1
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0answers
112 views

Historical calibration of Hull-White model

I have a question concerning 1-factor Hull-White model. For my master project I need to calibrate it to compute Counterparty credit risk metrics. I know that the model might be calibrated either for ...
1
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0answers
29 views

Calculate and compare IRR among products and companies

I am trying to calculate return on investment for a couple of companies and their respective products. I have two main products: credit card installment loan Owners would like to be able to ...
1
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0answers
50 views

Are limit orders mostly being matched by market orders?

When going over order book data, most limit-order executions look similar to the following: ...
1
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0answers
24 views

Unexplained delimiters in Nasdaq ITCH file

I'm working on writing an order book constructor for Nasdaq ITCH v5 files, and I'm noticing some occasional message identifies/ delimiters that are not included in the ITCH5 specification, ...
1
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0answers
35 views

Shrinkage Estimator giving unrealistic portfolio variances

I have a historical covariance matrix which is invertible for daily and monthly returns. I used the Ledoit,Wolf shrinkage estimator for the covariance matrix and now I get really small portfolio ...
1
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0answers
24 views

Historical UK Gilt 2-year and 5-year data

Data on the Medium (approx. 5-years) and Short (approx. 2-years) futures contract listed on ICE only goes back to 2009. Is anyone able to point me towards where I can get a longer time series, perhaps ...
1
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0answers
17 views

Stiffness of numerical methods for SDE

What can I do with stiffness of numerical methods for SDE? I want to use numerical approach for solving SDE in market's scenarios generation. Is there any general approach to handle it?
1
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0answers
42 views

Smoothening yield curve by minimizing forward curve slope

I am using government bullet bond data and have bootstrapped a yield curve by solving the following optimization which minimizes unweighted price error: ...
1
vote
0answers
103 views

stochastic calculus and multidimentional itos lemma

I am considering a number of assets (N) in a portfolio. each asset follows a geometric Brownian motion process therefore the stochastic differential equation is dS(i) = S(i)μdt + S(i)σdX(i). The ...
1
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0answers
37 views

Choosing Optimum Sampling Frequency

There was an interesting post made by Jonathan Kinlay where he discusses the use of a Fourier Transform to discover a potentially optimum bar frequency to choose as an input to a trading system. I am ...
1
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0answers
66 views

GARCH filtering and extreme value theory

We are evaluating a model for risk management based on extreme value theory using peaks over threshold and markov chain monte carlo methods. In doing this, we are firstly fitting a GARCH (we have ...
1
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0answers
32 views

Good broad review of network modeling for quant finance?

Trying to find some good review of agent-based models for quantitative finance, covering opinion dynamics, correlated behavior, etc. Are there any articles or books that cover major advances in these ...
1
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0answers
42 views

ROC — Output from Calculating Stock Returns Producing Lower Numbers Than Actual

I tried this on stack exchange, but think it is a better question here. I am beginning user and I need help with an error / bad output I am getting when calculating returns (using ROC) on stock ...
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0answers
57 views

GARCH estimation does not work, error in my returns?

Hey everyone and I hope that there are some smarter people out here that can help me out with my problem...: I have trouble with my implementation of a GARCH(1,1) model and I do not know how to move ...
1
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0answers
55 views

Financial theory

Ok guys, I'm studying from Danthine and Donaldson - Intermediate Financial Theory. The book itself doesn't have a lot of worked examples, and I'm lacking the basics for understanding some concepts ...
1
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0answers
16 views

NZX market depth data

Can someone point into the right direction for NZX market depth data specifically for individuals? I have tried many vendors but seem to be coming up with "institution-only" responses.
1
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0answers
39 views

Is there a limit to the number of Spot rates than can be calculated from Par Yields

I am just trying to calculate Spot Rates from Par yields. I find that the code below gives very similar spot rates for the data here, yet if I increase the size of the ...
1
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0answers
103 views

Carry Trade vs synthetic Carry Trade using forward contracts

When it comes to foreign exchange carry trade strategy, the definition is straightforward: an investor borrows 1 USD in the US (low interest country) and invests that $1 to AU (high interest country). ...
1
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0answers
61 views

Issues with +100 symbols in Quantstrat, Erratic Trades

I've tested my code against individual symbols and very small groups of symbols. I'm finding the more symbols I add the fewer trades I get. For instance, if I just include the first five symbols, all ...
1
vote
0answers
47 views

What are commercial impact models and transaction cost analysis models out there for simulation?

