1
vote
0answers
36 views

how to find CVaR/AVaR for triangular fuzzy no

While going through different methods of risk measure i came across AVaR/CVaR, while i was calculating AVaR/CVaR in credibilistic environment using VaR, i got stuck in the calculations eg. For ...
4
votes
5answers
943 views

Would this extremely simple strategy make money?

Find a diversified set of financial instruments by whatever method you like. Every day, buy each instrument at the open price. Historically, the open price is almost never the high. Sell immediately ...
4
votes
2answers
60 views

Back-testing Value at Risk with a WML investment strategy

I'm currently taking a course in Financial Econometrics and there is a question in the lecture notes regarding back-testing of VaR which I'm have difficulty with. First of all the procedure for ...
2
votes
1answer
34 views

How to draw a binomial option tree graph?

I am writing a paper and need to create a png or jpeg file for binomial option price tree. In the past I would have used the tikZ package in LaTeX, but that won't work in this case. So I want a ...
0
votes
2answers
55 views

What is the required Risk/ Reward ratio in Forex? [closed]

It is usually taught in forex training courses that the risk:reward ratio should be 1:2. My question is: why is it 1:2 but not other ratio? Also, I am new to forex trading. To what level of technical ...
1
vote
0answers
18 views

Cross-Currency Inflation-Linked Swap

I am trying to find any references to cross-currency inflation-linked swaps. Have anyone encountered them and can describe how they work and how they differ from standard year on year inflation swaps? ...
2
votes
0answers
26 views

How can I break down the change in value for an inflation-linked bond

I am trying to decompose the change in value of an inflation-linked bond into two constituent parts: 1) That due to changing nominal rates on the issuer's non-linked bonds 2) That due to changing ...
3
votes
3answers
121 views

Convergence of GBM mean after simulation?

As a follow up of my previous question, I am now simulating the GBM step by step for $n$ steps. I am using the following implementation for the simulation: $$S_{t+1} = S_t \exp \left[ ...
0
votes
0answers
35 views

Where can I find a guide to implement the FAST protocol from scratch having already a FIX implementation ready?

I need to implement a FAST engine from scratch without using any open source or commercial FAST implementations. The FAST spec does not help much so I am not sure from where to start. Have anyone done ...
3
votes
1answer
101 views

What is wrong in this GBM simulation?

I am trying to generate a few samples of GBM using the following very simple MATLAB code: ...
1
vote
0answers
38 views

Rule of Thumb for minimum length of time series for AR(1) estimation

I have a data set of 350 points, I want to estimate the lag 1 auto correlation for different sub-sets of the data. More precisely I want to take non overlapping windows of length 1,2,3....n and ...
3
votes
1answer
83 views

Literature on Empirical Option Pricing

When I started combing through the literature I was astonished about how little the option pricing models are tested against market data and benchmarks are limited. The main barrier is of course ...
2
votes
0answers
44 views

Pricing Callable Floating Rate Note

I have a question concerning pricing of a callable floating rate note (FRN). I have not found a lot of literature concerning callable FRNs (although a lot for callable bonds). With my understanding, ...
3
votes
1answer
48 views

Copula- AR simulation

I am estimating different copulas for bond factors that i also fit AR(1) models on. Now i would like to test and compare durations and VaRs with my model vs empiric. But how can i simulate AR(1) ...
1
vote
0answers
32 views

Intensity Function of Stochastic Processes

I'm fitting some financial data to a model based on a stochastic process and evaluating the fit of it by looking at the compensator. However, I cannot understand well what does it mean to take the ...
0
votes
0answers
8 views

What happens if someone destroy money? [migrated]

I am sorry if i am posting my question in wrong place but, i just want to know what happens to the economy of a country if someone burns or destroy money? I know it increases every unit price of money ...
1
vote
1answer
39 views

Sovereign Credit Rating

I am working on the determinants of sovereign credit rating. I am looking for the historical rating dataset for eurozone countries. Does anyone know any source?
5
votes
3answers
153 views

