2
votes
0answers
214 views

Tian third moment-matching tree with smoothing - implementation

I was wondering if someone has an implementation of the Tian third moment-matching tree (http://papers.ssrn.com/sol3/papers.cfm?abstract_id=1030143) with smoothing in code (e.g. c++, vba, c#, etc.)? ...
2
votes
0answers
276 views

What does T statistics of Information Coefficient indicate?

Hi I am looking for a clear explanation of T statistics concept. Especially in quantitative equity portfolio management context, what does T statistics of monthly Information Coefficient for one ...
1
vote
0answers
22 views

Changing timezones with historic forex data (Interactive Brokers API IBPy)

I would like to be able to change the timezone for my requests to the IB API, how can I do this? I am writing in Python, and thus use the IBPy wrapper found here. Supposedly, the third argument of ...
1
vote
0answers
28 views

Constructing Swap Curve from LIBOR

Say I'm considering a long maturity fixed rate swap, for instance 20 years paid semi annually. Now I want to find the fixed rate for this hypothetical swap. I understand that this fixed rate is going ...
1
vote
0answers
21 views

Where to find historical time series data for number of new investor accounts

I am examining the impact of investor sentiment on the probability of stock market crises. I am constructing a composite measure of investor sentiment according to the methodology used in this paper ...
1
vote
0answers
32 views

Discount curve from spot rates for bond pricing

I have a bond with the following cash flow and maturity: ...
1
vote
0answers
35 views

How to calculate the theta of a bond?

For calculating P&L from interest rate risk, we often use PV01 to estimate the day over day P&L by multiplying PV01 with a change in curve. Is there any approach to calculate theta P&L in ...
1
vote
0answers
31 views

Problems in computing VaR with GARCH-GPD-copula approach

I use a time-varying Gaussian copula (with GARCH-filtered standardized residuals modeled semiparametrically with Gaussian kernel interior and GPD tails, i.e. generalized pareto distributed) to ...
1
vote
0answers
28 views

Outlier removal, issue with TSO function

I'm trying to detect outliers within a financial time series which represents the ratio of cash distributions to equity holders as a percentage operating earnings for the period. Visual inspection ...
1
vote
0answers
28 views

Where can be found the tick size list for stocks traded in NASDAQ and NYSE?

Answering this question is relevant to assess the quality of a time series in order to observe whether the data vendor applies some rounding to the data or is more decimal are present than the actual ...
1
vote
0answers
45 views

What is the unconditional variance for a GARCH model?

I want to use a Matlab script to calculate Heston Nandi GARCH prices. I found an appropriate script online and it asks for the "unconditional variance" as an input. How do I calculate the appropriate ...
1
vote
0answers
27 views

US Treasury interest rate swaps

I know that Bloomberg will give me the swap rates for Treasury 30's-5's, but I don't have a Bloomberg. Can anyone direct me to a source?
1
vote
0answers
27 views

Levered beta with changing equity/debt ratios

I know how to calculate a bottom up levered beta for a privately held and not publicly traded company with Hamada (Proof of Hamada's Formula (Relationship between levered and unlevered beta)) and ...
1
vote
0answers
55 views

Stock market cash flow

I want to understand better cash flow of stock market and it's participants, but could not find any reasonable information online, hope more experienced people here could help. Money IN flow: (1)...
1
vote
0answers
37 views

Using CME DV01 to predict Futures price at 0.00% Yield

DV01 is published at CME Group for the cheapest-to-deliver bond here: http://www.cmegroup.com/trading/interest-rates/invoice-spread-calculator.html. If my goal is to get an approximation where the ...
1
vote
0answers
18 views

Relationship between in-sample and out-sample periods length

I have two general questions regarding "in-sample fitting vs. out-of-sample backtesting" kind of analyses. Is there any relationship between the length of the data collected for in-sample fitting ($a$)...
1
vote
0answers
31 views

Can trinomial trees be used to model subdiffusion?

I am modeling a sub-diffusive process where the particles follow geometric Brownian motion (GBM) with movement occurring after randomly distributed waiting times. I have set this up as a simulation ...
1
vote
0answers
33 views

Is there a public SQL database for all US stocks?