I have heard that ITG, LiquidMetrix, MarkIT and TradingScreen has good Transaction Cost Analysis (TCA) research. I wonder which firm one would choose to have an impact model formula inside his ...
1
vote
0answers
41 views

Settlement/Spot/(bid ask spread) ratio

Are there any studies on the average difference or ratio between Settlement (execution price) and the Spot price dependant on lot size. I'm looking for a function such as ...
1
vote
0answers
134 views

Monte Carlo, convexity and Risk-Neutral ZCB Pricing

I've built a simplistic Excel monte carlo model to price a zero-coupon bond, but it came up with a slightly unepxected result so I wanted to confirm whether my maths is just a little rusty or my model ...
1
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0answers
36 views

Texts on the Generalized Method of Moments

I was looking for a book that could explain me well the Generalized Method of Moments, its mathematical nuances, and even have a look to the empirical side, maybe with some guided exercises with Stata ...
1
vote
0answers
76 views

Interpretation of Johansen cointegration test in R

I am using urca package of R for Johansen Cointegration test in 2 stocks datas( A and B. My question is very elementar, but have cause some problems for me. How I interpret the critical values, for ...
1
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0answers
89 views

Black-Scholes formula with deterministic interest rate and dividend yield

Does any one have the Black-Scholes formula for a European call with time-dependent but deterministic interest rate and dividend yield ?
1
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0answers
80 views

PDE vs TREE vs MC vs Analytical

One what basis the pricing model can be differentiated for particular trade pricing. For exapmle why PDE or Binomial tree or MC or Analytical method will be consider for pricing any trade. Question ...
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0answers
54 views

Issue with Naive Bootstrapping (US Government Bonds)

I am using the formula here to determine the discount factor function. I get the data for Coupons, Face Values and Closing Prices from Thomson Reuters, which I insert into the Dataframe ...
1
vote
0answers
14 views

How do I calculate what % of price hits R1 before pivot

I am trying to calculate what % of times the price touches R1 before the pivot level. I have the data for the last 10 years and know how often it touches the R1 one and pivot point but I don't know ...
1
vote
0answers
15 views

Calculating rate of renewal for Certificate of Deposit

I am trying to calculate the rate of renewal for a large stock of Certificates of Deposit. These contracts are given on a fixed amount of time and some of them get renewed every time they reach ...
1
vote
0answers
35 views

Major categories of tradable securities and the ETF's that track them?

I'm just starting to learn about quantitative finance and I'm overwhelmed by the amount of tradable securities out there. I'm seeing all these things like VXX, TLT, TMF, SPY, SPXL, HYG, VWEHX and so ...
1
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0answers
35 views

How should I use central banks rates in order to compute 2-day forward exchange rate on EURUSD

Good morning, I would like to compute a 2-day forward exchange rate on EURUSD. For that, I have historical data on EURUSD spot price, and I know that theoretically, when maturity is T we have : ...
1
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0answers
67 views

ISM PMI data - sector trend through ranking and seasonal decomposition

I have monthly data for each of the 18 sectors in the ISM PMI. Each datapoint shows the trend of a sector: growing, contracting or neutral. It also tells the strength of that trend with a number: ...
1
vote
0answers
23 views

how does a bond maturing affect the pricing of the corresponding CDS?

if a bond matures, and there is no other existing bond from the legal entity that has not matured. Then how does that affect the CDS that corresponds to that bond?
1
vote
0answers
28 views

Disaggregating stock performance and dividend yield

I modeled the performance of several portfolios with adjusted close data and would now like to understand how much of it is driven by changes in stock price and dividend payouts. I have all the data ...
1
vote
0answers
176 views

Using cross-sectional factor model (BARRA type) returns in a time series factor model (Fama-French type)?

