# All Questions

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### Convex risk measure and a coherent risk measure?

A coherent risk measure is: $\rho(\lambda X_1+(1-\lambda X_2))$ How can it be shown that everey convex risk measure is indeed a coherent risk measure? I assume that it is enough to show that a ...
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### Augmented Dickey-Fuller Test/ Unit Root test on multiple time series dataframe in R

I have a dataset/dataframe in which I have calculated the daily log returns of five thousand companies and these companies are as column as well. I want carry out ADF test on this dataframe. I have ...
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### In what situations would cross validations scores be inaccurate?

I'm trying to fit a SVM model on times series stock return data, predicting a buy, hold, or sell signal of the stock. I'm using 10-fold cross validation (using the R package ...
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### Value-at-Risk “hiding risk in the tail” and diversification?

I have a question regarding Value-at-Risk and diversification? When one says that VaR "hides the risk in the tail", does one mean that if we for instance look at VaR at level p=0.05 say, we might get ...
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### Why don't real-world probabilities affect the price of a call in a 1-step binomial model?

I was a bit hesitant to post this question because it seems so basic...but I wasn't able to figure it out on my own. Say we setup a one-step binomial tree with $S_0=100$, $S_u=110$ and $S_d=90$, ...
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### Log daily returns of multiple securities for multiple time period in R

I have dataset containing daily closing prices of 5413 companies from 2000 to 2014. I want to calculate daily log returns for the stocks as according to dates as log(Price today/Price yesterday). I ...
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### Nasdaq trading under the scenes: market makers, ECNs, brokers. Who buys from and sells to whom?

U. S. Securities and Exchange Commission (SEC) defines market maker as: "A market maker is a firm that stands ready to buy and sell a particular stock on a regular and continuous basis at a publicly ...
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### Daily Hurst Exponent

I am trying to estimate daily Hurst exponent values of a stock returns (e.g. for each day to have also Hurst exponent - something like that: ...
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### Reverse Repos as a means to adjust interest rates

How does the NY Fed's trading desk use this process as a tool to adjust bond prices?
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### GJR-GARCH with $\alpha = 0$ as parameter estimate

I am estimating a GJR-GARCH(1,1) model with variance targeting in R. As data I am using returns on some stock indices. While calculating the GARCH models I obtain $\alpha=0$ for some indices. From ...
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### One-step ahead forecast of a AR(1) process (GARCH context)

I am using a Matlab toolbox for obtaining one-step ahead forecasts of the conditional mean from the ARMA(1,0)-GARCH(1,1) process and I have encountered a piece of code that contains, in my opinion, a ...
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### Problem with obtaining densities

For my research I need to obtain a series of densities, however, I am encountering some problems. The first problem is perhaps very simple, but the answer eludes me. Let's say I have an observation ...
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### Is there a website that lists replication code of financial papers?

There are lot of questions on this website related to the replication of the empirical part of financial papers. I noticed that some (honest) authors provide on their personal website some ...
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### Skewed Generalized Error Distribution's (SGED) pdf

I want to use the SGED distribution of Theodossiou for GARCH estimation, however, I am struggling to understand which is the correct pdf function of the distribution. Let me just say that the ...
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### Expectation over Markov Process and discrete Ito integral (discrete stochastic calculus)

I am doing a research on communication protocol design. A file of $n$ blocks is transferred in several rounds and $R_i$ denotes the number of blocks received in the $i$-th round. The sender sends ...
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### SAS code for Brownian Motion

I want to simulate call options using monte carlo algorithm. I am a noob SAS user but i know that i need to: -simulate random stock prices with no dividend in respect to different ...
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### Sharpe ratio with leveraged ETFs

There has been a discussion about how leverage affects Sharpe Ratios, but not in the context of leveraged ETFs (such as 2x or 3x). I'm just wondering how leveraged ETFs, if at all, change the ...