# All Questions

1answer
75 views

### Could someone teach me how to construct the portfolios by compute (like using R, Excel or Eviews)

Recently, I am doing my dissertation that covers asset pricing theory. The empirical test of Fama 3 factors model is an important part of this dissertation. Please let me review the fama model. Fama ...
1answer
842 views

### How to calculate the JdK RS-Ratio

Anyone have a clue how to calculate the JdK RS-Ratio? Let's say I want to compare the Relative strength for these: EWA iShares MSCI Australia Index Fund EWC iShares MSCI Canada Index Fund EWD ...
0answers
30 views

### Which is better for quantitative finance, a computer science PhD or an applied mathematics PhD? [on hold]

In the world of quantitative finance which of the following would be more highly regarded or useful when it comes to applying for jobs: A computer science PhD focused on machine learning used to ...
1answer
101 views

### Monetary Policy and the Yield Curve PART TWO

The Fed has a number of tools/targets with which they manage monetary policy. I'm looking to refine a concise summary of them and looking for guidance/correction/validation. Think I understand these ...
1answer
36 views

### Special term for 'intersection' of option price

Suppose, I have written two ordered lists: $S_{call}= (\textbf{8000, 8050, 8100}, 8150, 8200, 8250)$ and $S_{put} = (7850, 7900, 7950, \textbf{8000, 8050, 8100})$. Entities are correspond to strike ...
0answers
33 views

### Bond Duration with Bond portfolio returns

if I have given CRSP bond portfolio returns with different maturities (1m-12m, etc), how is it possible to compute the Future price and the duration? Beside that I do also have the ...
4answers
144 views

### Merton model riskless self-financing derivation

Suppose $dA_t = A_t[\mu dt+\sigma dW_t]$ (assets' value) under the physical measure, plus the other assumptions of the Merton model. Suppose further that debt and equity are tradeable assets that ...
2answers
16 views

### How can you find change in working capital and capital expenditures without a balance sheet?

I'm working with the following information trying to work through a valuation exercise and I'm absolutely stuck. How can I find ∆WC and CAPX with this information?
1answer
39 views

### Who pays for sovereign ratings?

Does the "issuer-pay" model hold also for sovereign credit ratings? Do States pay for having their bond being rated?
2answers
298 views

### Where can I get equivalent of 3 months libor or swap historical data?

Please note: I have already checked your standard "Historical data sources" link, but it does not have the data I need: I am looking for 5 years of libor/swap data for major currencies. Daily, or ...
1answer
27 views

### Time series of European sovereign credit ratings by the Big Three?

I would need time series, from 2000 to 2015 (if possible) of sovereign credit ratings by Moody's, S&P and Fitch. Could you suggest me a source or provide me such a dataset? Thank you very much!
1answer
7k views

### How to simulate correlated Geometric brownian motion for n assets?

So I'm trying to simulate currency movements for several currencies with a given correlation matrix. I have the initial price, drift and volatility for each of the separate currencies, and I want to ...
2answers
28 views

### How to take care of newly auctioned yield/price in fixed income data

This is a financial data cleaning question. I have raw price and yield data for US cash treasury across the curve. In the time-series there are jumps on the day after the treasury auction results come ...
2answers
53 views

### What is the effect of mean-reversion on an upper barrier knock-out call option?

Consider a mean-reverting normal model for an underlying $dX^{(1)}_t=-\kappa X^{(1)}_tdt+\sigma^{(1)} dW^{(1)}_t$, for fixed time-independent constants, $\kappa$ (mean-reversion) and $\sigma^{(1)}$ ...
2answers
196 views

### Correct Alphabet (Google) market cap calculation?

Given the definition: ...
1answer
50 views

### Preparation for interview: influx of power of the moon

I am preparing myself for an interview for a quantitative analyst position and one of the sample questions asked in previous examinations was: "Suppose the moon were to disintegrate, and fall to ...
1answer
57 views

### Stress Testing for VaR

I am trying to perform stress testing for VaR and have taken into consideration two methods:- 1. Sensitivity analysis 2. Historical scenario analysis. According to the Derivatives Policy group we ...
1answer
169 views

### Do we need Feller condition if volatility process jumps?

It is fairly known that in affine processes, as Heston model \begin{aligned} dS_t &= \mu S_t dt + \sqrt{v_t} S_t dW^{S}_{t} \\ dv_t &= k(\theta - v_t) dt + \xi \sqrt{v_t} ...
1answer
115 views

### What is the heat-map method of calculating VaR?

I'm familiar with the historical full revaluation, VcV, and Delta-gamma methods, but a client keeps talking about a heat-map method and I'm not sure what he's talking about. Any ideas?
2answers
135 views

### Step By Step method to calculating VaR using MonteCarlo Simulations

In trying to find VaR for 5 financial assets with prices over a long period of time(2000 days worth of data) how would I do the following: Carry out monte-carlo simulation in order to find a VaR ...
2answers
68 views

### Is there a way to meaningfully generate daily returns from monthly?

I have a set of 7 investments in a portfolio and I need to optimize the weightings based on some exposures to various markets/styles/economic factors. I was hoping to do some sort of simple exposure ...
1answer
215 views

### Can I use PyAlgoTrade for Forex?

Is it possible to use PyAlgoTrade for Forex related algorithms? If it is, please point me in the right direction on how to get PyAlgoTrade to work on Forex data.
1answer
44 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 ...
1answer
27 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. ...
2answers
57 views

### Conditional probability of geometric brownian motion

I created paths using GBM to implement The stochastic mesh method. But the method requires the conditional distribution, given some S(t) the probability of S(t+1). I've searched and can't find this ...
2answers
36 views

