# All Questions

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### 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. :)
51 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 ...
82 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: ...
95 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 ...
205 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 ...
231 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 ...
160 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 ...
39 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 ...
55 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 ...
83 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 ...
29 views

### Is Bitcoin a trending or a ranging market at the moment? [migrated]

Is the Bitcoin market trending or ranging market at the moment? If so how can i determine whether a market is a trending or a ranging market. Thanks. :)
46 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 ...
126 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: ...
75 views

### question about Mean Variance optimization in C# [closed]

I just found (probably) mean variance optimizator on MSDN site with Microsoft Solver 3.0 (see, this link). Is this valid code/approach to calculate weights of each position in sound of mean variance ...
59 views

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

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

### Arbitrage: Difference Between Liquidity Taking and Liquidity Making [closed]

Liquidity Taking If X is trading for 22 USD at Exchange-A and 20 USD at Exchange-B, someone can sell their X at ExchangeA and buy back X at Exchange-B for a 2 USD profit. Liquidity Making If ...
119 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 ...
436 views

### Call vs. Put Option

I have two interrelated questions that have been bothering me for some time. I have read all the stuff online and it still doesn't make sense to me: Let us assume: 0% interest rate (both hedge ...
104 views

### How to calculate unlevered beta

I have derived a firm's cost of equity using the WACC formula (see here), which means that the cost of equity has factored in the firms' debt (i.e. levered beta) and now I need to calculate the firm's ...
74 views

### How to Calculate Cost of Equity using WACC [closed]

How can I calculate the Cost of Equity for a company when I am not given the beta (or enough information to calculate beta) for the company, but I am given the WACC. Question Facts The usual ...
45 views

### Wich online Forex Brokers accept connections with black box solutions developed in visual basic? [closed]

Iam about to develop something at visual basic , but i only know that interactive brokers accepts black box solutions. The problem is that to trade forex in a leveraged account they ask a minimum of ...
249 views

### How to use PCA for trading

Can anyone give me a few pointers of how to approach using PCA for trading? In particular, it seems to me, PCA is useful for selecting a subset of a portfolio of stocks(or other) rather than trading ...
106 views

### Black Scholes Formula for Collar Option

I am wondering if there exists a Black Scholes pricing formula for a collar option?
100 views

### Philips-Ouliaris test for cointegration

I'm trying to implement cointegration tests using the R urca package. I've figured out the Johansen test (ca.jo), but I'm having trouble with the Philips-Ouliaris test (ca.po). I have two questions: ...
62 views

### Good source for S&P multiplier [closed]

Where can I find a good source for current and historical S&P multiplier. Is there a good source to view the aggregated company's profit as a percentage of the GDP?
78 views

### analyze strategy performance with given matrix of weights/time and weekly returns in R

I have a matrix of 259 weekly returns, 50 assets and a portfolio composition for each of the 259 weeks. I would like to test the performance of the portfolio during 52 weeks, rebalancing every 12 ...
59 views

### How could covariance help with pattern prediction? [closed]

Could someone give me a "high-level" explanation how I could use the technique of covariance to implement a pattern recognition technique? I have used autocorrelation in the past for detecting ...
65 views

### Volatility of a rolling window strategy

What methods can be applied to determine the volatility of strategy using a rolling window? Using normal standard deviation would bias the results as the returns will be highly correlated. Although, ...
63 views

### Calculating Earnings Per Stock from Financial Statements [closed]

Given the Earnings Per Share formula: EPS = Profit – preference share dividends / weighted average of ordinary stocks outstanding How does one calculate the ...
59 views

### How to measure if variance is greater at a certain time of day?

I'm not very fluent in the quant vernacular, so perhaps the nature of my question will be better illustrated as a hypothesis. One market has closed and another market elsewhere on Spaceship Earth is ...
118 views

### How to measure contango?

Is there any unit of measure for the magnitude of the contango (or backwardation) for futures, so you can compare the contango of many symbols.
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 ...
140 views

### Time Varying Volatility

If stock returns ($r_t$) are not auto correlated why is that the squared term of the returns (volatility) exhibit serial correlation? Does heteroskedacity, by its nature, imply that time varying ...
69 views

### How does one use the Johansen cointegration test in a linear time series model?

How does one use the Johansen cointegration test in a linear time series model? Should I only use normalized coeffients for interpretation? Or, once I know that the variables are cointegrated, do I ...
50 views

### Is there an appropriate sequence to tests during model diagnosis?

How should one order (sequence) the following tests? Stationarity test Johansen cointegration test Normality/Histogram test Autocorrelation test Heteroskedasticity test Multicollinearity test ...
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### Literature in Quantitative Finance [duplicate]

I'm now reading a book by B. Mandelbrot about fractals and finance. It's very interesting to see a different approach from BS—the different step made by the author and how he dealt with usual ...
81 views

### What is the difference between convertible bond and bond with warrant?

One site suggested the difference is that the warrant in the bond with warrant is a fixed price on company stock. E.g. for a \$1000 bond, you can buy 500 shares at \$2 each. And that convertible bonds ...
178 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 ...
Consider some negative skew and high kurtosis return time-series $X_t$. I do not know the functional form of the pdf of $X_t$ and have about 150,000 data points. Suppose that I was to create an ...