0
votes
1answer
62 views

Real-time Tick Filtering

Is anybody aware of any papers regarding tick/quote filtering algorithms. I'm aware of the Olsen stuff, but I'd prefer something with fewer free parameters.
0
votes
1answer
64 views

Binary Option valuation problem in R using RQuantLib; also result validation aspect

When I am trying to value Binary Option using RQuantLib I am not getting all the greeks for exctype "american" wheras "european" exctype is fine. What is the problem here ? ...
0
votes
1answer
49 views

Is it OK to consider the expected return is zero for stocks when calculating VaR over a short horizon?

I want to implement the approach described in the following recipe for calculating VaR: Is there a step-by-step guide for calculating portfolio VaR using monte carlo simulations I was told that I can ...
0
votes
1answer
41 views

Macaulay Duration: Duration for 2 bonds

Using Macaulay Duration, determine the duration of Bond B if Bond A and B (market value of 600 000 dollars and 400 000 dollars respectively) have a duration of 6.7 years and the duration of A is ...
0
votes
1answer
44 views

Conversion factor for bond with coupon=yield

Please illustrate that a bond with maturity N years that has coupon equal to its yield is associated with the conversion factor of 1. I do this by writing out $$\frac1{100} \left( \sum_{t=1}^N \left[ ...
0
votes
1answer
56 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 ...
0
votes
2answers
148 views

How to handle currency change in exchange rate volatility measurement

I am trying to measure exchange rate volatility in some countries and I am using their currencies against euro. Problem is that one of them is Slovakia which has changed the currency in 2009 from ...
0
votes
1answer
71 views

Citable source: Why implied volatility over dollar prices

I am aware of the reasoning of quoting vanilla options as implied volatilities rather than dollar values. However, I would like to have a literature reference where this is explained, to quote / cite ...
0
votes
1answer
217 views

Realized Volatility vs. Standard deviation of log returns

I am interested in calculating high frequency 5-minute intraday volatility. I am going to use the standard Realized volatility which is the square root of the sum of squared log returns. Given X is ...
0
votes
1answer
70 views

Newbie Quant: Bulding price feeder to securities master db

First of all, warm hello to all. I am newbie and i admit it, but with at least 15+ years of exp in C++. Working in IB - derivatives mainly, but unfortunately on the business side not trading at all. ...
0
votes
1answer
62 views

calculating portfolio volatility [closed]

Given: vector of portfolio weights $W = [w_1 w_1 ]$ correlation matrix $C = \left( \begin{array}{ccc} a & b \\ d & e \end{array} \right) $ standard deviation of the asset returns $S = [s_1 ...
0
votes
2answers
87 views

Spot price and volatility has a correlation of -1, why?

A stock option trader taught me yesterday that the correlation between the spot price of asset X and the variance of asset X is approximately -1. Can anyone give me a explanation why this is true?
0
votes
1answer
73 views

What is some book that is complete and easy but hard enough to serve as prerequisite for asset pricing and portfolio choice theory?

What is some book that is complete and easy but hard enough to serve as prerequisite for asset pricing and portfolio choice theory by kerry back? I wonder how come a beginning graduate textbook is so ...
0
votes
1answer
78 views

Local volatility parametrization using the spot

Is it possible to estimate the local volatility using the spot price S at time t instead of the strike price K and the expiry date T ? Any help would be appreciated.
0
votes
2answers
85 views

Reproducing levels when PCA has been done on changes

I want to use PCA for rich/cheap analysis of interest rates. For this I did the PCA on the time series of daily difference in interest rates, which is stationary. I cant do pca on levels, as they are ...
0
votes
1answer
59 views

Looking for the conventions for EONIA swaps used to define EONIA swap rates

I'm trying to recreate some historical curves using EONIA swap rates. Unfortunately I can't find a concrete specification for the swaps. Without knowing if there are intermediate coupon payments, I ...
0
votes
1answer
84 views

API that provides Zero Coupon Bond Yield Curves?

