0
votes
2answers
36 views

Volatility arbitrage - how is the profit extracted?

Is there any paper that describes in detail how the profit is extracted in directional volatility bet (vol arb)? I mean in the case that I bet the realized volatility will be lower than currently ...
-2
votes
0answers
10 views

where to find the information to test option on bond future valuation model?

I am trying to use Quantlib to build a program to pricing option on bond future.I try to find information about it, but unfortunately I could not, so please enlighten me where could I find the ...
2
votes
1answer
30 views

Hidden Markov Models methods for selecting optimal number of states

Package RHmm (R) I have a vector which I fit into a hmm model in an attempt to select an optimal number of states for a hidden markov model. ...
0
votes
0answers
28 views

How to lower the cost-per-trade? [on hold]

Looking at the cost-per-trade of most online brokerages, it seems that most charge upward of 2$ per trade. Clearly, institutional investors pay much less. Does anyone have experience in "how low" the ...
0
votes
1answer
35 views

Close price or adjclose price to calculate volatility?

To calculate volatility, which price in FTSE table is used? When do we use close price for calculating volatility? Do we use adjclose (adjusted close price) for calculating volatility as well? when ...
2
votes
0answers
39 views

What happened to Mountain View Analytics?

I stumbled over Thomas Cover's work on algorithmic portfolio selection; apparently, an outfit called "Mountain View Analytics" attempted to implement the suggestions from Cover's research. ...
1
vote
0answers
27 views

Quantitative method to select tactical bands for asset allocation

Do you know a study with a methodology for selecting tactical bands (or the allowed deviation from a strategic asset allocation)? Thanks
1
vote
0answers
25 views

Distribution of Brownian Bridge

I know from Karatzas & Shreve (1991) that a Brownian Bridge $B(t)$ from $a$ to $b$ on time interval $[0,T]$ satisfies: $B(t)=a(1-t/T) + b*t/T + [W(t) - W(T)*t/T]$, where $W(t)$ is a standard ...
-2
votes
0answers
23 views

Expected return [on hold]

You are given the information below about daily stock prices and market prices. Risk free rate of 4%, calculate the expected return and standard deviation for Stock A and B, calculate the expected ...
0
votes
1answer
56 views

Option pricing within the Black Scholes model

Have a question regarding regular option pricing. In the standard Black-Scholes model, with interest r and volatility $\sigma$. Determine the arbitrage free price at t of an option which at $T>t$ ...
-2
votes
0answers
24 views

Features for financial prediction [on hold]

What are some of the most popular features used for financial prediction in Machine Learning?
1
vote
0answers
31 views

Distribution of minimum of hazard functions

Suppose I have two random variables, $X_1$ and $X_2$, that are independent (but not identically distributed) and assume both have hazard functions $\lambda_1(s)$ and $\lambda_2(s)$, for $s > 0$. ...
0
votes
0answers
12 views

How to drive simple european put price under Gabillon 2-factor model?

Can someone explain to me for a Simple European Put payoff P(S,T) = max(K-S,0)), how to get simulation and calibration models using analytical approaches, binomial and trinomial trees, multi-factor ...
2
votes
0answers
29 views

Does GARCH derived variance explain the auto-correlation in a time series?

Given a time series of $u_i$ returns where i=1 to t. $\sigma_i$ is calculated from GARCH(1,1) as $\sigma_i^2=w+\alpha u_{i-1}^2 +\beta \sigma_{i-1}^2$ . What is the mathematical basis to say that ...
-2
votes
1answer
40 views

What's the disadvantage of ARMA-GARCH model?

I want to ask why ARMA-GARCH is more and more popolar, and what's the advantage of this model.
3
votes
1answer
77 views

Estimating Beta from unevenly spaced price history

I have a certain non-stock asset that has 1 transaction every 1 to 8 months. I also have a price index of that class of asset compiled by another party on monthly basis. If I regress $price = \alpha' ...
2
votes
0answers
37 views

Effective simulation of multi factor Heston model

Im looking for a quick way (as in runs quick, not necessarily is quick to implement) of simulating multiple square root processes for a stochastic volatility model, flexible enough to allow for ...
1
vote
1answer
108 views

GARCH model and prediction

I have a question about the prediction of volatility and returns of a time series. Basically it is a question about prediction in the ...
2
votes
2answers
64 views

When can a derivative be considered to be path dependant?

