0
votes
1answer
92 views

decoding this formula about nominal and real return [closed]

I am sorry if the following question is not quantitative finance. I am reading this thing badly written lecture notes, which says $W^r_1 \equiv W_1/P_1^g = (W_0^rP_0^g)(1+R)=/P_1^g$ $(1+R^r)\equiv ...
0
votes
0answers
44 views

Java limitbook implementation? [duplicate]

I am looking to create my own front-end. What is the best data structure/java swing object to represent a limit order book? currently I am using two JTables and loading best bid and qty data from a ...
0
votes
1answer
111 views

Choosing a weak learner

I want to compare different error rates of different classifiers with the error rate from a weak learner (better than random guessing). So, my question is, what are a few choices for a simple, easy to ...
2
votes
1answer
150 views

Single Most Important Fact about a Fund - Interview Question [closed]

I recently attended an interview to work as a software developer in an Asset Management company. I was asked by the interviewer: What is the most important piece of information that should be ...
6
votes
1answer
149 views

When did volatilities start to smile in capital markets?

Glimpsing through literature, I read that volatilities in the equity market started to display a smile after the crash in 1987. But when did volatilities start to smile in capital markets?
1
vote
1answer
143 views

Securitization of a loan portfolio

I am interested in the securitazion process and am looking for useful examples to help me understand how it can be applied in practice. Assuming I have a loan portfolio consisting of secured* and ...
1
vote
0answers
263 views

Solvency II Assets-D1 - aggregation of line items by CIC code

The revised version of Assets D1 (now S.06.02 – List of assets under CP13) requires the following aggregations (page 24): CIC 71 (Cash), only one line per currency is to be reported; CIC 72 ...
6
votes
4answers
325 views

Large (5K-10K) non positive definite (particularly near singular) covariance matrices and treatments for Cholesky decomposition

I have a very large covariance matrix (around 10000x10000) of returns, which is constructed using a sample size of 1000 for 10000 variables. My goal is to perform a (good-looking) Cholesky ...
1
vote
3answers
154 views

Estimate of fx trading volume

I understand that there are no official figures of fx trading volume per currency, but are there any good estimates? Is there any fx exchange that is particularly forthcoming with its volume data, ...
0
votes
0answers
120 views

How does Interactive Broker's historical data compare to other alternatives?

Has any of you stumbled with shows stopper problems like it having survivorship bias?
5
votes
1answer
291 views

Min VaR and Min TE as second order cone program

The quadratic optimization (min variance) $$ w^{T} \Sigma w \rightarrow \text{min}, $$ where $w$ is the vector of portfolio weights and $\Sigma$ is the covariance matrix of asset returns, is a well ...
3
votes
2answers
272 views

Forcing price to rise or fall by high volume buying and shorting

Is there an a name for the approach / strategy to artificially move a price either up or down by high volume buying or shorting. ie. Buying a large (say 5%) of a stock very quickly, thus ...
1
vote
1answer
116 views

What does it mean by “labor taxes cut is self-financed”?

I'm reading "Principle of Economics" by Mankiw. In Part III Market and Welfare, Ch 8 "Application: the costs of taxation", it says: Only 32% of a cut in U.S. labor taxes would be self-financed, the ...
1
vote
3answers
141 views

Given monthly returns of 10-Year Govt Bond, how to get monthly risk free rate of return

I have a list of monthly returns of a 10 year Govt Bond. I am not sure if this is a good proxy for the monthly risk free rate of return. Can somebody suggest how I can derive the monthly risk free ...
5
votes
2answers
402 views

How to use a realized kernel?

I've read that realized kernels are the thing to use for calculating daily volatility from high-frequency data. So I've got minute data, how do I actually use such a kernel? Will it give me minute-ly ...
1
vote
1answer
63 views

Problems to understand a stochastic DGL equality

currently I am reading a paper called "Portfolio optimisation under non-linear drawdown constraints in a semimartingale financial model" for self-study reasons. The paper can be found here: ...
1
vote
2answers
145 views

Quotes and Transactions Streams from Exchange

I have possibility of taking 2 types of real time streams from some exchange: bid-ask quotes (fresh quotes from order book) transaction log (transactions matched by exchange) I'm curious what ...
3
votes
1answer
276 views

How to manage evaluation date changes in QuantLib while using ImpliedTermStructure Class

I will not attach the whole code 'cause it would be just a huge waste of space and it would be not useful for this question's purpose. What I am going to attach here is a snippet code and its output, ...
3
votes
0answers
153 views

How can I introduce exogenous variables in the equation of the conditional variance?

Is it possible to introduce dummy variables or explanatory variables in the GARCH variance equation (garchset and garchfit).This is done in the mean (ARMAX) equation through the input 'Regress' in ...
3
votes
1answer
925 views

open-source implementation of orderbook from FAST?

I'm looking for c/c++ implementation of OrderBook. I need implementation to reconstruct market data from FAST. I don't need to do "matching" because it already did by exchange, I only need to ...
2
votes
1answer
231 views

Which measure to determine Risk?

Say I hold an equity and I want to calculate the Value-at-Risk over some period. Would one calculate the Value-at-Risk of the equity under a risk-neutral (as in martingale) measure or under the ...
0
votes
0answers
51 views

OF-B1 report - cell A1

Pretty basic question - what is the SIGN that should be used in cell A1 of the EIOPA Solvency II OF-B1 report? So should share capital be displayed with a positive or negative value? CP-13 extract: ...
0
votes
1answer
188 views

Distinguish between market makers and other participants?

