1
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0answers
97 views

How to show that the risk contribution function is or is not injective?

Assume a portoflio $w \in \mathbb{R}^n$, you can get the total risk contribution $\psi_i$ of asset $i$ by doing: $$\psi_i = w_i \frac{\partial \sigma(w)}{\partial w_i}= \frac{1}{\sigma(w)} \left[ ...
1
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0answers
614 views

Long/Short portfolio return

Suppose I have a Po with one long, one short positions and some cash (to balance the short + 50% margin) as shown below: ...
1
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0answers
128 views

Do you use software for finite element valuation or do you roll your own?

Engineers put a lot of time and effort in developping high quality finite element (FE) software (deal.II, Dune, Elmer,...). So I was wondering if some of those tools would be suitable for quantitative ...
1
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0answers
163 views

Example code for “Gauge Invariance, Geometry and Arbitrage” paper

This paper describes an algorithm for computing arbitrage opportunites using a gauge connetion. Has anyone written a python program or C++ or C# program that shows how to follow the steps outlines in ...
1
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1answer
366 views

CME historical option data provider

Is there any other historical end-of-day CME option data provider rather then CME DataMine? I've searched all the internet and found only CBOE traded options.
1
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0answers
107 views

What are the industry standard models for monte carlo simulation of basket options?

I would like to simulate an equity index, a risk free cash account and the yield curve for the purposes of valuing a guarantee on an insurance product that is being backed by both equities and cash. ...
1
vote
3answers
231 views

Industry convention to track trading performance against market indices?

I come from a programming background and not am no quant by career so this is probably a newbie question for you guys. I have written some code to pull daily closing values for market indices ...
1
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0answers
362 views

Time-varying correlation via state-space representation and Kalman filter

Let a linear time-varying mode like this one: $y_{t}=\alpha_{t}+\beta_{t}x_{t}+\epsilon_{t}$. You can also suppress the constant term to simplify this example: $y_{t}=\beta_{t}x_{t}+\epsilon_{t}$. ...
1
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0answers
46 views

Is there a different test to check stationarity? [duplicate]

I am using the KPSS test to check stationarity of a financial time series. I would like to know if there is another test to confirm the stationarity. Any advice?
1
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1answer
461 views

Convexity adjustment

I have a problem with the underlying assumption in the future/forward convexity adjustment. If I understand correctly, the assumption is, if I am long ED, I earn money when rates go down and invest ...
1
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0answers
292 views

Fluid dynamics for order book depth modelling

Would someone be able to give me an idea what type of fluid dynamics I could look at for modelling the order book? My background is more signals-related maths (correlation, covariance, fourier etc). ...
1
vote
0answers
105 views

Insignificant or significant explanatory power over risk adjusted returns?

Currently iam working on my master thesis which is about risk adjusted returns in the Asia Pacific REIT market. The goal of the paper is to determine/find variables that conceive explanatory power ...
1
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0answers
169 views

RCaller & RQuantlib error in java

I am receiving the following error: ...
1
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0answers
148 views

Practical quantitative finance problems that could be solved in trustless grid computing environment?

Are there any relevant computationally intensive quantitative finance problems that could be outsourced to a trustless grid? By a trustless grid I mean that you cannot trust it with the access to your ...
1
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0answers
609 views

Implied volatility and greeks for american option with discrete dividends

What methods are available to calculate IV and greeks for an american option with discrete dividends, and how do they compare? Should I use Roll-Geske-Whaley and solve for a given option price?
1
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0answers
240 views

How to statistically compare the pricing errors of various option pricing models?

I have three different option pricing models, for which I computed the in-sample and out-of-sample pricing errors. Now I want to test the pricing performance of these three option pricing models ...
1
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0answers
35 views

How to set up Heston and Rouwenhorst regression? [duplicate]

Heston and Rouwenhorst (1994) devised an empirical estimation strategy to decompose stock returns into three components: a pure industry effect, a pure country effect, and a world-factor return. ...
1
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0answers
172 views

Market Exposure and Hedging

Normally the Market exposure associated with your stock/portfolio is your delta for that stock/ portfolio. Basic idea of hedging involved here is buying/selling respective futures depending upon ...
1
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0answers
57 views

mean variance minimizer

I need to use the lagragian multiplier to find the minimal martingale measure from the set of equivalent martingale measures. i formed the lagragian as L = $L(u(t,S(t)),\lambda) = ...
1
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0answers
440 views

Interpolate option volatility in delta space in R

I have a bunch of deltas and option implied vols at those deltas. I would like to interpolate them in R. Interpolating them in delta space seems difficult, since normally you would like the ATM calls ...
1
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0answers
91 views

How to measure if variance is greater at a certain time of day?

I'm not very fluent in the quant vernacular, so perhaps the nature of my question will be better illustrated as a hypothesis. One market has closed and another market elsewhere on Spaceship Earth is ...
1
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0answers
540 views

portfolio optimization with a loop

I am attempting to minimize the variance of a 3 stock portfolio using optimization within a loop. What I have done is calculated the stock returns and cov matrix from dates 1980-01-01 to 1989-12-31 ...
1
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0answers
236 views

Modelling long run relationship between dividend and earnings

I am working on a paper where I have to model the long run relationship between earnings and dividends. I have downloaded the raw data from shillers website. I have converted the series to ...
1
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0answers
108 views

Risk factors for derivatives on dividends

I consider pricing and risk analysis of derivatives on dividends of the members of equity indices (such as Dow Jones EuroStoxx). There are options but I focus on futures. What are the main risk ...
1
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0answers
383 views

Call options portfolio: what would the underlyings' moments to be maximized?

