# All Questions

184 views

### ASX level 2 data via API

Is anybody aware of Java/C++/Python API's available for ASX stock market depth? I'm currently using IB which is ok but has a number of limitations / issues - the one I care most about is the limit of ...
71 views

### How to calculate beta against a multi-asset benchmark

Lets say that I have a benchmark, $BM$ that consists of 3 assets- 30% asset $A$, 30% asset $B$ and 40% asset $C$. Now, lets further assume I am trying to construct a portfolio that uses $BM$ as its ...
194 views

### Math background required to understand geometric brownian motion

What mathematical concepts are required before I can understand what exactly is a Geometric Brownian motion as applicable to stock prices? I mean which branches of probability, calculus, statistics ...
102 views

### Is Trading in the Underlying Necessary for Replication?

In a simple one-period binomial model we have two possible payoffs: $f(S^u)$ and $f(S^d)$. To replicate this we must trade in two assets, usually the stock $S$ and the money market account (assumed ...
84 views

### Which kind of normalization to prefer before PCA (generic solution for any factor analysis)

I have financial assets with totally different volatilities, thus I must standardize them before PCA, otherwise, assets with high variance may be considered as principle components, which is wrong. ...
16 views

### Leveraged ETFs Holding Period; Compare LETF with DITM

Why the "standard recommendation" is that LETFs are only for short periods (< 1 day) while their performance charts indicate that the leveraging is retained once the period EXCEEDs several days? ...
35 views

### How does a stop loss affect the P/L of a trader

In his book 'Dynamic Hedging', Nassim Taleb writes: Problem: A trader is given a stop loss of 100,000 in any given month (he would have to close his books and go home until the end of the month). ...
213 views

### Pricing Treasury futures

I've recently learned that at the delivery of Treasury futures the short side can decide which of the $n$ Treasury bonds (with relevant maturities) to deliver. If the short side chooses to deliver the ...
187 views

### Speeding up computations: when to use Quasi and standard Monte-Carlo in pricing

I am familiar with the theory of Monte-Carlo techniques in the numerical integration, and recently I have started my experiments with these methods applied to derivatives pricing. I am using ...
75 views

### Questions on the relationship between option price and maturity

From the plot of volatility surface, as maturity goes up, the implied volatility will decrease. Dose it mean that options with the same strike have higher value when maturity is larger. If so why ...
234 views

### Using FX ATM/RR/BF Volatility to Estimate Smile

Suppose $S$ is some FX rate, EUR/USD say, and $\sigma_{S}(K,T)$ is the implied volatility for some option written on $S$, sourced from the surface $\sigma_{S}(\cdot,\cdot)$ (alternatively, consider ...
55 views

### Pie-chart (or alternative) representation with negative values/liabilities

I'd like to represent graphically/visually a fund/portfolio by something that resembles a pie chart. But... the fund/portfolio contains things that have negative value (think of liabilities such as: ...
191 views

### Variance replication using options

I would like to understand the intuition behind the following question: Why a certain weighted sum of prices of put and calls is equivalent to the implied variance of an underlying? A variance swap ...
94 views

### Test .mql4 (meta trader 4 editor) when the fx market offline

I am coding some simple .mql4 program, you know, the fx market is offline on weekend, and the market will be not shown in Meta trader 4 platform. I wanna test my program in meta trader 4 on weekend. ...
186 views

### Bloomberg scripting language (BLAN)

Did anyone work with Bloomberg scripting language (BLAN is the name I guess). If so is it really flexible and is it competitive with other valuation services (say Super Derivatives). Does it enable ...
363 views

### Bloomberg tick data timezone offset

I am using python to access the Bloomberg Desktop API and am running into issues with the timezone conversion for their tick data. The data they deliver is supposed to be UTC but there is something ...
29 views

### johansen cointegration test eviews interpreation

I am not sure whether i am interpreting the cointegration test correct. This is the test result : Because of the probability of the test i understand that my series are cointegrated of order 2. ...
53 views

### How do you calculate the asset drift rate in the Merton model? (used in N(-d2))

Can I replace it with the internal rentability rate? I only have the financial statements and some market data, but I can't find the expected returns anywhere. The goal is to calculate the probability ...
66 views

### FOMC Unscheduled Meetings

If you look at the FOMC announcement schedule here, you will see that since 2011, there have been 4 unscheduled meetings. By any chance, though they are "unscheduled" do market participants know one ...
57 views

### the incremental value of Kelly Criterion under difference circumstances

I know that the Kelly Criterion maximizes bankroll, but i was wondering how much value it contributes to the total return and under what circumstances. I'm trying to understand the difference between ...
197 views

### How to check that an interest rate curve is arbitrage free

I have 2 interest rate curves (LIBOR 3M and OIS). I want to create stress scenarios for those two curves. Is it possible that some scenarios will make my term structure arbitrageable? How can I test ...
137 views