Would anyone know and API or Database where one could access Zero Coupon Bond Yield Curves? Also, is it wrong to use Coupon Paying Bonds Yield Curves and then zero-finding and then bootstrapping to ...
0
votes
2answers
213 views

Corporate finance exercise book

I'm preparing a corporate finance exam and I need a book with illustrated exercises that make you really understand the subject, since the written exam is not much mechanical, but more similar to ...
0
votes
1answer
73 views

Difference between Tick data and NASDAQ ITCH VIEW [closed]

Could any one explain the difference
0
votes
1answer
81 views

The State-Price Deflator in a Binomial pricing model

This question comes from a Financial Economics exam and I'm very confused about a state-price deflator which doesn't seem to exist. I've included the whole question for completeness, but my actual ...
0
votes
1answer
168 views

How can I calculate the Maximum Drawdown MDD in python

I need to calculate the a time dynamic Maximum Drawdown in Python. The problem is that e.g.: ( df.CLOSE_SPX.max() - df.CLOSE_SPX.min() ) / df.CLOSE_SPX.max() ...
0
votes
1answer
60 views

Portfolio volatility

Problem True or fale? The stock of a firm has an expected return of 10%, and a volatility of 10%. The weight of the stock in a portfolio is 5%, and the correlation of the stock’s return with the ...
0
votes
1answer
402 views

Negative time value european options

I have a basic question for which I feel like I should have found the answer by googling it, but I didn't get a definitive answer, so here I am: Can the time value for a plain vanilla (European) ...
0
votes
2answers
86 views

Short Volatility [closed]

Being net short options is an obvious case of being short volatility. But what other investments are "functionally" short volatility? Is long equities long or short volatility? Is short Apple long or ...
0
votes
2answers
180 views

What is the current lowest possible latency for TCP communication?

I have two machines over a 10Gb network that need to communicate with each other through a TCP connection. In terms of technology, what is the current lowest latency possible for this to happen? What ...
0
votes
1answer
73 views

Problem - stationarity and relevance

I am doing my Bachelor's thesis at the moment and I ran into a problem I was hoping you could help me out with. While running my data (in Eviews) I had relevant variables. However, when turning to a ...
0
votes
2answers
172 views

Pricing a call when minimum stock price above strike with certainty

I am editing this question because it was originally unclear, and I didn't get the answers I was hoping for. In my finance book I have the following question T-bills currently yield 5.5 percent. ...
0
votes
1answer
395 views

Portfolio optimzation : efficient frontier with respect to risk aversion parameter with R

I am currently trying to write a little script in R to determine the optimal weights given a fixed risk aversion parameter. The problem I have is that by increasing the risk aversion parameter I think ...
0
votes
1answer
147 views

How to forecast bond price with time series

I have the goal of being able to develop a model that can forecast the future prices of european government bond (or other private bonds), particularly from the historical prices and returns of the ...
0
votes
1answer
86 views

What are good online resources for credit portfolio managers?

I am aware that this question is not the typical quant.SE question, BUT I couldn`t find any site/forum/wiki, where credit portfolio managers hang out to share their experience and their methods. ...
0
votes
2answers
97 views

Right metric to manage a portfolio based on correlation?

I want to algorithmically add a new investment to an existing portfolio. The decision should be based on a low correlation to the existing assets. E. g. the following situation The portfolio ...
0
votes
2answers
205 views

Does a forward price have a drift component in any measure?

Going by intuition, a forward price should already take into account the drift in the underlying price process. Further, assuming interest rates are deterministic, the stochasticity in the forward ...
0
votes
1answer
327 views

Stub rate and first fixing in IRS

I have 2 questions that probably are related. Suppose there is an IRS that pays a 2% fixed rate every 6 months and receives the Libor 3 months (but paid every 6 months). The swap starts today (March ...
0
votes
2answers
98 views

How to assess stock price movement from implied volatility?