Option on a dice game

I am sligtly confused by this problem, although it should not be difficult. Let us roll a sigle dice. If the dice shows $n$, I receive $n$ dollars. I can buy an option to roll the die again. What is ...
1
vote
2answers
93 views

Different interim balances when calculating annual compound interest different ways

Something interesting that doesn't quite make sense to me. When calculating compound interest using P(1+r)^t, I'm calculating in two ways - one using the day 1 principal balance, and the other using ...
2
votes
0answers
36 views

What is the best way of updating data while using Empirical Mode Decomposition to analyze

I have a question about EMD updating new data points. For an entire time series, from beginning to the end, the EMD preforms quite good using the cubic spline function. The problem happens when new ...
4
votes
1answer
178 views

When Fed stops QE, Treasury Futures will go down in price, so… LEAP Puts are a good idea?

I think: when Fed stops QE (Quantitative Easing), Treasury Futures prices will go down. Question 1: Am I right? So... buying LEAP Puts (in Treasury Futures) would be a good idea. Question 2: Am I ...
1
vote
1answer
35 views

Is this a reasonable approach to determine the relative importance of valuation factors?

I am trying to come up with a measure of relative importance of a number of valuation factors. I am wondering whether correlation coefficients can't be used for determining this. More on the issue: ...
0
votes
1answer
61 views

Choosing broker to run with Zipline

Which brokers offer Python integration/API? Which brokers offer R integration? I'm starting on trading, and I want to learn about algorithm trading. So I would like to know what brokers offers these ...
1
vote
2answers
54 views

How to calculate burnrate?

Wikipedia says Burn rate is a synonymous term for negative cash flow but I neither agree nor believe that is formalized. A company could need turnaround from losses ...
2
votes
1answer
47 views

How much correlation between alpha and forward returns can be considered good

There are many way to quantify the quality of an $\alpha$ (prediction of the future return of a security). I heard/do many things, most of them are equivalent to correlation. Typically ...
2
votes
1answer
62 views

Meaning of w in SDE

I'm missing meaning of $w$ in typical SDE like $dX_t(w) = f_t(X_t(w)) + \sigma(X_t(w))dW_t$, in context of $w \in F_{xxx}$. Does it mean that both $w$ is one of events that could happen before ...
1
vote
1answer
41 views

HAR-RV, realized GARCH and HEAVY model for realized volatility

I don't have much experience with volatility modeling using intraday data but I'm in the process of collecting 5mins data. Currently I have ~6 months of data. Is it enough to use these models with ...
0
votes
2answers
70 views

What would be a concise method to learn Monte Carlo methods?

Is there a concise way of learning the core Monte Carlo Methods from resources available online? This leads to my next question which is what are the core ideas to learn in Monte Carlo methods?
0
votes
2answers
82 views

Time series analysis in Java

I'm looking for a library to do some time series analysis in Java but I can't find anything suitable. I've found plenty of libraries such as Math3 of JSAT but there's much I can you for my problem. As ...
2
votes
2answers
102 views

What is the Swap Curve?

What is the so-called Swap Curve, and how does it relate to the Zero Curve (or spot yield curve)? Does it only refer to a curve of swap rates versus maturities found in the market? Or is it a swap ...
1
vote
0answers
30 views

Earnings Quality for a large group of stocks

Does anyone have any recommendations for how to track earnings quality for a large number of stocks (500+) on a quarterly basis? I am familiar with the M-Score for detecting earnings manipulation but ...
1
vote
1answer
59 views

Estimate correlation of time series whose histories differ in length

Very often in quantitative analysis (e.g. calculating portfolio volatility) we have to analyze various time series - mostly returns - whose lenghts differ. Risk systems usually apply a one-factor ...
0
votes
2answers
110 views

Explanatory variables for regression predicting weekly stock returns

In an empirical analysis I'm trying to predict log() weekly stock returns. I'm trying to model stock returns in a panel data model framework. As explanatory variables I have 1) a measure of investor ...
0
votes
1answer
49 views

Ito integrals and copulas

Let $X_{t}$ and $Y_{t}$ be two brownian motions and let their joint distribution be given by $F$. So in regularly correlated BM's where $dX_{t}dY_{t}=\rho dt$, we have a bivariate normal distribution ...
0
votes
1answer
37 views

Where can I find a correlation matrix between the revenues of different industries?