43 views

### Calculating or finding info about the value of a market? for example Cloud Storage [closed]

I am assembling a pitch which will aim towards investors by the end of this year/beginning of next year, and I need to gather information such as how much the Cloud Storage market is worth and how ...
168 views

### Mean reversion time estimation

I am new to mean reversion trading, and I would like to get some good references about how to estimate the time it takes to a mean reverting process to cross its long term mean.
35 views

### Matlab loop statement is driving me mad [closed]

Can someone please help me out with this loop over here? Matlab simple refuses to consider the for o=k:k-20 statement inside the if statement. :pullingmyhair: ...
146 views

### Why Lie groups, differential geometry and string theory relate to MF?

I'm reading Peter Carr's "A Practitioner’s Guide to Mathematical Finance". When talking about the math used in mathematical finance, he mentions Lie groups, differential geometry, string theory. Can ...
75 views

### Black Scholes Model and Dividends

My question can be summarised as such: Consider a portfolio. Say it has a price $\Pi = x$. Portfolio consists of a stock and a sequence of call options underlying on the stock. It has been announced ...
382 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 ...
117 views

### Obtaining intra-day values of the EUR-USD exchange

I need for my project the values of the EUR-USD exchange (both intra-day and ticker). I've been playing around with the Yahoo's YQL API and at this moment I can obtain the current value of the ...
91 views

### pdf of simple equation, compound Poisson noise

I would like to find the probability density function (at stationarity) of the random variable $X_t$, where: \begin{equation*} dX_t = -aX_t dt + d N_t, \end{equation*} $a$ is a constant and $N_t$ is a ...
108 views

### Black Scholes Formula, drift term

In the formula, the stock return is modelled as a brownian motion that is a drift + a stochastic term, ok I get that. But the drift term is then modelled as r - volatility ^ 2 / 2. I am not sure how ...
196 views

### What's the point of discounting in risk-neutral pricing?

Let $\phi$ be a self-financing strategy that replicates a time $T$ option payoff $X$ on stock $S$. By definition of a trading strategy, $\phi$ is previsible. Finally, let $V_t$ be the time $t$ value ...
59 views

### Expected Utility and $\log$

I've just started reading about expected utility and utility functions and have the following question. $\textbf{Question:}$ An investor has an initial wealth of 100 and a utility function of the ...
120 views

### Markowitz portfolio optimization question

I am studying the Markowitz portfolio optimization theory, and I just wanted to ask if I understood this correctly. For a stock portfolio we distinguish two kinds of risks: an unsystematic risk, which ...
110 views

### Need for Binomial Representation Theorem

In some texts (e.g. Baxter & Rennie, Shreve I) the binomial model is first constructed using the usual backward induction argument, and it is concluded that by no-arbitrage the time $t$ value of a ...
59 views

### Portfolio volatility

Problem True or fale? The stock of a firm has an expected return of 10%, and a volatility of 10%. The weight of the stock in a portfolio is 5%, and the correlation of the stock’s return with the ...
96 views

### Option Pricing under Jump Diffusion Models

I was wondering what the overall approach/intuition behind how to price options under Jump Diffusion Models. My understanding is under Diffusion models such as Geometric Brownian Motion (Black ...
59 views

### Is the Binomial Tree Model not self-financing?

Consider a 2-period binomial tree where the derivative price is $f$ and the stock price is $S$. Also, let the bond be deterministic with continuous growth rate $r$ and initial value $B_0$. binomial ...
140 views

### Derivation of HJB equation

I am trying to derive the HJB equation in a stochastic setting. Let me exemplify my problem with the simplest case where there is no control, just one state variable. Assume the payoff is given by  ...
161 views

### How to create a basket of currency pairs with the lowest correlation in R?

My strategy is designed to buy and sell all assets of a universe and rebalance periodically. It goes either long or short. To limit risk exposure to a single currency I would like the assets in the ...
49 views

### Zero coupon bonds [closed]

Assume the zero-coupon bonds from 1 year to 4 years are all available, and the current 1-year, 2-year, 3-year and 4-year spot rates are 4%, 5%, 6% and 7% accordingly. Interest rates are annually ...
260 views

81 views

### A Difference between Local Vol and Stochastic Vol Models

For the purpose of this question a local vol model is a 1d SDE which specifies the price process and we have a contingent claim that depends on those prices (in general, at multiple times). e.g. ...
104 views

### simple, intuitive barrier option derivation

Is there a simple integral that gives barrier option prices without having to deal with messy, hard PDEs and change of variables I understand there is a reflection principle such that the simulation ...
306 views

### Negative high frequency intraday volatility - Zhou estimator

To estimate high frequency tick data stock intraday volatility, I have read Robert Almgren's notes7.pdf http://www.cims.nyu.edu/~almgren/timeseries/notes7.pdf where he talks about the bias free ...

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