5
votes
1answer
188 views
Profiting from price discrepancies between stock exchanges
Here is an interesting video by Nanex: http://www.youtube.com/watch?&v=rB5jJuMP84E
Perhaps some of you have already seen something similar. It is an animation of the order routing. It shows 1/2 ...
-5
votes
0answers
95 views
Basic Trading Strategies based on mean-reversion / momentum [closed]
Can anyone give me some basic trading strategies which based on the theory of mean-reversion (like the bollinger band strategy)? Also, is there any basic trading strategy based on momentum trading? ...
4
votes
1answer
78 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 ...
0
votes
1answer
105 views
Grokking Stochastic Oscillator for Stocks
In software, I'm trying to implement the Stochastic Oscillator (see here), and I'd like to figure out a few things.
Let's say I use standard inputs 14, 3 and 3. If my 14 is for intraday ticks, what ...
2
votes
2answers
118 views
Quadratic variation quesiton
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 ...
11
votes
5answers
682 views
What are the best Journals & Conferences in Quantitative Finance?
What are some of the most prominent journals, conferences and publishing venues in Quantitative Finance research? Where can I find information more information about them? (e.g. impact factor and ...
2
votes
0answers
57 views
How to simulate a Geometric Binomial Process with state/tie dependent increments?
I want to simulate a geometric binomial process with state/time dependent increments.
So the model is given by
\begin{align}R_t=\frac{X_t}{X_{t-1}}\end{align}
\begin{align}P(R_t=u)=p(X_{t-1},t) ...
8
votes
0answers
87 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:
...
1
vote
0answers
31 views
Is there any reasonable way to short-sell Bitcoin [migrated]
It is not an official currency (yet?) but definitely has a market, and as such, I might be intrested in short-selling some. Are there any reliable, way to bet against it?
1
vote
2answers
320 views
Position management and market-making techniques
Suppose, there is a HF strategy (agent) that is based on order book microstructure, and it is able to make good executions locally. More formally, in average its execution price is better than asset ...
1
vote
0answers
85 views
Error term/Innovation process in ARCH/GARCH processes?
I am wondering about the distribution of the error term/innovation process in a ARCH/GARCH process and its implementation, I am not sure about some points. The basic assumption is
...
6
votes
1answer
206 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
...
4
votes
0answers
118 views
Distribution of profit/loss for retail traders in FX
I've heard that 90% of retail investors in FX lose money. I want to analyze this in more detail.
Question: Is there some literature that describes the statistics of profit/loss for retail traders in ...
1
vote
1answer
132 views
Yield on Fixed income futures
I am trying to get a simplified model of the DV01 for the US 10YR Note futures but I cant figure out what the current yield is. When I back out the implied interest rate on the current TYM3 futures ...
1
vote
0answers
47 views
mean variance minimizer
I need to use the lagragian multiplier to find the minimal martingale measure from the set of equivalent martingale measures. i formed the lagragian as L = $L(u(t,S(t)),\lambda) = ...
3
votes
2answers
766 views
Pair Trading Index Options
Suppose the trade is between Index Options of two Indices X and Y which are quite similar (but not exactly).
So for the equivalent strikes, one can quote option on Index X and cover in Index Y.
But ...
2
votes
2answers
332 views
How to compute interest rate futures spread ratio?
I am confused on how to compute the spread ratio.
For example, this is example I came across with my broker -
Consider 2 contracts Bobl and Euribor.
The DV01 of Bobl i 44.8 and Euribor is 25. To ...
4
votes
4answers
240 views
how to derive yield curve from interest rate swap?
According to some textbooks, to derive the yield curve, quote
overnight to 1 week: rates from interbank money market deposit,
1 month to 1 year: LIBOR;
1 year to 7 years: Interest Rate Swap;
7 ...
5
votes
2answers
353 views
What is the average stock price under the Bachelier model?
Let's say stock price follows following process:
$$dS(t) = \sigma dW(t)$$
where $W(t)$ is Standard Brownian motion. The initial level for the stock is $S(0)$. Define the average of stock price ...
2
votes
2answers
100 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 ...
4
votes
2answers
3k views
Are public historical time series available for ratings of sovereign debt?
The nice list of free online data sources Data sources online does not mention any data from ratings agencies.
Are historical time series available for sovereign credit ratings (other than as ...
1
vote
2answers
216 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 ...
-4
votes
0answers
39 views
Comparing Investments: Selling land vs. starting a business [closed]
I have a situation where I need to compare some investing alternatives.
We and my partners own a piece of land with high commercial value, that was bought 7 years ago. Now the real estate market ...
3
votes
1answer
82 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 ...
13
votes
4answers
2k views
What C++ math libraries are typically used by quants?
Before you mark question as off-topic, please read it - it is, actually, quant-related.
Basically, I'm working on an app that spits out a lot of C++ math. When it comes to simple things like ...
8
votes
2answers
595 views
How does volatility affect the price of binary options?
In theory, how should volatility affect the price of a binary option? A typical out the money option has more extrinsic value and therefore volatility plays a much more noticeable factor. Now let's ...
2
votes
1answer
95 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 ...
1
vote
1answer
54 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 ...
1
vote
1answer
67 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 ...
6
votes
4answers
387 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.). ...
4
votes
1answer
144 views
Non-arbitrage theory and existence of a risk premium
Consider a probability filtred space $(\Omega, \mathcal F, \mathbb F, \mathbb P)$, where $\mathbb F = (\mathcal F_t)_{0\leq t\leq T}$ satisfing the habitual conditions and isgenerated by $1 d $- ...
13
votes
4answers
4k views
Usage of NoSQL storage in Finance
I am wondering if anyone has used NoSQL (mongodb, cassandra, etc.) to store and analyze data.
I tried searching the web but was not able to see if the financial firms had gotten in to using nosql ...
2
votes
2answers
115 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 ...
3
votes
1answer
74 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 ...
2
votes
3answers
261 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
...
1
vote
2answers
91 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?
...
2
votes
2answers
234 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 ...
4
votes
0answers
140 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" ...
1
vote
0answers
128 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 ...
3
votes
2answers
177 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 ...
0
votes
2answers
245 views
Pairs trading: Question on non-negative profits, size of the positions and trading signals
I'm trying to backtest Pairs Trading but have become a bit confused on the different methods of selecting pairs, how to look for trading signals and what size of the positions to take in the assets.
...
6
votes
2answers
339 views
How to create charts in WPF finance applications?
How to create charts for market data in WPF?
Are there any charting controls provided by microsoft or you need to use only third party controls?
Which are the popular third party charting controls ...
-2
votes
1answer
126 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. :)
3
votes
0answers
97 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 ...
2
votes
0answers
53 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 ...
7
votes
3answers
333 views
Multi Factor Credit Risk Models
I am working in the area of building credit risk models. Upto this point, the model I have been focused on using the Asymptotic Single Factor Model, more popularly known as Vasicek Single Factor ...
1
vote
0answers
87 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 ...
2
votes
1answer
230 views
Does DOM trading using broker data make any sense?
Can I use DOM information from Interactive Brokers? Does it make sense?
I assume that it makes sense to apply some volume based algorithms only then when you know this order book, that you can get ...
2
votes
0answers
40 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 ...
4
votes
1answer
158 views
Obtaining a consistent covariance matrix for stochastic volatility processes
What is the condition for underlying stochastic volatility processes to give a consistent covariance matrix?
I read in Hull that in order to have a consistent covariance matrix, volatility parameters ...
