# All Questions

13 views

### Magnitude of Predictors on Logistic Regression

We are using logistic regression for calculating delinquency. We know what the major predictors are, but we don't know how to quantify the impact of each of the major predictors. We know how to rank ...
28 views

### Inverse Laplace transform

I'm trying to compute the inverse Laplace transform of the function gam below ...
35 views

### Solving inequality constraint

I am trying to solve the following inequality constraint: Given time-series data for N stocks, I am trying to construct a portfolio weight vector to minimize the variance of the returns. the ...
46 views

### Probability of reversion for cointegrated variables

I ran a Johansen test to figure out the cointegrating relationship between two variables $x$ and $y$, forming the equation $z=ax+by$ using the eigenvectors. The values are computed using from time ...
19 views

### How Current are Google Finance & YQL Sock Information

When viewing a specific stocks information on Google Finance and Yahoo Finance- how old/current is the stock information (Price, offer, bid, etc)? I've heard some providers offer information that is ...
18 views

### Question in the proof of “Optimization of conditional value-at-risk”

I'm reading the paper "Optimization of conditional value-at-risk" by Rockafellar and Uryasev. The state two theorems within the paper which are proven in the appendix. Let me introduce some notation ...
21 views

### Effect on variance of change of measure

My current understanding: (a) changing the probability measure of a diffusion process does not change the variance. (b) for a general stochastic process the variance may change. Please confirm whether ...
34 views

### BLS v2 API took 20+ minutes to publish data where is immediate data available?

First, I should state that I built a Java program that uses HTTP Components to keep in sync with server time for my broker. Once 7:29:59 comes around the program ...
26 views

### Measuring strength of correlation for bivariate time series

In case of a bi-variate time series with both I(0) how do I measure the strength of co-relation. I am looking for measure similar to R-squared but ideal measure may not be one of the variants of ...
48 views

### How to use genetic algorithms to optimize moving averages

I'm working on a school project that attempts to optimize moving averages using genetic algorithms. From what I understand about moving averages, it is an average over a certain length of time. To ...
26 views

### commodities index volatility

Suppose that the average one year implied at-the-money volatility of the sub sector indices making up the BCOM is at 20% and that the sub sectors are uncorrelated. Bearing in mind the effect of ...
33 views

### What is the standard length for rolling correlation in financial time series?

I know this is highly subjective, but is there any theory behind choosing a window period for rolling correlations? If I do 1-day or 2-day rolling correlations between highly correlated positions, ...
24 views

### Why is preferred stock not always preferred

I was wondering why is it not the case that preferred stocks are not preferred to common stock? The reasoning is as follows: it seems that the disadvantage of holding preferred stocks is that one ...
59 views

### BDT model calibration using swaptions

I am using the Black-Derman-Toy model in a binomial tree that lasts 5 years with time increments of 1/12 . I have to calibrate my model using swaptions but I don't know which maturity I should use. I ...
19 views

### Fixed Income Sec: development of UK bond markets relative to the stock market

I am asked to describe (school project in the course Fixed Income Securities) the development of the UK bond markets relative the UK stock market and I am not sure how to tackle it. I want to compare ...
17 views

### Guranteed Investments Funds

Let's say a GIF's maturity is 10 years and an investor gets a 10% coupon each year if Eonia is higher than the original date (Day 0). When they say 10% coupon, is is it 0.1*"What I invested in Day 0" ...
29 views

### hedging of a spread option with call

We have 2 underlying $S^{1}$ and $S^{2}$ with BS dynamic under the risk-neutral measure (r constant...) I found the (big) PDE satisfied by the price function $u(t,x,y)$ of a call spread whose payoff ...
38 views

### Impulse response function interpretation

I would need a quick help with Impulse response function interpretation which I have done after Vector autoregression model in stata. I need to understand how to interpret IRF graph or table values ...
62 views

### pricing with implied volatility surface

I am a newbee in Quantive finance. supposing I calibrate a smoothing implied volatility surface with cubic spline now. A minute later I want to price K=100,t=1 option, can I just find the point on ...
73 views

### Where can I find the best and worst performing US stocks on a given date? [duplicate]

I'm interested in researching the effects of a stock ranking at extremes on a certain date, and was wondering if anyone can help me find a tool/site which allows to easily retrieve the best/worst ...
21 views

Suppose I have a bond with unknown bid-ask spread, and a portfolio, containing it and also other bonds, all with known bid-ask spreads. How can the unknown spread be inferred? I assume there should ...
140 views

### Pairs Trading Signals and Positioning

I am currently working on a research project for a pairs trading strategy and would like to know the correct positions to take when a signal has been triggered. Say we are using this equation to ...
10 views

### CDS Premium table Interploation for the Arrear case

If CDS spreads are given for say year end 1,2,3,4,5 .That means these premium payments are made in arrears. In that case we need to apply interpolation tools. But for which particular points do we ...
29 views

### Constructing Dedicated Risk Premia Strategies

I am trying to figure out the "best" way to construct investment strategies which are focused on capturing specific risk premia individually. From my understanding the traditional approach to capture ...
22 views

### Price of call (calibration)

I need to understand how we got this : $\forall i \in I$ $C^{*}_{0}(T_i,K_i)=e^{-rT_i}E[(S_{T_{i}}-K_i)^+|S_0]=e^{-rT_i+X_{T_{i}}}E[(S_{T_{i}}-K_i)^+]$ at How we pass from conditional expecation to ...
25 views