I would like to search through all US stocks (via SQL or another technology), and filter them by certain parameters (similar to a stock screener, but through an API rather than a user interface). Is ...
1
vote
0answers
25 views

Forecasting conditional returns in DCC-GARCH-copula approach in R

anyone who could help me interpreting and modifying this code? I have a dataset and want to reserve the last 100 returns for out-of-sample analysis. After specifying and fitting the garch-spd-copula, ...
1
vote
0answers
20 views

Does OpenFIGI have precanned files?

From what I understand, Bloomberg Open Symbology is now transitioning to OpenFigi: http://bsym.bloomberg.com/sym/ "BSYM.bloomberg.com will be SHUT-OFF on June 1st. It is being replaced by ...
1
vote
0answers
73 views

Bonds with embedded options pricing via binomial model

Notation: t - time; G(t) - zero-coupon yield curve; $r$, $r_d$, $r_u$ - interest rates. The task is to find market price of a bond for today, while knowing the price of a number of other bonds. ...
1
vote
0answers
28 views

Introducing 1bp shocks to yield curve (and interpolation consequences)

Let us assume we have a LIBOR 3M curve and that I would like to introduce a small shock up/down of 1bp at a certain point along the curve. I am trying to find out what the best and most efficient way ...
1
vote
0answers
34 views

Use of real-world probabilities in options pricing: binary event with continuous effect

Let's say I have to price options on instrument X with a multitude of strikes. For simplicity, assume that X only makes one move during the options' lifetime, and this move is affected by some binary "...
1
vote
0answers
10 views

How to get daily OHLC (fints) from minutes OHLC (fints) in MatLab?

I have a minutes OHLC time series stored in fints object, how can I get a new fints object which contains daily OHLC? What is the easiest way to do it?
1
vote
0answers
31 views

(Reproducible example) Conditional returns in GARCH-EVT-Copula context (with R)

I'm estimating a time-varying correlation matrix for the normal copula using the rmgarch package from R. I've found this code in the rmgarch.tests folder. I use the ...
1
vote
0answers
16 views

Liquidity horizons of risk factors categories

I'm reading the consultative document of the BCBS on the Fundamental Review of the Trading Book: http://www.bis.org/publ/bcbs265.pdf Table 2 on page 16 shows the liquidity horizons for 5 broad risk ...
1
vote
0answers
21 views

Bootstrapping bond spreads as in the standard CDS model

Suppose that we have a spread curve $\boldsymbol{s}:=(s_1, ..., s_n)$, where $s_i$ are CDS par spreads. Moreover, assume the standard ISDA model framework, i.e. piecewise constant forward / hazard ...
1
vote
0answers
13 views

Are the returns in this regression signed returns?

In this paper about combining multiple alphas are the returns signed returns? if not wouldn't they be mean zero? Also, it mentions "realized alpha returns" - does that just mean "realized" past alpha ...
1
vote
0answers
47 views

Exploding Libor Rates in Libor Market Model

I have implemented the Libor Market Model in Matlab. When I generate a number of paths, I notice that some of them explode. Does anybody have an idea what could cause this? I already tried solving ...
1
vote
0answers
31 views

The best process for foreign exchange rate

I have a simple research project and I need to explain a behavior of a foreign exchange rate. Could you propose a stochastic process without jumps so that it could be estimated with QMLE? Is GBM ...
1
vote
0answers
41 views

how to mix trading signals for the same product?

I have multiple trading signals developed using cointegration on the same stock using various correlated assets. Is there a mathematical way to combine them to achieve better entry/exit points and ...
1
vote
0answers
34 views

How to backtest strategy in portfolio of stocks using SIT R?

I am creating and testing strategies in R code and using systemic investor toolbox(SIT) package as the backtesting tool. I copied a SIT backtesting code from a website and made small changes to make ...
1
vote
0answers
33 views

Account for empirical relationship between signal and market data

I have two monthly time series : one is a 'signal', on which I will base my decision to buy or short-sell, and the second one is the time serie of a given asset's price. I have implemented this ...
1
vote
0answers
54 views

Backtesting Long/Short Market Neutral Z-Score Strategy with Custom Factors and Custom Stock Universe

So I've managed to backtest simple strategies, like MA, RSI and some fundamental ones (P/E ratios etc) but Im stuck at my last strategy. Here is some information: Tools: Excel and Python (also a ...
1
vote
0answers
18 views

Should the number of Markowitz Optimization steps be counted as backtest trials?

