1
vote
2answers
402 views

Brownian motion - first passage time

Can anyone point me to the expression for the first passage time for a geometric Brownian motion process X(t) as a function of the starting point, threshold, drift and diffusion parameters. I am ...
6
votes
0answers
446 views

What are modern algorithms for trade classification?

When dealing with trade data, for example from TAQ, a common problem is that of determining whether a trade was a buy or a sell. The most commonly used classifier is the Lee-Ready algorithm (Inferring ...
3
votes
1answer
172 views

Deutsche Börse sample Level 2 data, how to view in Windows?

DB has some sample Level 2 market data: ...
-2
votes
1answer
228 views

Where can I get real-time equity options quotes for a reasonable price (i am not a company) besides screen scrapping Yahoo! Finance? [duplicate]

Want to have electronic access to equity options quotes in real-time. Is there anyone offering this service to the individual investor for a reasonable price? Again it must be electronic, in other ...
0
votes
0answers
67 views

Rank financial instruments by price movement stability and outliers

I have a lot of financial instruments and I need to rank them based on price movement "stability", i.e. instruments with with big outliers will have lowest ranks and instruments with stable and ...
3
votes
1answer
128 views

How to compute the volume of an index from the volume of its constituents?

I'm trying to understand how to compute the daily volumes of the Dow Jones Industrial Average but I haven't found the proper formula yet. I thought it was the sum of the price*volume of each ...
4
votes
0answers
90 views

How to test that a distribution has infinite mean?

I observe a sample from a distribution that I expect to be the hitting time $$\tau = \inf\{t>0| X(t)>a\}$$ where $X(t)$ is a Lévy process with $X(0)=0$ and $a$ is some constant. $X$ is not a ...
0
votes
1answer
69 views

Increasing Market Depth

Are there any sure-fire ways to increase market-depth that people have experience with? Has much research been done/published on this subject?
1
vote
0answers
135 views

Example code for “Gauge Invariance, Geometry and Arbitrage” paper

This paper describes an algorithm for computing arbitrage opportunites using a gauge connetion. Has anyone written a python program or C++ or C# program that shows how to follow the steps outlines in ...
0
votes
0answers
54 views

Inferring the maximum drawdown depth for a different sample size

Let's say there's a trading system that has a 10 % chance of getting a maximum drawdown >= 50 % over a sample of ...
1
vote
1answer
163 views

reinsurance pricing equivalent to option pricing

Is it true that pricing a reinsurance contact is equivalent to pricing an option. Basically a reinsurance just cuts off the risk exposure of the insured institution to a threshold say $K$. So if we ...
1
vote
1answer
192 views

Has there been success in applying Mandelbrot's ideas to financial markets?

More specifically, I am looking for recent research papers that have harnessed Mandelbrot's ideas too successfully predict asset prices. I have read many papers about wavelets, and I would like to ...
2
votes
0answers
120 views

Portfolio optimization with absolute position constraints

I'm looking to optimize a portfolio maximizing expected return for a particular risk budget, but with absolute constraints on the individual instrument positions. I've been experimenting with QP, ...
5
votes
1answer
212 views

Definition of gearings, spreads and curve in RQuantLib's Floating Rate Bond function

Consider the RQuantLib package function FloatingRateBond(). This takes as inputs gearings ...
2
votes
0answers
185 views

What structural model does Reuters use for default probability?

When using Reuters, for each listed company there is credit tab that shows relevant information in terms of credit default. There is also rating class as well as one year default probability. It is ...
0
votes
1answer
207 views

Japan day count conventions

I am after a good comprehensive resource on Japanese day count conventions. By that I mean, is actual/360 or actual/365 used for pricing various options, forwards, futures, etc.
4
votes
2answers
97 views

Currency forwards implied interest rates

I am calculating implied interest rates using covered interest rate parity theorem. I am looking at the Australian US currency pair. When evaluating day counts, should I be using Actual/365 for ...
0
votes
1answer
71 views

How do I take an unbiased, sector neutral sample from a stock index?