The following is an excerpt from Introduction to the Mathematics of Finance by Roman: As a more concrete example, suppose that IBM is selling for $\$100$per share at this moment. A$3$month ... 0answers 18 views ### Interest rates - Swaptions implied volatility - Volatility anchoring with Black and with normal volatilities In a LMM+ with displacement factor a volatility anchoring technique is used, i.e. a long term volatility assumptions is applied, derived from historic time series. Should I adjust this historic ... 2answers 135 views ### SABR Implied Volatility and Option Prices I am trying to understand the SABR model. Specifically, I am having difficulty to understand how to calibrate the model parameters, that is, initial variance, volatility of variance, exponent for ... 0answers 44 views ### Cointegration for forex using ARMA model to forecast the spread I am working on an automatized quantitative strategy that use cointegration in Forex. I am backtesting this strategy in Python. Please see below the python file: ... 1answer 174 views ### Calibration Merton Jump-Diffusion Consider the following SDE$dV_t = rV_tdt +\sigma V_t dW_t + dJ_t$where$J_t$is a Compound poisson process with log-Normal jump size$Y_i$. How am I supposed to calibrate this model to CDS ... 1answer 72 views ### Is This A Viable Alternative Options Pricing Method? i'm currently a high school student who hasn't gone past Algebra II, and thus I have minimal Calculus knowledge. I know the basics of Integration and Derivation (drop the coefficient, raise to the ... 1answer 141 views ### How to perform risk budgeting for non-linear portfolios? I am using this question to compute optimal weights following a risk budgeting approach. The problem is I am using non-linear portfolios (options,equity,fixed income,fx). What I am looking for is ... 1answer 81 views ### Modeling the Stock Market [on hold] Hi I was wondering what is the model that best describes the price movement of the stock market? A Brownian motion Process with drift? An Ornstein Uhlenbeck_process? (where the long term mean ... 0answers 22 views ### “Risk” Factor vs Double Sorts With regards to a cross-sectional asset pricing (stocks) study, I am testing if one variable can explain another. One common approach to do this, is to use the double-sorting portfolio technique (sort ... 1answer 46 views ### How to build a cross currency swap pricer? We're looking to build a pricer to convert a funding spread in a given currency over a specific funding basis e.g. 20 bps EUR 3m€ and convert it to a funding spread to a different currency with a ... 2answers 180 views ### Free high resolution financial data As thebonnotgang(1) stopped updating their database, I was wondering if there are some other free sources of high-frequency data available. I found a proper tick data api (ca. 25 day history) hosted ... 1answer 630 views ### Open source equity/bond index data I have been using the tseries package of R (get.hist.quote) to get historical quotes for various indices from yahoo finance. I am interested in DAX, VDAX, EB.REXX ... 2answers 100 views ### Does it make sense to calculate Fama-French betas of a single stock? Or should Fama-French only be applied to portfolios? 1answer 42 views ### Non-contractual accounts behavioural study I need to carry a non-contractual accounts behavoiural study for a bank. The objective is to estimate core/non core ratios and then bucket and ftp them. Any recipe where to start? I have 3yrs of ... 0answers 19 views ### How to perform batch-trading using Interactive Broker API? My definition of batch-trading: Given$N$BUY orders,$M$SELL orders and$O$($O < N$) as the max number of open positions to be held. Batch-trading should monitor the orders and when$O$BUY ... 2answers 74 views ### How is the fundamental theorem of asset pricing used? I know that a multi-period market model is complete and arbitrage free if there's a unique equivalent martingale measure. The thing is, I have absolutely no clue how to apply this theorem to a simple ... 3answers 140 views ### GARCH parameters I'm trying to estimate parameters of GARCH(p,q) model. I tried p=1, q=1 with t-distribution errors. Ljung-Box showed no correlation in residuals and squared residual. But the null hypothesis that ... 0answers 26 views ### Is it possible to place hidden order inside spread when trading E-mini S&P 500? My question is not about hidden orders in general. In equity market a trader can post his hidden order inside spread, is it the same way for E-mini S&P 500? 0answers 14 views ### Regression model extension [closed] I've been asked to do out of sample procedure for my simple regression model. my dependent data is belong to 2500 index nad independent one is belong to 2500 stock log returned data. how should i ... 2answers 118 views ### How to automatically get all options data for a particular stock into microsoft excel? I'm looking for a way to get the entire options chain (All options expiries) for a particular stock in excel without manually copy pasting anything. It does not have to be real time and I will only be ... 1answer 233 views ### Up and Down days in GBPUSD and a Filter I want to study if the odds of an up or down day in a forex pairs is 50-50. I just count the total number of up and down days in X years and compare it with the total days. The results are very ... 0answers 35 views ### How to write time-varying functions in R? Applied example Let's say I want to use a Gaussian copula $$C_{R_t}(\eta_1, ..., \eta_n) = N_{R_t}(N^{-1}(\eta_1), ...,N^{-1}(\eta_n))$$ with a time-varying correlation matrix$R_t$. Through DCC we model the ... 1answer 100 views ### VEC GARCH (1,1) for 4 time series I have to estimate a VEC GARCH(1,1) model in R. I already tried rmgarch, fGarch, ccgarch, mgarch, tsDyn. Has somebody estimated a model like that? ... 1answer 30 views ### Python statsmodel ARMA question I am reading through the documentation of statsmodel package in python from the link The (p,q) order of the model for the number of AR parameters, differences, and MA parameters to use. How do I ... 1answer 158 views ### DCC GARCH - Specificating of ARCH and GARCH parameter Matrices STATA The command in STATA to calculate the DCC model of two variables is: mgarch dcc ( x1 x2=, noconstant) , arch(1) garch(1) distribution(t)$\$ \begin{bmatrix} ...

15 30 50 per page