### Error using ghyp-distribution function

I want to fit multivariate GH distribution on my data, and then generate simulations for that distribution. Using the instructions given in ghyp package, I wrote following lines of code in R. ...
50 views

### CCC-Garch predict

So I'm trying to measure the VaR of 2 stock with a multivariate GARCH model, so im using the CCC model. I need to predict the standard-diviation and the mean but the ...
26 views

### nloptr and portfolio replication using Kalman Filter

Let me first say that I am relatively new to R. For a school project I am trying to create a replicating portfolio using a constrained Kalman Filter. I have tried using nloptr without success - I am ...
12 views

### Option style with grant date

The following option exercise style is somewhere between American and European: There is a fixed grant date $N_1$ at which you determine at which date $N_2>N_1$ the option will be exercised. So ...
68 views

### Clayton-Gumbel (BB1) and Joe-Clayton (BB7) time-varying copulas

I'm trying to estimate parameters for Mixed Dynamic Copulas (Clayton-Gumbel and Joe-Clayton) Is there any code in MATLAB? Thanks for any help.
37 views

### Deduce expected exposure profile from option/structure delta?

I am thinking about whether there exists a relationship between the delta of an option (or any structured derivative) and it's expected positive/negative exposure? An intuitive question would be ...
59 views

### Real Time/Historical weather data

I am looking to incorporate weather data into my algorithmic models. What is a good source to find historical + real time weather data by zipcode or region? Any help will be appreciated! Preferably an ...
23 views

### Find all possible permutations of asset weights in a given portfolio?

I need to find all possible asset weight combinations for an 8 asset portfolio. Each weight is a multiple of 10 (0, 0.1, 0.2, 0.3, 0.4, 0.5, 0.6, 0.7, 0.8, 0.9, 1) Some assets can be weighted with ...
57 views

### Mean variance efficient portfolios and target returns

If I use mean variance optimisation to create an efficient portfolio with a target expected return of 20% in a year's time and find that the actual return at the end of the year was 24%, what explains ...
28 views

### Solving Black Scholes PDE using Laplace transform with barrier up and in, up and out call option

I tried to finish the option pricing in european barrier up and in, up and out call option using Laplace transform. The barrier option there is a boundary condition. Can you explain step by step ...
44 views

### Seasonality of Securities & Dummy Variable Regression Analysis

I have some pricing data for some securities that I am looking at for seasonality. 1 My Data is organized as: Date Ret DVar1 DVar2 ...... date % 1 0 date % 0 1 ...
77 views

### Calculating the volatility for Black Scholes

The following problem is from the book by Hull. I did it but I am not sure it is right. I am hoping that somebody here can tell me if I did it right and if not where I went wrong. Thanks Bob ...
26 views

### Credit risk terms differences:

What are the differences between these terms: Contingent Credit Exposure Exposure profiles, Settlement Exposure, Negotiable Paper Exposure. Many thanks!
15 views

### Comparability of random and fixed effects results

I have data of 15 pension funds over 10 years. I want to analyze the relationship between the funding ratio of a pension fund and the asset allocation. First, I do the analysis with the proportion of ...
45 views

### Foresight bias in least square monte carlo

Foresight bias means we tend to over estimate the American option value. This we observe in other areas of statistics - e.g. in sample test almost always gives better prediction than out of sample ...
25 views

### Constrained portfolio optimization - orthogonalize factor exposure

I am optimizing a stock portfolio with a few factors. If I constraint exposure to one of the factors to be a constant and set the exposure to other factors as zero. It is ok to use a diagonal factor ...
14 views

### Min-VAR portfolio construction in a universe of dividend stocks - choosing the observation period

The portfolio construction method of min-variance and similar concepts were discussed quite heavily in the recent past (see for example Thierry Roncalli's page). Over long horzon's we see ...
32 views

### Could you please suggest me the books for Trading System Validation?

I'm newbie for quantitative & systematic trading, and I've read only the books of Howard Bandy & Robert Prado that suggest to do validation by Walk-forward, Monte Carlo and CDF. As my topic, ...
35 views

### Efficient construction of binomial tree

The goal is to build a $n$ step binomial tree knowing the end nodal probabibilities $p_1, \dots, p_m$, which correspond to the time $T$ states $S_1, \dots, S_m$. We assume that all paths ending in the ...
11 views

### where can I find OPRA data? [duplicate]

Where can I find OPRA data. Here are a few criteria 1. Preferably free or for a small price 2. Supports quant api on cloud (so I dont number crunch on my computer) 3. Good reputation company
24 views

### Is there any research for CoCo-Bond in a two factor model?

Basically I am trying to price CoCo-Bond with the AT1P from Brigo. But in the end this isn´t a two factor model. Is there any concret research about this topic? Kind regards, WLS
19 views

### Flat - time dependant volatility

I've come across this short rate model (I don't know its name, the text simply calls it model 3) which has volatility decaying exponentially over time. \$\Delta r= \lambda_t dt + \sigma e^{- ...
20 views

### Portfolio construction for signals of varying time scales?

Wondering if anyone is aware of any research on combining/portfolio construction of signals on different time scales. For example, if I have a trading signal (alpha) that generates trades every hour ...