The typical example of path dependant derivatives are knock-ins and knock-outs. At the same time vanilla American options can also be considered to be highly path dependant. Does a more or less ...
4
votes
0answers
45 views

Attribution of unusual persistence in noncompetitive TAQ quotes levels?

I am looking at one day of AAPL quotes (3 Dec 2012) from TAQ to examine quote-based high frequency vol estimators. However, I found that a number of exchanges, when quoting noncompetitively, seem to ...
1
vote
2answers
83 views

How to calculate the expected value of a function of a standard brownian motion (Wiener process)

Have a problem regarding the expected value of the Wiener process inside a function, namely: Compute $E[cos(W_t)]$. To extend my question, what is the general method of computing these E´s when it ...
0
votes
0answers
18 views

Real returns vs. inflation as an independent variable

Assume a model like this, basically explaining stock market returns with a bunch of stuff: ...
3
votes
2answers
59 views

Effects of Fund manager reputation, track record, and skill on funds returns and capital flows

I am compiling a list of all studies that examine the effects of fund manager reputation, track record and skill on fund returns and capital flows across both mutual funds and hedge funds. The purpose ...
1
vote
1answer
61 views

GARCH(1,1) good fit found, how to predict one day volatility ahead?

I used SPY data to fit GARCH(1,1) in my model. My data starts from Jan, 2000 until Dec, 2013. I compared the volatility using runSD on the 21 rolling window and GARCH(1,1). It looks a pretty good fit ...
2
votes
1answer
45 views

Calculating instantaneous forward rate from zero-coupon yield curve

I have a big dataset containing zero-coupon bond yields with different relative maturities. I fix a time horizon on my dataset and I want to calculate instantaneous forward rate. I'm going to write ...
0
votes
1answer
31 views

What are the good book to understand economics? [on hold]

I am currently studying managerial economics by W. Bruce Allen. The book is good. Are there any good book with quizzes , that makes economics sweeter? Books that relate to real world facts and figure ...
1
vote
1answer
30 views

“Equivalent” data sets despite different numbers

Are the historical data sets of short term treasury bill rates considered the same as the historical data sets of savings account interest rates because by definition they are both risk free rates of ...
0
votes
0answers
29 views

PCA related Query

I am currently working on a project in grad school where I am using PCA Approach. I have 4 stocks. I used R to generate Eigen Values, Eigen vectors Eigen Values Number Value Diff ...
1
vote
1answer
37 views

FX Rate dynamics

Let's suppose USD/EUR price in USD follows a GBM with $$ dS_t = rS_tdt + \sigma S_tdW_t $$ What process does EUR/USD follow in EUR?
2
votes
0answers
25 views

Risk neutral measure for jump processes

How can I construct risk neutral measure for option price if active price form is: $$S(t)=S(0)\left[\exp{σW(t)+(α-βλ-1/2σ^2)t+Q(t)}\right] ?$$ Here $W(t)$ is a Brownian motion and $Q(t)$ is a ...
-1
votes
1answer
56 views

Were can I find Historical Interest Rate Data?

Where can I find American historical Savings Account interest (Bank) rates? If you can, please attach corresponding links.
2
votes
1answer
116 views

Black Scholes vs Binomial Model

I'm trying to confirm my understanding of the 2 models. It is my understanding that the black-scholes is a special case of a binomial model with infinite steps. Does this mean that if I were to start ...
-3
votes
1answer
50 views

if technical analysis rules for predict stock prices is unique for all cases, why should we learn neural networks? [closed]

Is there any neural network out of the box tool that was already learned all technical rules by feeding many stock trading data?
-4
votes
0answers
34 views

Financial Engineer as a career [closed]

I'm now studying in Bachelors in economics.Can I become a financial engineer with this degree?? Why or why not?? And Also what is the minimum GPA do I need to get to that program
1
vote
1answer
53 views

How would you correct a GARCH model to deal with non mean reverting volatility?

