# All Questions

56 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 ...
94 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 ...
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 ...
57 views

I am trying to find a good database for Spatial Data. What are the examples of this kind of data? IS it always related to geography? Any Spatial data related to finance, economics and statistics? ...
25 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.
43 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 ...
200 views

17 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 ...
41 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 ...
37 views

### order routing for a fill [closed]

Lets assume a FIFO rules in futures, I buy a contract and id like to sell it. Should I estimate the possibilite of orders on opposite side would be filled first? If I watch new orders incoming at new ...
40 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 : $F_0$...
85 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: "...
98 views

### Price of an American call option [closed]

I'm working through revision questions at the moment and we are asked to compute the price of an American call option. Suppose that $dS_t = \sigma S_t dW^*_t, S_0 >0$ Let $0<U<T$ be fixed ...
24 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?
833 views

### Calculating Greeks using BinomialTree in Matlab [closed]

section 1. Calculating sensitivity of the price of derivatives American or European option using binomial tree model section 2. Calculating first order greeks the code compiles till this point ...
34 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 ...
363 views

### “Hedging” a put option, question on exercise

I have a question on the following exercise from S. Shreve: Stochastic Calculus for Finance, I: Exercise 4.2. In Example 4.2.1, we computed the time-zero value of the American put with strike ...
292 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 (...
77 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 ...
40 views

### Compound Interest Calculation (Years + Months)

My question is with regards to the calculation of "Compound Interest". I have the formula below where I would get an answer to the total value of the investment over a period of "years". $A$ = ...
60 views

### Black Scholes with Dilution

I've seen two ways to account for dilution when valuing a European option using Black Scholes. I'm not sure which is the correct way and why these methods differ. The two ways I've seen are: 1) ...
14 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 ...
90 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 ...
117 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 ...
261 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 ...
37 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 ...
57 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 ...
181 views

### How to calculate beta against a multi-asset benchmark

Lets say that I have a benchmark, $BM$ that consists of 3 assets- 30% asset $A$, 30% asset $B$ and 40% asset $C$. Now, lets further assume I am trying to construct a portfolio that uses $BM$ as its ...
97 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 ...
759 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 ...
41 views

### Why is TransactTime not required on ExecutionReports? [closed]

A couple of my brokers are not sending tag 60(TransactTime) on Canceled messages. What is the rule of thumb for determining cancel time when tag 60 is absent from a Canceled message? Canceled ...
71 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 ...
82 views

### Cointegration and variance of time series

Given that $X_t , Y_t$ are two cointegrated random processes, what can we say about the relationship between variance of the two increments $var(X_{t+h}-X_t)$ , $var(Y_{t+h}-Y_t)$ for a given $h>0$...
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) + \sigma^2t(t-\...