This may be seen as a follow up question for the previous discussion on time-series vs cross-sectional factor models: Which approach to estimating fundamental factor models is better, cross-sectional ...
1
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0answers
54 views

Initial values for Heston Model calibration

I'm doing a Heston model in Matlab using simple Monte Carlo simulations (5.000 paths and 2 steps per day, simulating 360 days). When I try to calibrate the Heston parameters using fminsearch it takes ...
1
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0answers
11 views

Is there any theoretical work to find an optimum size for the size of horizon in finite-horizon optimization or control?

we learn a lot about finite and infinite horizon control in dynamic programming. but I was wondering if we want to minimize the cost per time(discrete time) is there any work to find the optimum size ...
1
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0answers
57 views

How to decide if the ARCH coefficient is necessary in the GJR-GARCH model?

I did some analysis for CAC 40, the French market benchmark, for the period 2005-2014, and I tried to fit the data with a GJR(1,1) model in MATLAB. Then some warning showed Lower bound ...
1
vote
0answers
75 views

bandwith portfolio rebalancing in python

I want to calculate a bandwith rebalancing machanism for a portfolio of two assets. As soon as the performance of one ov the assets gets bigger or smaller than the other one + a defined tolerance ...
1
vote
0answers
144 views

Zero rate vs. yield on coupon bearing bond

in Hull's solutions manual of Options, Futures & Derivatives (8th edition), there's question 4.7, in which is asked to put the following in descending order: a) the five-year zero rate, b) the ...
1
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0answers
33 views

Hypothesis Testing for Portfolio Weights

Investigating international diversification is an ongoing topic in portfolio allocation literature. Britten-Jones and Kempf-Memmel , for example, use derived properties of the distribution of ...
1
vote
0answers
43 views

Relation between Parkinson number and historical volatility

In his book 'Dynamic Hedging', Nassim Taleb gives the relation: P = 1.67*historical volatility, where P is the Parkinson number. What is the basis of this relationship. Does this hold under special ...
1
vote
0answers
85 views

Filtering my own orders from a UDP multicast market data feed

I am wondering what is the policy practiced by most exchanges from different market segments (FX, equities, futures, etc.) about the privacy implications of order identification in their market data ...
1
vote
0answers
485 views

How can I convert Yahoo Ticker Symbols into ISIN Codes?

I have a list of all Yahoo Ticker Symbols and I want to convert them into ISIN Codes. I have been researching and found out that finance.yahoo in the US does not ...
1
vote
0answers
69 views

B-S Put Option Formula: Derivation using expected value under Q

I have been working on an old problem in one of my finance classes and, since no solution has been provided and I won't be able to contact my teacher anytime soon, I was hoping I could ask you guys to ...
1
vote
0answers
89 views

Black Scholes Model Replicating Strategy Delta Hedged Exam Question

A share is currently priced at 640p. A writer of 100,000 units of a one year European put option with an exercise price of 630p has delta-hedged the option with a portfolio which holds cash and is ...
1
vote
0answers
66 views

Term Structure and short rates

If I have a term structure/yield curve given by: $$f(t, T) = f(0, T) + σ^2t(T − \frac{t}{2}) + σB_t $$ and want to find the short/spot rate $r_t$, is this simply: $$f(t,t) = f(0,t) + ...
1
vote
0answers
26 views

Stochastic Optimal Control for ratios

Do you know any good papers on methods of Stochastic Optimal Control and Hamilton-Jacobi-Bellman(HJB) for optimization of different ratios(Sharpe, M2, Sortino, Sterling, etc.)? Meaning that using ...
1
vote
0answers
169 views

Constant Conditional Correlation GARCH (1,1)

I am a beginner in R and my econometrics background is not very sound either. I want to build a constant conditional correlation GARCH (1,1) model in R and I found the function, the description of ...
1
vote
0answers
30 views

Annuities problem

First problem is like this: loan amount: 20,000,000.00 First six months: There is no payment but there are interest (grace period) Next six months: payment of 600,000.00 Since 13 month: payment of ...

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