# All Questions

5k views

### When the Inverse Correlation between the SPX and VIX breaks down

As we all know the S&P and its implied vol, the VIX, generally move in opposite direction. To a large extent, the correlations makes sense. IV is one of the main drivers of the price of options, ...
217 views

### What's the first time-integral of price called?

In general I'm wondering about the names of time-derivatives of price. E.g. in physics the first few time-derivatives of position are: f(x) = displacement f'(x) = velocity f''(x) = acceleration ...
274 views

### Quality of GAINDATA timestamps

Does anyone have a view on the quality of the timestamping of GAINCAPITAL's free historical data. There is non-FX data there and I wonder if the timestamps are in sync?
223 views

### Desired portfolio volume

I am working on a toy model, in part of which an investor has to decide (based on some utility theory) how much money to invest in a given portfolio. For simplicity, assume that the portfolio is ...
735 views

### R Outputs from Johansen test. Linear combination still not stationary?

I am trying to see if house price is cointegrated with interest rate, per capita income and rental vacancy rate and got the following output from ca.jo in R: ...
152 views

292 views

### Quadratic variation question

Here I have this question (i) state Ito's formula (ii) hence or otherwise show that $\int^t_0B_s dB_s = \dfrac{1}{2}B^2_t -\dfrac{1}{2} t$ (iii) define the quadratic variation $Q(t)$ of Brownian ...
153 views

### pricing of heat rate-linked derivative

It's a simplified model. Suppose $U_t$ is a random variables subject to Lognormal($x_1$, $z_1^2$)distribution. $V_t$ is a random variables subject to Lognormal($x_2$, $z_2^2$)distribution. Suppose ...
2k views

### Parameter estimation of Ornstein–Uhlenbeck and CIR processes

I would like to estimate Ornstein–Uhlenbeck process' parameters via Kalman filter. My process is the following one: $\text{d}x_{t}=\alpha(\theta-x_{t})\text{d}t+\sigma\text{d}W_{t}$ I'm interested ...
2k views

### RQuantLib, Hoadley and Bloomberg YAS: fixed rate bond pricing differences?

I'm trying to price a fixed rate bond one year from now on. The bond is the PEUGOT 7 ⅜ 03/06/18, whose ISIN code is FR0011439975. I'm using such a specific example because in this way everyone can ...
572 views

### knowing the order of GARCH model

I want to ask if there is a situation to know the order of GARCH(p, q) from the result. For example, in the case of AR(p), one can know the value of p by plotting pacf(). In case of MA(q), one can ...
1k views

### backtesting options strategies in R

I would like to backtest an options strategy in R. I require the ability to delta hedge and rebalance to options in the portfolio at different frequencies (daily, monthly,etc.) What packages are the ...
705 views

### How does the CME set margin requirements on commodity Futures

I am trying to model margin requirements on various commodity futures, however it doesn't seem that the CME has released the formula they use to set these performance bonds. I am sure that they use ...
500 views

### When calculating CIP between EU and US, which interest rates data to use?

I am wondering which data to use to test the Covered Interest Rate Parity between Europe and the United States. Recap that for the CIP to hold, it should mean that F/S = (1+r)/(1+r*) where F = the ...
441 views

### Proxy for Expected Economic Growth

Can anyone help me understand how expected economic growth is usually measured? I've read several papers that talk about using breakeven inflation as a proxy for expected inflation, and then the ...
6k views

### Forecasting using rugarch package

I want to do one step ahead in-sample forecasts. My data can be found here. This is just a data frame with the date as the rownames. I specify my model and do the fit and show the plots with ...
4k views

### Best way to store hourly/daily options data for research purposes

There are quite a few discussions here about storage, but I can't find quite what I'm looking for. I'm in need to design a database to store (mostly) option data (strikes, premiums bid / ask, etc.). ...
1k views

