturity 5years. If I had ...
4
votes
1answer
74 views

Difference between Sharpe Ratio and Information Ratio

I am finding it difficult to understand the difference between the sharpe ratio and the information ratio and the relationship between the two, and cannot find a decent reference that breaks it down ...
1
vote
1answer
32 views

What is this ratio: expected returns on stock divided by risk free rate?

So this ratio has come up in some work I'm doing and I can't seem to figure out if it is attested in the literature. Here's the setting: Given a risk free rate $r(t)$ and a stock price which follows ...
2
votes
1answer
25 views

Why the negative sign in modified duration relationship

If $P$ is price, $D$ modified duration and $y$ yield then we have the relationship, $$dP=-D \cdot P \cdot dy$$ Why is there a minus sign and what does correspond to?
1
vote
1answer
13 views

Modeling credit utilization and stock market growth

I relatively new to financial mathematics but I am wondering if at all there exists a relationship between credit utilization (the rate at which the public accesses credit from financial institutions) ...
2
votes
1answer
47 views

Forced to exercise gap options

I was reading a textbook and came across some surprising stuff in the section about gap options. Let $X$ be a payoff function such that $X=\Big\{\matrix{0 \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ ...
0
votes
1answer
151 views

Exercise 2.2 from the book “The concept and practice of Mathematical Finance”

I am a newbie. Please help me understand how to resolve the exercise 2.2 from the book "The concept and practice of Mathematical Finance". The solution from the book says that our super-replicating ...
4
votes
1answer
172 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 ...
0
votes
0answers
19 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 ...
0
votes
0answers
15 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 ...
0
votes
1answer
83 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 ...
0
votes
0answers
26 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 ...
0
votes
2answers
50 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 ...
0
votes
1answer
79 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
15 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 ...
-1
votes
1answer
26 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) ...
0
votes
0answers
21 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: ...
3
votes
1answer
61 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 ...
2
votes
1answer
83 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 ...
0
votes
1answer
17 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, ...
0
votes
0answers
21 views

Interpretation of the CAPM model under Stochastic Portfolio Theory framework

The CAPM under the Modern Portfolio Theory approach is given as: $$ R_i = \beta_i R_\pi $$ Where $R_\pi$ the portfolios expected excess returns Under the stochastic portfolio theory approach: $$ r_i ...
0
votes
0answers
16 views

How to pull and/or calculate implied volatility of an ATM Call as its quoted everyday in Python? [on hold]

Set of tasks: Pull quote for option with terms T = 1, S = K Calculate Implied Volatility of this option Plot datapoints Thank you folks!
1
vote
0answers
29 views

Bloomberg implied volatility smile for equities

I was wondering if someone knows how Bloomberg does their computations for the implied volatility smile for equities. As far as I understand, they use a lognormal mixture to model the stock prices. ...
2
votes
2answers
136 views

Calculating VaR with Monte Carlo simulation

I would like some help here :) I have a problem calculating VaR with the Monte Carlo Simulation. I have followed then next steps, is this a right way to calculate VaR or I need something more? ...
4
votes
1answer
377 views

Do futures have predictive value?

Futures closely mirror their underlying, as can be seen in the charts below. Eventually, at expiration, they reach the value of the underlying. However, they seem to show no extra information about ...
14
votes
6answers
1k views

George Soros models

Mr. Soros in his books talked about principles which are not used by today's financial mathematics — namely reflexivity of all actions on the market. Simply it can be given by following: ...
1
vote
1answer
103 views

How to create a basket of currency pairs with the lowest correlation in R?

My strategy is designed to buy and sell all assets of a universe and rebalance periodically. It goes either long or short. To limit risk exposure to a single currency I would like the assets in the ...
0
votes
0answers
19 views

labeling high frequency signal data

Was curious if anyone has methodologies they can recommend for systematically labeling (discrete) signals generated from intraday tick data for use in classification or detection models ?
2
votes
2answers
205 views

Quantitative Finance Programming Language

Since couple of weeks, I started to do my research on quant finance. During this time, I could discover a lot of stuff and with that stuff, a lot of questions came to my mind. A lot of news or ...
-1
votes
0answers
13 views

Simulate stock prices following t distribution in matlab [on hold]

Trying to simulate different price paths for a stock following the t distribution. Can anyone provide code?
1
vote
0answers
12 views

number of trades - flaw in White Reality Check?

I went through Whites paper of the reality check for multiple strategy testing. To summarize at a simple example: I have 2 strategies, s1 and s2. s1 gives 2 signals and therefore 2 returns, s2 gives ...
1
vote
1answer
98 views

Forecasting using GARCH in R

I am using the predict and ugarchforecast functions in R. When I fit my models and try to forecast, I get either only increasing or decreasing values for sigma, does anyone know why? Thank you ...
22
votes
12answers
9k views

How fast is QuickFix ?

In my firm we are beginning a new OMS (Order Management System) project and there is a debate whether we use Quickfix or we go for a professional fix engine? Because there is a common doubt that ...
0
votes
1answer
22 views

Isolating single assets standard deviation in a portfolio accounting for correlation

I am running a simple Monte Carlo analysis in Excel using mean return, standard deviation and the =NORMINV(RAND(),mean,std dev) method. I have a correlation matrix that I use to compute the portfolio ...
1
vote
1answer
26 views

Full Kelly portfolios having same weights as tangency portfolios

I'm currently comparing empirically the differences between Markowitz and Kelly portfolios. I calculated the Kelly weights for monthly return observations over 10 years for a sample of 50 stocks from ...
2
votes
1answer
42 views

Likelihood of a caplet ending in the money

with what likelihood would one expect an ATM caplet to end up in the money? Just as a very rough guess, from real world experience. When I consider N(d2) from the Black formula, for spot = strike = ...
1
vote
0answers
35 views

How to calculate yield spread?

I came across this multiple choice question on yield spread and I can't understand why the reasoning for the selected answer is correct.Can you confirm or clarify ? ( emphasis in the text is mine) ...
0
votes
1answer
45 views

Given cash flows, what is the interest rate of the following contract? [on hold]

I am presented with an investment opportunity where I am given #481,000 on day 1. Thereafter, every 10 days, I am required to give back #50,000 every for 100 days (10 * 50000 = 500000). How do I ...
0
votes
1answer
26 views

CDS spread sensitivity pattern

From pag. 27, Table 6: http://www.opengamma.com/sites/default/files/pricing-and-risk-management-credit-default-swaps-opengamma.pdf Why do sensitivities of CDS are slightly negative before the ...

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