# All Questions

44 views

### What is shorting a asset that has negative price. Can anyone give me an example? [closed]

What is shorting a asset that has negative price. Can anyone give me an example?
76 views

How does buying back stock affect a company's credit spread? Would it cause it to get smaller? Any clarification would be appreciated.
740 views

### I want to keep a column in getSymbols or get.hist.quote with the Date as as.Date format [closed]

I use getSymbols to download historical information over an environment with 200 tickers but I cannot seem to keep the date information from becoming an index. I ...
80 views

### Are proof-of-work systems used by exchanges?

Are there any proof-of-work systems used by exchanges? If not, are there any interesting proposals worth reading? In principle, there might be applications for proof-of-work systems in preventing ...
145 views

### What is the realized volatility's estimation error?

Given an estimation procedure and real data, how would one compute the mean squared error? What value represents the "true" realized volatility in the case of calculating the Mean Squared Error in ...
99 views

### Calculate price of index from underlyings (weightings included)?

I have a day's worth of LSE data (FTSE100 companies) and I also have their weightings for the FTSE100. Ignoring the net present value of money, how do I calculate the current value of the FTSE? I ...
217 views

### Is the risk-reward ratio considered in Quantitative Finance?

Many discretionary traders swear by risk-reward ratio, as in "The minimum risk-reward ratio for a Forex trade is 1:2." Do quantative traders use risk-to-reward ratio as well? If so, how do you ...
1k views

### compute sharpe ratio for options?

Calculating sharpe ratio for shares is a straight forward task: (average returns - risk free ) / standard deviation. However i remain baffled as to how to tackle the task for options, can someone ...
918 views

### Determine state price vectors?

I have 3 states with two assets, stocks and bonds. The bond has a payoff of 1 in every state of the world. And the stock has a current price of $S_0 = 100$ and ...
488 views

### How to plot custom hourly data into R with quantmod?

I'm trying to get into R because for some personal project, I need R and quantmod to create OHCL charts for me. I'm stuck at the candleChart creation step, and I'm not sure I understand why. Using a '...
124 views

### VIX Calculations/Which product?

If the spot VIX is the implied vol off of the options on the SPX Index. But which tradable product would that be? Can’t you technically only buy ETF’s that track the SPX (SPY) or buy the ES futures. ...
553 views

### backtesting with open, close, high and low

I am quite notice at the business of backtesting for an automated strategy. I was wondering, can I/should I use High and Low for this purpose? On one hand, the algorithm will see these prices, but on ...
213 views

### Asynchronous Data Across Time Zones - RiskMetrics

I'm currently involved with a project to integrate RiskMetrics into our business and one issue we've identified is the treatment of market data timing across time zones. This can have the effect of ...
232 views

### Black model - volatility estimation

In the Black (1976) model: We should use the settlement prices of the underlying futures contract in order to estimate the volatility, right? Or can we also use the spot prices? Because the ...
2k views

I'm dealing with electricity options and I'm considering the possibilty of negative prices. I want two estimate the historic volatility. However, an arithmetic mean doesn't feel appropriate and $\log(\... 1answer 659 views ### Zero Curve Calculation for AUD, CAD (post LIBOR scandal) In the end of May 2013 British Bankers Association (BBA) stopped publishing LIBOR rates for Australian and Canadian dollars in a light of recent scandals. LIBOR rates were essential for creating zero ... 1answer 2k views ### How to adjust local currency returns to US$/EUR return?

