1
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2answers
38 views

Unemployment data and bond futures

All other things being equal, why would rising unemployment data lead to (a trend) of increasing bond futures? Is the line of thinking that bond futures prices have the same relationship with ...
1
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1answer
45 views

Papers on temporary price impact

Can anyone recommend papers that model how long temporary price impact last when you buy / sell a trade? This would fall under the TCA realm (Trade Cost Analysis). Thank you.
1
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2answers
51 views

How to apply the CAPM to 6 stocks from different markets?

I would like to apply the capital asset pricing model (CAPM) for selecting proportions of 6 different stocks. In introductory books, the CAPM model assumes that there is one market index (e.g. the S&...
1
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2answers
56 views

Sharpe Ratio and your annualization

My question is related on this How to annualize Sharpe Ratio? but is a bit different. Under assumpion of IID returns, if excess return is positive, the SR increase over time horizon, with factor $\...
1
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1answer
43 views

How do I calculate the probability of a short option position expiring worthless?

I want to be able to determine the probability of a short option position (call or put) expiring worthless. Don't know where to start but I see probabilities derived from the greeks on some web sites?...
1
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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
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0answers
32 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
1answer
10 views

Roll convention applied to weekend swap maturity date

Suppose a swap is booked with maturity on June 19, 2016 (which is a Sunday). Accruals are adjusted according to the modified following roll convention and follow U.S. holidays. For the last cashflow ...
1
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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
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0answers
31 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
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1answer
47 views

How to convert Jensen's Alpha from monthly to quarterly observations

I am being puzzled while calculating jensen's alpha for single stocks. I have monthly returns data and have calculated alpha for each stock on a monthly basis (used 36-month rolling window for beta ...
1
vote
1answer
27 views

NOK NOWA overnight day count

The NOK overnight index NOWA is defined as: Reported interest rates shall be calculated as nominal annual rates for the actual number of days in the year ahead (365 or 366). (The percentage ...
1
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2answers
31 views

I need a low volatility asset that gives an interest/dividen [closed]

I have some cash that needs to sit on an account for some time (less then a year, where I will withdraw an amount every month). I need them in a fixed price/low volatility asset that gives an interest ...
1
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1answer
30 views

How to understand this Risk Parity Algorithm?

I am trying to understand an optimization algorithm to achieve risk parity in a portfolio. I need some help figuring out the notation in the following formula: I found this on THIS paper. I ...
1
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1answer
23 views

Data of Credit Migration Matrices

Please advise that how to get the data of credit migration matrices There is a paper of credit migration matrices, I would import the data to Matlab or R for credit analysis. https://www....
1
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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
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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
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0answers
56 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
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0answers
38 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
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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
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0answers
16 views

Where can I find extra resources on how to use Quantopian? [migrated]

I am sure you all know Quantopian (I love it!!). Even though I am pretty good with Python, I am still having trouble writing a full algorithm (I am trying to write one using Fundamentals data). I ...
1
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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
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1answer
58 views

Standard Stochastic Volatility Models VS Moving Average Stochastic Volatility Model

Hi... I am comparing the log-volatility of two SV models with an application to MATLAB. Since I am a rookie in this field, I do not know if I am wrong in interpreting the graph. In my opinion the only ...
1
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0answers
35 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
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1answer
49 views

what would be the most parsimonous sequence of study?

As a 3rd year undergraduate Economics student, I want to write my undergraduate thesis on Risk Analysis of bank failures. I want to prepare my theoretical background in summer time before the starting ...
1
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0answers
27 views

Data collection [duplicate]

I am looking for historical data (hopefully from 1995-2016, otherwise as much as available during that time frame) on a number of variables for 8 different stock market indexes. The indexes are ...
1
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0answers
26 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
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0answers
21 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
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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
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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
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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
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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
1answer
14 views

compute volatility and greeks of american option on futures using matlab toolbox

I have learned some knowledges on option pricing by myself at a very beginer's level. I'm using matlab R2009b finacial derivative toolbox, I found option pricing functions for american options on ...
1
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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
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0answers
17 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
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0answers
22 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
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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
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1answer
35 views

hello, anyone know how can i get historical book to market ratio? [closed]

am working on Malaysian stocks i have just 25 days to present my thesis to the university and i don't know how to get my data i need book to market monthly ratio from 2000 to 2015
1
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0answers
48 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
32 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
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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
35 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
19 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
1answer
31 views

Pricing Barrier Options with Rebates

How are rebates factored into the Black-Scholes analytical solutions to pricing barrier options? In Hull's book, he does not have rebates factored into the formulas. Can someone point me to a paper ...
1
vote
2answers
50 views

Very Simple Log Return Correlated Stock simulation

Suppose we have 3 stocks which follow GBM. We are given the distribution of the daily log returns which is multivariate normal. Suppose I want to sample the stock price tomorrow ($\Delta t = 1$ day). ...
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
1answer
32 views

Trader Workstation on Ubuntu cannot be connected to via the API

I am using ibPy to connect to TWS on a fairly fresh ubuntu machine. I have been successful in logging into the paper trading account and submitting buy and sell orders programatically via the ibPy ...
1
vote
0answers
30 views

Could someone please share the Matlab code for the stochastic volatility jump diffusion option pricing model? (Bates model) [closed]

I have not been able to write a Matlab code for the Bates model without errors. Could someone share theirs please?

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