Let you have only three underlyings, like SPY, TLT and GLD, and you want to buy $n_{1}$ Call options on SPY, $n_{2}$ Call options on TLT and $n_{3}$ Call options on GLD... with a limited budget, that ...
1
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0answers
99 views

Problems with exact Heston simulations

I am just wondering if there is any problem with the so-called "exact" Heston simulations? So far what I have seen are the good things about it, what are the disadvantages? Because if it is so ...
1
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0answers
223 views

Data feed that shows individual orders

Does anyone know how I can obtain time and sales data for a stock? Lots of feeds provide the total volume but I would like to see the breakdown of what buy/sell orders made up the day's volume. I ...
1
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0answers
119 views

What to do with linear regression or regression splines outside of the training range?

This is a cross-post from here In my question on a load forecast model using temperature data as covariates I was advised to use regression splines. This really seems to be a/the solution. Now I ...
1
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0answers
42 views

How does a covered bond characteristics compare to a mortgage security for credit enhancement?

I need help with understanding how does a covered bond characteristics compare to a mortgage security for credit enhancement?
1
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0answers
270 views

Pricing a Power Contract derivative security

I'm trying to price a "power contract" and would appreciate guidance on the next step. The payoff at time $T$ is $(S(T)/K)^\alpha$, where $K > 0$, $\alpha \in \mathbb{N}$, $T > 0$. $S$ is ...
1
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0answers
293 views

How to calculate a the PFE for a Swaption?

How do you calculate the Potential Future Exposure (PFE) for a swaption? Do you incorporate the dynamics of implied volatility when you are running your simulations? Is there a standard way to ...
1
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0answers
186 views

Backtesting benchmark / control test design

I am designing a backtesting system to test an algorithm. I'd like to have a benchmark / control test results to compare to the results of a custom algorithm. A limited "set" of stocks is selected ...
1
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0answers
474 views

Oscillatory time-series forecasting

I was wondering if this mean(160)-reverting/oscillatory time series "SUM" can be considered chaotic & forecastable to some extend short-term? ...
1
vote
1answer
179 views

Resampled efficient frontier length of simulation

I was provided with a VBA program from my lecturer that applies the resampled efficient frontier. We have an investment horizon $T$ (6 years) and he uses a multivariate normal distribution with ...
1
vote
0answers
218 views

Modeling asset performance to Bitcoin revenue

I'm attempting to model asset performance to Bitcoin revenue, which is a driving force in the Bitcoin community. Question Is there any model, or research being done that tracks "hashes per second" ...
1
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0answers
83 views

Neglect the positive values in negative interest rates modelling?

The magnitude of the negative interested rate should vary correlated with the increase in fixed assets prices and with cross-currency basis spreads. Could their volatility / correlation ...
1
vote
1answer
79 views

Separated software and physical cash flows modelling and pricing to be used with negative interest rates?

The physical cash presence in the final transactions is one of the issues in the presently observed negative interest rates bonds. Such a situation has historically been modelled within the "liquidity ...
1
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0answers
2k views

Backtest pair trade strategy in R

I am looking for some tips on how to run a simple backtest on a pairtrading strategy intraday using eg. 30minute bars. I have calculated the spread, ...
1
vote
0answers
145 views

Is there a general format for various sources of futures market-data?

I am developing a market-data engine that receives market-data from different futures exchanges. So I need a general format to deal with sources from different exchanges. Protocols like FIX only ...
1
vote
0answers
702 views

Using volatility cycles to switch between trend following & range bound trading? [closed]

"...a low volatility environment is usually a good environment for trend following strategies; see Jez Liberty’s state of trend following report here..." ...
1
vote
1answer
659 views

Two prices pass the cointegration test but there is a trend. How to check stationarity?

Below is a spread built with two ETFs that pass the cointegration test i.e. Adjusted Dickey Fuller, adfTest(type="nc") in R's fUnitRoots with a p-value < 0.01. The red line is the trendline. What ...
1
vote
0answers
90 views

how to identify similar assets based only on a few price samples

Using quantitative finances techniques on limited information, how might one go about finding similar(highly correlated) assets whose public information is available? The only data offered on a list ...
1
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0answers
452 views

How to calculate time-segmented volume? [closed]

amibrokers has this calculation for TSV: ...
1
vote
0answers
275 views

How would I calculate a stop on a pair trade? [closed]

I have a trading strategy that I use on single tickers. I'd like to start using it with pairs as well. However, I'm somewhat math challenged and not sure how to best calculate the stops of the ...
1
vote
0answers
59 views

Performance of 1X0/X0 funds vs. traditional benchmarks?

Some years ago there was a proliferation of new products touting the ability of active managers to take short bets on securities: 130/30 funds, 150/50 funds, and the like. What is the empirical ...
1
vote
0answers
747 views

What skills and education are required for HFT? [closed]

I'm a university student and I'm quite interested in High Frequency Trading Algorithms. What courses should I take and what skills should I acquire so that I can work in this field? So far, I've been ...
1
vote
0answers
338 views

Probability distributions in quantitative finance [closed]

What are the most popular probability distributions in quantitative finance and what are their applications?
1
vote
0answers
130 views

Getting the actual distribution of a stock price at time T using implied volatility [duplicate]

Possible Duplicate: How to derive the implied probability distribution from B-S volatilities? Let's assume a stock price S, with volatility $\sigma$ constant, no dividend, and risk free ...
1
vote
1answer
28 views

CRSP common stock only

How can I download exchange data for only common stocks (excl mutual funds, ETF, etc) on the NYSE, NASDAQ, and AMEX? I can't find a list of tickers or anything. Does anyone know a method? And does ...
1
vote
1answer
49 views

impact model what volatility to use

I am looking at the market impact paper here (http://www.cims.nyu.edu/~almgren/papers/costestim.pdf) and I had a question about volatility on page 11. On page 11 it is stated: "For volatility, we use ...

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