# All Questions

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The ETF in question is VDC It pays about $2.5 a year in dividends, but the payout dates are very erratic If I were to go long VDC with options, what would be the best way of doing this to avoid ... 0answers 27 views ### Feedback on Video Metadata Extraction I've developed/patented a metadata extraction methodology, which we've used to build a variety of alternative datasets for funds. One of the more difficult issues in this field, is getting useful ... 0answers 53 views ### How to choose the stock exchange to trade a stock? Let's take an example : Hewlett Packard. The company is listed on both Nasdaq and Nyse. Correct me if I am wrong but as we can trade it on 2 different stock exchanges the price of the stock may ... 1answer 84 views ### Second Moment of Stock Process I have a stock process which I have decided to model as $$S_T=S_t\exp((r-q-\frac{1}{2}\sigma^2)(T-t)+\sigma(W_T-Wt))-D_T$$ where$D_T$is a cash dividend at time$T$. This dividend is known. I then ... 2answers 80 views ### Which proxies to user for investor sentiment and industry performance, and where to find the data? I came up with the idea of dealing with investor's sentiment effect in stock market in my thesis. I would like to know which proxies you would suggest to use as sentiment index and from which source ... 0answers 39 views ### Is this a GARCH Monte-Carlo simulation? I tried this as a simulation for a GARCH(1,1) model. Is it correct? (I'm not speaking about the code itself, which works, but the underlying idea). Here is plot (of ... 0answers 60 views ### How to calculate cumulative returns with one lag in R I have a huge data frame with over 1000 column, which are companies(column headers) and in each column I have their estimated return(monthly). The sample period of the data frame in 11 years. I want ... 0answers 34 views ### Considerations when programming back testing engine I am at the beginning of writing a back testing engine and wanted to get some Feed back on considerations I should take into account , design ideas etc. 0answers 40 views ### Quantlib binomial tree I was trying to price options with the extendedBinomialTree class of quantlib. I actually tried at some point to modify this class in order to optimize it. Normally the drift and diffusion of the ... 0answers 39 views ### Vol surface changes as underlying moves We market make in highly liquid, near term options markets. I want to build a risk report that tells us how our portfolio's greeks will change as the underlying moves. This is for risk management in ... 0answers 36 views ### Problem with overlapping data when testing futures market efficiency In my case non-overlapping data would represent the scenario where futures prices (3 months) do not correspond to the futures spot prices in terms of delivery date. For example, futures settlement ... 0answers 28 views ### Under which conditions the minimum variance portfolio involves no short selling? If$\rho_{12} < 1$or$\sigma_1 \not= \sigma_2$then$\sigma_v^2$representing the variance of the portfolio with weights$(w_1, w_2) = (s, 1-s)$as a function of$s$attains its minimum value at: ... 0answers 28 views ### Is there a standard mortgage model available? Is there a standard model (or way of modelling) different types of mortgages and different interest rates to find the optimal mortgage structure for home loans? e.g. a loan of$800k structure across ...
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I already asked this yesterday at "Economics Stack Exchange" but think this question might be better suited here. In the meantime i really tried to solve it by myself, but couldn't find anything what ...
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### Latency Arbitrage in forex [closed]

(I've been downgraded on this question, and it's because most people don't understand what I mean. If you ever did hft arb, you will understand what I mean. If not, please do not answer) Everybody ...
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### Non-contractual accounts behavioural study

I need to carry a non-contractual accounts behavoiural study for a bank. The objective is to estimate core/non core ratios and then bucket and ftp them. Any recipe where to start? I have 3yrs of ...
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### How to fit a VAR + GARCH in R

I should create a VAR model with Garch error in R but i don't know how to do it and which package to use. The Vector Autoregressive model (or VECM) should also have covariates in it. Then I should ...
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### Is this an arbitrage opportunity? [closed]

The 6 months risk free rate is $0.0809\%$ the 12 month rate is $0.1415%$ today. The forward rate for 6 months in 6 months is $0.0913\%$ Is there an arbitrage opportunity?
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### Optimal approach for finding a profitable trading strategy to automate? [closed]

I am currently searching for an optimal approach for finding profitable forex trading strategies to automate. Currently, I just try to combine various indicators and build an automated trading system ...
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### YOY Comparison?

I have 2 numbers: Average monthly sales volume for 2015 (Jan to Dec): 1,000 Average monthly sales volume for 2016 YTD (Jan and Feb): 1,200 If I want to compare these 2 numbers with a % change, is ...
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### How to combine regression models?

Say I have three data sets of size $n$ each: $y_1$ = heights of people from the US only $y_2$ = heights of men from the whole world $y_3$ = heights of women from the whole world And I build a ...
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### Credit Valuation adjustment (CVA) Hedges

I need to understand once CVA Desk has CVA number(Bilateral or Unilateral) for a Counterparty, how does it take hedge position. for Eg: if CVA charge for my bank to JPM is 100K Dollars. What does ...
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Is there a major article or even better a comprehensive recent review article showing quantitative evidence for the existence of the business cycle and measuring the trending and mean reversion on ...
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### Valuation Method for CASH in S.06.02 QRTs

Extract from the latest spec for C0150 (Valuation Method) of S.06.02: Identify the valuation method used when valuing assets. One of the options in the following closed list shall be used: ...
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### Do you know any CFD broker with super cheap stock CFD that pays out dividends?