I'm backtesting a strategy that involves monthly investments in a few stocks out of a given set, that is, each month some of the stocks are shortlisted from an index and a long position is taken in ...
1
vote
0answers
33 views

Model Free VIX Calculation in Python

I have previously seen this implementation and had meant to replicate it, but can't find it any longer. Does anyone know of a python implementation of the CBOE Volatility Index? Yes, the white paper ...
1
vote
0answers
43 views

Transition Between Volatility Regimes

Emanuel Derman wrote a great paper in 1999 about volatility regimes and the adjustments the market makes during these periods (sticky strike, sticky implied tree, sticky delta, etc). Has any ...
1
vote
0answers
46 views

Number of mortgages in a MBS

Is it possible to know the typical number of mortgages that can be packaged into a MBS product, e.g. a pass-through MBS, or an agency backed TBA. I think the minimum size is \$1-million but if a ...
1
vote
0answers
45 views

How can we observe volatility smile from the market. Drawbacks of Heston Stochastic Volatility Model

Here are two questions related to implied volatilities. a) The set up here is for an European option. We can get its implied volatility smile from calibration, the question is why could we also ...
1
vote
0answers
27 views

Replicating portfolio: initial portfolio?

I have a bit of trouble understanding how to determine the replicating portfolio of a call using just a stock and the riskfree asset. I have times $t = 0,1,2$, and at time $2$, we have $3$ payoffs ($...
1
vote
0answers
22 views

How to calculate monthly Return from a Momentum Strategy with overlapping Holdingperiods?

I replicate a Momentum Strategy from Rey and Schmid (2007) "Feasible momentum strategies" based on the idea from Jegadeesh and Titman (1993). I only buy the single stock with the highest past return ...
1
vote
0answers
24 views

student-t asset path

I am trying to simulate an asset path based on a t-distribution. I found a lot of ressources and the fact that it will be difficult to do a path. But now I changed my Geometric Brownian Motion ...
1
vote
0answers
13 views

How to calculate optimal monthly withdrawals from an investment with compound interest

I have 1.25M dollars. I want to put it in an investment with 60% annual return paid monthly and re-invest the interest to achieve compound interest. After 15 years, my principal would have grown to ...
1
vote
0answers
26 views

Problem with determining weights in tangency portfolio (2 risky assets)

I use the following well known formula in order to determine the weight of asset i in the tangency portfolio (in the case of two risky assets): $w_{i,T}=\frac{\sigma[r_2]^2E[R_1]-\sigma[r_1,r_2]E[R_2]...
1
vote
0answers
29 views

How to apply Kelly criterion to a portfolio made by a stock plus a option?

First of all, assuming a Gaussian, Markowitz, well behaved world. Extensions for non-well behaved world will be welcomed. I know that by a portfolio made by only by one stock (and a risk free bond) I ...
1
vote
0answers
30 views

Estimating time-varying tail dependence for Archimedean copulas

Patton (2006) defines the upper tail dependence coefficient for a time-varying bivariate SJC copula as $$\tau^u_t=\Lambda \left(\omega_u + \beta_u \tau^u_{t-1}+\alpha_u \frac{1}{10}\sum^{10}_{i=1}|u_{...
1
vote
0answers
22 views

Interest rates - Swaptions implied volatility - Volatility anchoring with Black and with normal volatilities

In a LMM+ with displacement factor a volatility anchoring technique is used, i.e. a long term volatility assumptions is applied, derived from historic time series. Should I adjust this historic ...
1
vote
0answers
63 views

Cointegration for forex using ARMA model to forecast the spread

I am working on an automatized quantitative strategy that use cointegration in Forex. I am backtesting this strategy in Python. Please see below the python file: https://drive.google.com/file/d/...
1
vote
0answers
32 views

Is it possible to place hidden order inside spread when trading E-mini S&P 500?

My question is not about hidden orders in general. In equity market a trader can post his hidden order inside spread, is it the same way for E-mini S&P 500?

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