I am currently attempting to model and forecast volatility of bitcoin but have not been able to find a GARCH model that fits the data appropriately. I've used tick data sampled at 1 hour intervals ...
0
votes
1answer
24 views

PWIQF excercise solution

I am software developer with no previous experience or knowledge in finance and have recently been starting to build my knowledge in this area. I am working through the book: Paul Wilmott Introduces ...
3
votes
1answer
95 views

Portfolio optimization with Portfolio CVaR Constraint

I wanted to optimize a portfolio based on a portfolio-wide CVaR constraint (i.e. $CVaR_p \leq 0.08$). Unfortunately, I only find solution that minimizes the entire CVaR of the Portfolio. Do you mind ...
1
vote
0answers
30 views

Markov switching model estimation

We are testing Markov switching models to forecast risk regimes, similar to the paper by Kritzman, Page and Turkington. We find that in some cases the Baum-Welch algorithm converges very slowly or not ...
0
votes
0answers
37 views

full tick and retail tick data feed difference

Full tick institutional data feed like elektron from reuters, how is it different from retail tick data feed & which charting softwares work with elektron data feed
0
votes
0answers
27 views

How does logging effect Quickfix performance?

I am using .net/c++ version of quickfix. How does logging effect Quickfix performance? If I disable logging to file, can it help to increase performance of quickfix? Thanks,
0
votes
0answers
13 views

Bank Reconciliation HW Question [closed]

I'm not sure if this is the right Stack Exchange for this question. If it isn't I apologize. I have an Accounting project I've been working on. It's a bank reconciliation using data provided. ...
2
votes
0answers
43 views

At-the-money Call Spread approximation

In a trading manual I got during a course, the value of the ATM Call-Spread is approximated by $CS_{ATM}=\frac{1}{2}StrD+(F-m)\times\Delta CS$ The lecturer skipped the part where he derived this ...
1
vote
0answers
20 views

American Swaption Pricing with PDE discretization

So I am still trying to price an american swaption. (MC approach here: American Swaption Pricing with Monte-Carlo method) I've found in Paul Wilmott, The mathematics of financial derivatives, a PDE ...
1
vote
1answer
73 views

source for yahoo finance equities volume traded

I am looking at some academic studies regarding volume of stock traded. Yahoo Finance is used as the data source for volume. Does anyone know where the volume figure comes from? Is it a compilation ...
0
votes
0answers
13 views

Engle Granger test returns a 0 in matlab, while correlation factor is .80+. Am I doing something wrong?

Engle Granger test is giving me a ans = 0. The correlation factor is: 0.8+ Does this imply the No cointegration hypothesis is true? i.e. as per my understanding that there is cointegration? I am ...
0
votes
0answers
16 views

Significance of Data

The following is a result I get from a pair trading model. I am trying to figure out the significance of the below but failing. Can someone help me out i.e. a resource or possibly an explanation on ...
5
votes
1answer
68 views

Usage of Brownian Bridge?

I was recommended to read something about Brownian Bridge. Could someone familiar with BB give some recommendation? It was mentioned that BB benefits in 2 places BB could reduce the simulation ...
1
vote
1answer
72 views

Bond Spread Drivers

I have some work to do on the drivers of government bond spreads - ie. across terms (not across governments) of the yield curve, say 5yr and 20yr bond spreads from the same government issuer - and am ...
0
votes
0answers
36 views

Java Implied Volatility Solving

After using RQuantLib and RCaller from Java I am desiring a bit more speed on my implied volatility calculations (for anyone who has used this knows it is quite slow). I need to price a large number ...
2
votes
1answer
81 views

American Swaption Pricing with Monte-Carlo method

I want to price an American swaption but I am not sure about what I am doing. Tree methods and PDE discretization seem difficult to adapt to a swaption. I am trying a Monte-Carlo approach. (in ...

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