Assume that: - The underlying is at 100 - The implied volatility of ATM call/put is 30%. Then, is it correct that expected 1-standard-deviation move over the next month is calculated as: $$100 * ...
0
votes
2answers
146 views

Has automated trading produced profits at IEX?

Is there evidence that automated trading is profitable on the latency-enforced portion of the exchange? On the one hand, if automated trading was profitable when these limits existed naturally, it ...
0
votes
1answer
67 views

Why vega increases further out in time

Why do back months options have a higher vega than front month options? If possible , kindly explain on an intuitive level without a lot of math.
0
votes
1answer
75 views

Computing the minimum variance portfolio

Given two risky assets and their corresponding covariance matrix, how do I compute the global minimum variance portfolio, its standard deviation and its expected return?
0
votes
1answer
192 views

at c(x)% “where x is a numerical figure”, what does that c mean?

When i read financial news, sometimes, there is cX% (where X is a number). Below are few examples: 1. "improving to c4% on a proforma basis" 2. "market share is now c6% of the ..." What does that c ...
0
votes
1answer
257 views

Bootstrapping zero-rates from AUD swap rates

I have a pay fixed / receive floating interest-rate-swap on the AUD BBSY that I'd like to price for the purposes of accounting. I understand the general process to be as follows (assuming ...
0
votes
2answers
241 views

Bid/Ask vs Low/High

I am trying to gather historical data for experimental reasons (intellectual curiosity) and am having trouble understanding how that data is calculated. First some data gathering on AAPL from Feb. ...
0
votes
1answer
107 views

Online algorithm for selecting smoothing parameter?

In Online Algorithms in High-frequency Trading the authors demonstrate online, exponentially-weighted algorithms for mean, variance, and linear regression. The authors estimate their smoothing ...
0
votes
1answer
143 views

What are the parameters of the function PORTVAR in Matlab?

According to the Matlab help, Portvar will give the "Variance for portfolio of assets" by entering the returns of the Assets and the corresponding weight. However, it does not explain the parameters ...
0
votes
1answer
34 views

Transaction Costs Measure ATOP: What does it mean and exactly measure?

I went through some presentations about LowVol strategies for some indices. In the presentations were tables with average returns, vola, Sharp ratio and ATOP. I have no clue what this ATOP is supposed ...
0
votes
2answers
158 views

Investment: Bond vs Equity

I was talking to a friend recently and he asked me the following question. If I have a device which perfectly (with 100% accuracy) predicts that both a bond (e.g. AAA rated government bond) and the ...
0
votes
1answer
91 views

How do I track implied volatility of specific delta?

I'm a newbie with respects to volatility trading and options. I recently purchased a book on the topic called "Trading Implied Volatility -An introduction" by Simon Gleadall. It's been one of the most ...
0
votes
3answers
91 views

Variance calculation

How could I calculate variance when I have a snapshot of a portfolio that shows the following for each stock: Purchase Price, Close Price, Change in value, Change in percentage, Shares owned, ...
0
votes
1answer
102 views

Backtesting software with custom data input

I was considering to develop a custom backtesting platform for myself. However, I see that it would require some significant time and effort, and the result might not be as initially expected. So I ...
0
votes
1answer
60 views

Calculating “Market Index Dividend Yield” of the ASX

In attempts to establish an investment portfolio with a long term horizon, the method of relative dividend yield has caught my attention. I require the Market Index Dividend Yield to proceed. The ...
0
votes
1answer
183 views

How to compute the historical VaR for a portfolio with long and short positions?

I would like to calculate historical Value at Risk for a portfolio that includes both long and short positions in forward contracts. The part that confuses me is that I wonder whether the VaR of the ...
0
votes
1answer
69 views

Why vertical skew is same for puts and calls

What is the reason that the vertical volatility skew graph(decreasing IV as the strikes increase) is the same for the puts and calls? The loose explanation is because of put call parity, but I am not ...

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