### How to normalize technical indicators for machine learning?

I'm using around 130 technical indicators for 100 different companies. Each company's stock price moves in a different range, see FTSE 100. In addition, each technical indicator moves in a different ...
884 views

### Risk-free rate for ex-post evaluation of investment strategy

When evaluating the strategy ex-post using e.g. Sharpe ratio, what should one use as the risk-free rate? Let's suppose I am using a 1Y sample of weekly returns, sampled between 2012-01-01 and 2012-12-...
967 views

### Relationship between European, American options volatility

Suppose, if the price of a European option (say a put) can be shown to be monotone in volatility (say for any maturity), does it follow that American options has to be monotone in volatility? ...
344 views

### Rate Distortion Minimization in a Python Clustering Algorithm

I'm attempting to solve for $\hat{k}$ clusters, such that the rate distortion is minimized, as described here, however, the answers that I am getting from my algorithm are not following the "Jump" ...
515 views

### Hedging credit risk using Put equity options

I am looking for some paper or similar which deal with this topic: hedging bankruptcy on firm's debt using Put options written on that firm's equity price. This should be based on the assumption that ...
436 views

### How to test the efficiency of Exponential Moving Averages as a trading startegy? [closed]

I would like to know how I can test the efficiency of Exponential Moving Averages when it comes to forex trading. Can i have any papers that point to the efficiency of this strategy? Thank you. :)
294 views

### Event studies using revenue data vs. measuring abnormal returns

This may be a silly question, but does there exist a methodology for examining the impact of "events" on companies that are not publicly traded? I suppose it would look at abnormal revenues rather ...
584 views

### rugarch: Joint estimation leads to different results

I want to fit an ARMA-GARCH model to my data using rugarch package in R. First of all, I look at the acf and pacf: ...
309 views

### Quant/Stat Factor Performance Website/Distribution?

Does anyone know of a decent quant/stat factor website, distribution(public or private) or publication that tracks performance of "many" of traditional quant/stat factors? By that I mean would show ...
3k views

### How to implement Maximum Diversification in R?

I am trying to code up the optimization problem for Max Diversification Portfolios. The main problem I am having is properly translating the objective function in to code and port it in to the ...
1k views

### Analyze raw tick data

I'd like to work with raw tick data and naturally this data is unevenly spaced (for example, a couple of quotes are at the same second etc.) For example ...
889 views

### Is vega of Black-Scholes European type option always positive?

We assume we work in the risk-neural measure with a stock which pays no dividend and a continuous discount rate. For PUT and CALL only: can someone please clarify if what I said is correct? The ...
87 views

### Portfolio insurance with a coherent risk measure (CVaR)

I would like to analysis of portfolio insurance under a coherent risk-measure method (CVaR), How can I achieve that? Is there a way to turn the problem into a linear programming problem? or to ...
97 views

### What does it mean to adjust for short-run liquidity in finding risk-free rate of return

Risk-free rate of return should equal the expected long-run growth rate of the economy with an adjustment for short-run liquidity. What is meant by the last phrase, "adjustment for short-run ...
469 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 ...
431 views

### BSYM for historical tickers

When looking through Bloomberg's BSYM data ADR and Common Stock data (5/2/13), I was able to find the ticker symbol 'V' associated with Visa but was unable to find any record for Vivendi, which I ...
547 views

### How to determine ratios for mean-reverting basket

Suppose I have a basket of 3 securities A, B, and C. I believe that the basket is cointegrated and I want to create a mean-reverting trade. I fit the model: \$\log(A)=\beta_b*\log(B)+\beta_c*\log(C)+\...
200 views

### RQuantLib: any difference between FixedRateBond() and FixedRateBondPriceByYield() with flat term structure?

Please, consider the following functions from RQuantLib package: FixedRateBond() ...
1k views

### Bond curve extrapolation

What are the best methods to extrapolate bond yields from an existing curve that doesn't extend quite this far? For example, how would one come about finding a theoretical bond yield for a 40 or 50 ...