Iam doing research on return characteristics. As of today the scope of the research has changed from a local investor point of view to an international investor point of view. This basically means ...
552 views

### Regression with Lagged variables

I am new to regression analysis. Let's say initially I have a linear regression x = alag(x1) + blag(x2) + clag(x3) -- eq 1 I want to predict the price x based on the the price of x from previous ...
235 views

### volatility Table and BS formula

assume I have implied FX volatility Delta-Term table from broker. I have time noticed as 2M, 3M. what do I have to put into BS formula, is it 2/12 or "count the business days"/"daycount basis"? I am ...
669 views

### Selecting timeframe for time series analysis

In technical analysis, we may use confluence of direction for 3 timeframes to roughly gauge bias of market now. Similarly, if we use time series forecasting methods to predict(say daily data-whether S&...
219 views

Is historical information on the counts of trades in single stocks, futures, options etc. available somewhere for download or purchase? If not, which ways can you think of to gather it?
185 views

### FpML class generation gives error

I am creating classes out of 5.1 FPML specification but I get following error. ...
2k views

### Can someone explain what “Exotics Trade Capture” capture means in layman's terms?

I am trying to find out what Exotics Trade Capture entails. I can't find anything on Google that isn't a job posting, which is where I saw this term. Say you did this for a living, how would you ...
51 views

### Can someone check this boundary condition for me?

At the moment I'm comparing plots between the implicit numerical Black-Scholes PDE and the Monte-Carlo Method for the Black-Scholes equation. However, for the particular boundary condition I'm using I'...
18 views

### Rest API to retrieve ISIN

What is best API to lookup ISINs by number or name? In other words, ideally I would like to have an rest-api like this: ...
33 views

### Theoretical price of bond : utility

Why should one calculate the theoretical price of bond if there is already a market quote ?
21 views

### how to convert quarterly data to monthly

Is there any way to convert quarterly data to monthly in excel or preferably in STATA? I Next to that, how can I transform dates in excel so as to be recognized by STATA?
24 views

51 views

### GARCH Model Constant in Regression

When regressing a variable on a constant of 1, the coefficient of this constant is the mean. However, when I specified that the residuals follow a GARCH(1,1) model, the coefficient of the constant ...
34 views

### Calculate historical duration based on current duration & historical prices

Suppose I have today current duration of a bond and it's historical daily prices. How from that I can calculate the historical duration? e.g. the value of duration I would saw if yesterday, week ago, ...
36 views

### What is a definition of “Benchmark”?

The word "benchmark" is often used in Finance, but in a rather fuzzy manner, there for a rough idea of what it is, and how it is 'defined'. Can someone provide a rigorous and precise definition of ...
6 views

### What is the u vector in the expression for the weights of the min variance portfolio

I was working on my finical math homework where I need to find the minimum variance portfolio. I need to use the following matrix expression. Nowhere in the class notes does the instructor say ...
48 views

### Lebesgue-Stieltjes integration and related topics

The theory of stochastic integration relies on the concept of the Lebesgue-Stieltjes integral. However, it is hard to find a textbook that handles this concept in detail. Take, for instance, Chung ...
57 views

### Accurately calculating Greeks for options near expiration

I understand that when a vanilla European option is near expiry, the Theta calculated from BS formula is very inaccurate and almost meaningless for practical use. However, I'm not sure if other ...
39 views

### CAPM - Do I use start or end of period prices?

If I use monthly price data in the standard CAPM, should I take the price at the beginning or the end of the month? What is the convention? Or does it not matter? Is there any literature that deals ...
41 views

### Calculating VaR of an Incomplete Distribution

I am currently completing a multiple choice question that has stumped me. An asset has its price and its corresponding probability described as: 100, 0, -50, -70 and -90 with probabilities 50%, 12%...
111 views

### How Much cost to setup trading platform such as Flextrade, portware, Sungaurd or Bloomberg for hedge fund?

Basically if someone want to setup a hedge fund how much cost to buy trading software such as Flextrade, portware, Sungaurd or Bloomberg for hedge fund?
17 views

### Getting a better return on multiple combined stocks, than individual stocks gains. Kind of like a sports accumulator

Ive identified 4 stocks that i think will gain 10 - 20 % when their next quarterly report is released. If you've only got access to a small amount of capital say USD10,000 the by buying USD2,500 ...