I don't need something super complicated, I would just like a quick and dirty way of estimating the correlation coefficients between the revenues of different companies. Information on companies in ...
0
votes
1answer
35 views

Conversion factor for bonds

Hull defines the conversion factor for a bond as the "quoted price the bond would have per dollar of principal on the first day of the delivery month on the assumption that the interest rate for all ...
0
votes
2answers
70 views

Calculation of price momentum using weekly price observations

In an empirical analysis I'm trying to predict stock returns using different firm characteristics. I would like to use price momentum as an explanatory variable, but I'm not quite sure how to ...
0
votes
0answers
22 views

Define some finance terminology for me, please. Live options vs. crossed options

What is a "live" option vs. a "crossed" option? Does a cross option just mean that it is hedged? If someone is buying an option and says "I want to buy a November 5.00 (strike price) put cross at ...
0
votes
2answers
56 views

What makes investors risk averse?

There are some regularly-occuring events that coincide with a rise in the implied volatility of an asset. For example, in advance of an firm's annual earnings report, it is typically expensive to buy ...
2
votes
0answers
58 views

Practitioner's criterion for MC pricing convergence

Let's say I have some Interest Rates (IR) pricing model which relies on Monte Carlo pricing and I'd like to benchmark its quality and find out optimal settings (time steps & iterations) per asset ...
4
votes
4answers
212 views

What kind of front end/ gui is used with trading applications?

I was wondering what kind of front end is used for trading applications. Coming from a quant background, I was always only concerned with research and back end of the application but am at a total ...
4
votes
1answer
50 views

Intuition behind American Option pricing

The price of an American option is given by $$V_n = \max\left(G_n,\frac{1}{1 + r}(pV_{n +1}H^d + qV_{n + 1}H^u\right)$$ where p, q are the risk neutral probabilities. I have two questions: How ...
1
vote
1answer
52 views

What do “Exposure Bounds” mean in Portfolio Optimization?

I've just started reading up on Portfolio Optimization models and have come across the use of exposure bounds to mitigate the sensitivity of the optimized model solution, owing to parameter estimation ...
0
votes
1answer
48 views

Constructing Volatility Smile from Implied Volatility & Delta

I have implied volatility data for call and put options (expiring in 1 month from any given date) for a particular stock. In addition, I have the delta for the options. However, I have no information ...
-3
votes
2answers
72 views

What software should I use for forex arbitrage?

These are my requirements: Speed of lookup & update Speed of crunching large numbers and combinations The exchanges I want to connect to will mostly provide json feeds to their orderbooks & ...
0
votes
1answer
29 views

Yahoo OHLC data reflects nonexistant stock split

Can anyone explain why the OHLC data I'm getting from yahoo appears to reflect stock splits during times when no significant corporate actions have occurred? For example, I'm looking at ABT and yahoo ...
0
votes
0answers
34 views

Fixed volatility portfolio with max returns creates skewed results

I am trying to create a portfolio of only four components using the mean-variance optimization (MVO). I am setting up my problem such that I want to maximize the expected returns with a fixed vol ...
2
votes
0answers
70 views

State Space models with Short Time Series

My problem is that I have a state space model that I estimate using the Berndt–Hall–Hall–Hausman (BHHH) algorithm. The state space model is relatively simple in that the hidden part follows a pure ...
4
votes
3answers
192 views

Algorithm to detect the aggressor side of a trade

Most of the exchanges provide aggressor side property of trades (e.g. Tag=5797 AggressorSide on CME) in their raw data. But many data providers do not provide this information via their datafeed ...
4
votes
1answer
92 views

Explicit solution SDE

I have the following SDE: $$dY_{t}=A\left(\frac{W_{t}^{1}}{\sqrt{t}},\frac{Y_{t}}{\sqrt{t}}\right)dW_{t}^{1}+B\left(\frac{W_{t}^{1}}{\sqrt{t}},\frac{Y_{t}}{\sqrt{t}}\right)dW_{t}^{2}$$ where ...

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