Do you think, it would be possible to buy stock prior its dividend date at some very cheap CFD broker, then wait 1 day, get dividend compensation credited and then sell the CFD back and end up in ...
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### Interest Rate Risk - The Greeks

IR Delta and Gamma. Can someone please explain if my understanding is accurate as relates to a 2yr interest rate swap? You are considered to be long Delta in an interest rate swap if you are ...
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### How to find or calculate 30-day constant maturity price of a future?

Question, pretty much says it. Is there a reliable place where this data can be found or, if not, is there a reliable place where the underlying data needed to calculate the constant maturity price ...
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### Relative merits of Adjusted versus Closing prices for market predictions

Basic question I am familiar with the data returned from Yahoo. For indices and the like (e.g. ETFs) there are seven columns of data: Date, Open, High, Low, Close, Volume, Adjusted. We only need ...
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### Robust way to calculate P&L for stocks/futures trading

I have implemented a class in C# that will calculate P&L based on this description from TT. However it worries me that it gives different results for the same fills, if you apply the "fill ...
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### What is the maximum of a brownian motion with drift over the interval [t_1,t_2]

I am having a problem deriving the equation: $$P(max_{(t_1 \leq t \leq t_2)} S(t) > B | S(t_1),S(t_2))= e^{-\frac{2}{T}ln\bigg{(}\frac{B}{S(t_1)}\bigg{)} ln\bigg{(}\frac{B}{S(t_2)}\bigg{)}}$$ ...
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### Different ways to discretize forward rate in HJM

I've come across couple of different ways to discretize the forward rate equation in HJM. If somebody could please help me understand why is it possible to have multiple ways here and how to pick up ...
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### Finding metal price data from LME

Does anyone know any sites that allows you to download free historical monthly metal (copper and aluminium) price data, the best would be LME data. I need historical spot prices, inventory, ...
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### Is it possible to download stock-data countrywise with quantmod package for R?

Is it possible to download stock-data countrywise with quantmod package for R ? Hi, I'm wondering if it's possible to download equities countrywise. Let's say i want all data from the Finnish ...
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### General Equation for price optimisation where cost is constant

I'm currently working on the Quantitative Finance course offered on Coursera by Wharton and in one example it states that "through calculus, one can obtain the optimal value of price when ...
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### CDS spread scenarios from historical market data

I'm searching for information on the best way to generate scenarios to be used in VaR or ES calculations, for CDS spreads. Given that we need significant historical data in order to achieve a decent ...
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### Are there alternatives to the Box-Tiao decomposition in identifying mean reverting portfolios?

As documented in this paper, Box-Tiao decomposition (a way to decompose multiple time series into components with different speeds of mean reversion) can be used to identify mean reverting portfolios. ...
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### Historical volatility on bloomberg API

Is there a way to obtain the historical volatility of a stock from the bloomberg API? I would be looking for the data in the HVT table. Actually 3-months historical volatility from now would be ...
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### Data on interest rate differentials (lending on own vs. foreign currency)

I'm looking for data on (inner country) interest rate differentials between lending in own and foreign currency. Is there any data publicly available? If yes, where? If not, which non-free sources are ...
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### Who Uses American Options?

...in other words, why would a person want to have the right to exercise an option early? What advantage does that really give you? Are Euro-style options not good enough for some people? Who are ...
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### Determining rate of interest

If I have trade prices of 10Y futures contract (ZNH6) is it possible to derive the interest rate from it? Or is there a better way to obtain historical 10 year rates?
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### How to backtest Value at Risk Models using Conditional and Unconditional tests?

I am trying to carry out backtesting on a number of Value at Risk figures i obtained using var/covar, historical, and monte carlo simulation. The two methods im using are the Kupiec test ...
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### School project about Black Scholes with stochastic volatility

In a university project I am looking at Black Scholes model with a stochastic volatility. I’m still not quite sure about my focus (I am in the beginning 'Idea phase'). I want to explain the theory ...
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### Monetary Policy and the Yield Curve PART ONE

As I understand it, the Fed has 3 tools for moving interest rates to combat inflation/unemployment: the discount rate, Fed Funds rate and open market operations. I'm trying to understand how the ...
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### How was this probability of negative U.S rates by end 2017 calculated?

http://www.bloomberg.com/news/articles/2016-01-26/bets-on-negative-u-s-rates-by-end-2017-jump-above-10-chance Options markets show some investors are taking out protection in case rates instead ...
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### Estimating Daily Dynamics using Hourly Data

This article gives a nice outline of how daily data can be used to estimate cointegration on a monthly horizon. http://papers.ssrn.com/sol3/papers.cfm?abstract_id=1404905 I'd like to use the same ...
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### what is the meaning of the differential of an arbitrary adapted random process?

I was working on the definition of the self-financing portfolio. Say $V=\phi_tS_t+\psi_t A_t$ where $S_t$ and $A_t$ are the stock price and the money market price at time $t$, resp, and $\phi_t$ and ...
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### Market Making Literature

I am not sure if this is the correct site to ask this, if not I apologize. I have noticed some markets that lack in liquidity, and wonder why market makers in these markets cannot provide liquidity ...
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### How to calculate US treasury total return from yield?

I'm struggling to understand the meaning of US treasury total return. What is easily available to get is yield data. Yield can be directly translated to the bond price at that time. In other words, ...
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### Implementation of Kelly in multivariate case using modeled distributions

I am exploring how to determine an "optimal" portfolio in the context of real life data and systems. Specifically, I want to calculate a Kelly Optimal Portfolio (see this paper, especially section 8.4 ...
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### How are CDS prices calculated for financial institutions?

If you need to estimate the fair price of a credit default swap on a financial institution, can it be done? Typical structural models tend to break down for the complex debt and asset characteristics ...

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