I am looking to take a cross sector subset of a larger stock index universe. What steps to I take to assure that sector representation is as equal as possible to help smooth out my variance(while ...
0
votes
0answers
94 views

Black (1976) model: boundary conditions with non-convergence of spot and forward prices

Let's suppose we have a futures contract F in a market where the relation $$F(t,T)=S(t)e^{r(T−t)}$$ doesn't hold. What are the the boundary conditions for the derivation of the Black (1976) ...
3
votes
1answer
2k views

Seagull option strategy - clear example

It looks like the subject of seagull option strategy is not as clearly explained as for other strategies (butterly, bull,bear spread). Thus, can someone provide a clear example of what you buy and ...
1
vote
1answer
205 views

Bond futures - calendar spread pricing

I am looking on literature and models on pricing a bond futures' calendar spread. assuming the basket of deliverable bonds is the same and the ctd is the same, what are the factores determining the ...
1
vote
1answer
94 views

Trading Elasticity Research

Is there any good research on the price elasticity of trading in financial markets? Things like optimal fee structures and the like?
2
votes
1answer
244 views

What is the difference between the methods (listed in content) in pricing convertible bond?

To price the convertible bond, one of the models is the bond plus equity option method. That is, the value of convertible bonds is evaluated by finding the value of the straight bond and the value of ...
1
vote
1answer
298 views

VaR Calculation - Covariance matrix is not positive semidefinite

This is a basic question. I have three assets, equally weighted, and all the mutual covariances are -1. Then, the covariance matrix looks like - ...
0
votes
1answer
220 views

How to compute a sector's volatility within a portfolio?

Assume I have a large portfolio of equities spread across three sectors. I am attempting to compute the volatility of these sectors within the portfolio considering the cross correlations among the ...
0
votes
0answers
80 views

Penalize outlier values in time-series (Squaring, CoV)

I have set of log-return values. For this set need to calculate Coefficient of Variation with outlier values penalization. I'm just squaring all values to penalize outliers and there are different ...
1
vote
2answers
427 views

Covariance of a GMV portfolio with any asset

Why is that the covariance of a global minimum variance (GMV) portfolio in the efficient frontier with any asset is always the same?
2
votes
1answer
242 views

Black (1976) model: relationship between spot and forward prices

Does the Black (1976) model require the existence of the relation $F(t,T)=S(t)e^{r(T−t)}$? I studied the derivation of the Black-Scholes formula. However, although I know the Black formula, I've ...
0
votes
0answers
83 views

DCF of Arbitrary Dates Cash Flows

I am having a problem understanding discounted cash flows. I appreciate your patience and help. Lets say I have a bond that I want to price. ...
1
vote
2answers
124 views

how to extend lognormal model so that $\sigma$ is correlated to $\mu$?

Consider a log-normal model, $dx / x = \mu dt + \sigma dW$, where $W(t)$ is a Wiener process. Let's say $\mu$ and $\sigma$ change with time, slowly, so we note them by $\mu(t)$ and $\sigma(t)$. ...
3
votes
0answers
377 views

Testing Valuation, Size and Momentum (proprietary factors) from 1988-2013: No evidence of driving cross-sectional returns

I am currently testing whether three proprietary factors - Valuation, Size and Momentum - explain cross-sectional returns. A sample of 3000 securities was tested using Fama-MacBeth two-pass ...
2
votes
2answers
212 views

VSTOXX Implied Volatility Calculation

What is the industry consensus (if it exists) about implied volatility calculation for options on VSTOXX (OVS)? I've experimented with the following approach: Standard Black-Scholes VSTOXX futures ...
3
votes
3answers
2k views

relation between asset's and equity volatilities - merton model

In terms of Merton credit risk model need to find the initial value of counterparty's assets and the volatility of the assets. Both value are not directly observable thus we have to approximate them ...
2
votes
3answers
2k views

What is the difference between the Interactive Brokers demo account and a personal paper trader account?

I'm interested in testing my trading strategy using the Interactive Brokers API for Trader Workstation. A demo account is provided to play with TWS for free, but if I fund a real account I will be ...
2
votes
1answer
97 views

What is the difference between full and only futures?

If you look at instrument name for listed on various futures exchange you often see Gold Only1214 Gold Full1214 What is "Full" and "Only" mean? The price listed is the same and I cannot find a ...
-3
votes
1answer
169 views

Interest only loan formula [closed]

Forgive me I am not good at economics, I have following values. amount I want to lend. the current bank interest rate. the amount of years the loan will be for Please tell me the formula to ...
2
votes
0answers
138 views

Good criteria to sort state-space $\beta_{t}$ according to Kalman filter output

Let the usual state-space linear model (without constant term for the sake of simplicity): $y_{t}=\beta_{t} X_{t}+\epsilon_{t}$ If we use Gaussian Kalman filter to estimate $\beta_{t}$ we get ...
1
vote
0answers
166 views

Constant maturity futures price methodology

What is the correct methodology to compute constant maturity futures price. I've met in some papers that do the following. To create constant maturity synthetic futures prices with maturity $m = 30, ...
0
votes
0answers
179 views

CME historical option data provider

Is there any other historical end-of-day CME option data provider rather then CME DataMine? I've searched all the internet and found only CBOE traded options.
1
vote
2answers
490 views

Partial Least Squares Discriminant Analysis

Could anyone point me to detailed literature about "Partial Least Squares Discriminant Analysis"? Intuition, methodology and examples.. Thanks,
5
votes
2answers
209 views

Is HMM of Volatility any different from a simple filter?

I have constructed a simple HMM (Hidden Markov Model) with 2 states on the Vol (stdev) of a time series of currency returns. The state vector I produce looks reasonable, in the sense that it appears ...
6
votes
2answers
2k views

How to calibrate Hull-White from zero curve?

I am interested in calibrating a Hull-White model to the market. I do not, however, have data on anything except the market zero curves, as all derivatives are being traded OTC. My plan is to ...
1
vote
2answers
210 views

Electricity volatility smile

In the electricity sector, what should be the shape of the volatility smile? a behavior similar to other commodities with a convex curve, decreasing first and then growing to the initial level. or ...
0
votes
3answers
202 views

Black model - volatility estimation

In the Black (1976) model: We should use the settlement prices of the underlying futures contract in order to estimate the volatility, right? Or can we also use the spot prices? Because the ...
1
vote
1answer
183 views

What is meant by a structural short?

What is meant by a structural short in this context: "First lesson: Valuation shorts are pretty difficult. Look for structural shorts instead." Link
4
votes
3answers
479 views

How popular is the IRR as a tool for capital budgeting, nowadays?

This 2004 McKinsey Quarterly article reports that, back in 1999, three-quarters of CFOs always or almost always use[d] IRR when evaluating capital projects. The same article warns against the ...
2
votes
0answers
457 views

FIGARCH estimation in R

I am trying to estimate a FIGARCH(1,1) model in R for Value-at-Risk purposes. As I understand it, the rugarch package does not support FIGARCH or FIEGARCH. To that end, I used the garchOxFit function ...
8
votes
4answers
2k views

R: Fast and efficient way of running a multivariate regression across a (really) large panel (First pass of Fama MacBeth)

I am attempting to run a rolling multivariate regression (14 explanatory variables) across a panel of 5000 stocks: For each of the 5000 stocks, I run 284 regressions (by rolling over my sample ...
2
votes
0answers
129 views

Credit Valuation Adjustment Implementation

I am trying to help a friend with her thesis on Counterparty Credit Risk where she intends to have a somewhat lengthy treatment on Credit Valuation Adjustment (CVA). Specifically I am looking to help ...
-2
votes
2answers
139 views

Where to get access to an inexpensive or free hedge fund/CTA DB?

Basically, the question is in the title. For some similar data: EDHEC provides some data and one can also get the Mutual Funds data from the Yahoo Finance:is there anything else out there? Thanks, ...

15 30 50 per page