Are there any known quantitative techniques to distinguish between market makers and other participants? I manually MFT, have no knowledge of these specialties, and may be observing phenomena that ...
2
votes
1answer
351 views

Maximum Likelihood using a Kalman filter for two factor model

I'm trying to implement a Kalman Filter for the parameter estimation of a linear gaussian two factor model in Matlab. (Schwartz Smith model for commodity prices) In other words: I try to compute the ...
4
votes
2answers
185 views

Itô diffusion processes in finance with unknown distribution at a terminal value

In several papers it is argued that for many Itô diffusion processes, $$dX_t = a(t,X_t)dt+b(t,X_t)dB_t,$$ in mathematical finance the distribution of $X_T$ for fixed $T>0$ is unknown, which makes ...
4
votes
0answers
353 views

Formula for the efficient portfolios (mean-variance optimisation)?

Consider the setting of mean-variance portfolio optimisation: $n$ assets with expected returns $\overline{r}_1,...,\overline{r}_n$ and standard deviations $\sigma_1,...\sigma_n$. For a certain fixed ...
1
vote
2answers
189 views

constructing best bid/ask from NASDAQ TotalView-ITCH data

anybody know how to construct a intraday stock price from NASDAQ TotalView-ITCH data? I would need to know the price in millisecond, so I would need two rows: timestamp (for every millisecond) and ...
2
votes
1answer
213 views

Pricing credit risky bonds

How do we price credit risky bonds? If I discount the cash flows using LIBOR/zero rates, it won't take the credit riskiness into account. So should I use a rate based on the issuer's credit spread? ...
1
vote
1answer
153 views

Basics about the scaling property of volatility

It is a usual practice to calculate realized volatility $\sigma$ using the square root of the usual variance estimator $\hat{{\sigma}²}$. This is done using the stock log returns (practitioners ...
3
votes
1answer
79 views

How accurately can the LIBOR market model price a floating note

I am considering some hedging strategy where portfolios of derivatives are built so that each portfolio is equivalent to a floating note, even if the instruments in the portfolio might be quite ...
1
vote
0answers
119 views

What is the right group of durations?

It seems that the group of durations commonly used in quantitative analyse is $\mathbf{R}$ but it seems to me that $\mathbf{R_+^*}$ could also be an interesting choice. While I am not aware of ...
6
votes
3answers
258 views

How to choose a risk-neutral measure when the market is incomplete?

I am more of a probabilist than a financial mathematician. I am currently working on the features of American put options under a particular stochastic volatility model. Like most stochastic ...
1
vote
1answer
252 views

Black 76 for Options on Interest Rate Futures

This is my first time using Black76 to value options on IR futures and I have a question on $F$ and $K$. I understand the price for an IR future is usually quoted as $100 - r$. Do I use this price ...
2
votes
2answers
189 views

Shortcomings of generalized Brownian motion for asset price modelling

I'm simply interested on hearing some views on which shortcomings arise by using the (multidimensional) SDE $$dS(t)=S(t)\alpha(t,S(t))dt+S(t)\sigma(t,S(t))dW(t)$$ as a model for asset prices. I know ...
3
votes
0answers
97 views

Estimating risk aversion (power or exponential utility) from options prices

I came across this literature and it seems like there are a number of ways people do this. You can do it for an option on any underlying as long as you can create the risk-neutral p.d.f. If you agree ...
0
votes
0answers
41 views

Is this usage of “M” and commas for a cash flow statement correct? [closed]

I recently was confused by a cash flow chart produced by a company I invest in. Each bar represents a monthly cash flow, but the values are confusing. For example, "3,012 M" is used on the most ...
1
vote
2answers
486 views

HFT enhancements for FIX (Simple Binary Encoding) vs proprietary protocols performance and cost

I would like to know from those that have used FIX (with Simple Binary Encoding) for HFT compares with the current (proprietary) protocols in use that often vary per counterparty. Interested in ...
1
vote
1answer
292 views

Probability of a return from historical average and standard deviation

I have a question from a sample exam paper that I'm having some trouble figuring out. The question is: Bavarian Sausage stock has an average historical return of 16.3% and a standard deviation of ...
0
votes
1answer
127 views

download intra day data [duplicate]

I am trying to download intra day stock data for some 7000 symbols using google url : ...
4
votes
4answers
454 views

Deep bid ask orders

Why do I often see some very deep limit buys and limit sells in a limit book? For instance the bid-ask may be \$39.00-39.01 but I see some bids at \$20 or even \$10 and some ask at \$60 or even \$500. ...
3
votes
1answer
106 views

A basic question about market jargon

What does it mean by DBR 4s of Jan4, 2037? I know the Jan4, 2037 is the maturity. How about DBR and 4s?
1
vote
1answer
71 views

Get discount factors with limited knowledge?

I am facing the problem of just having this information: 6% coupon bond with 2.5 years to maturity, traded at a 100% clean price 4% coupon bond with 1.5 years to maturity, traded at a 98% clean price ...
2
votes
0answers
160 views

Potential pitfalls in the use of correlation

Background: The red line is an index, which goes from 0 to 100, measuring uncertainty in the markets. The dark blue line is a price index, which has a lower bound at 0, and virtually no upper bound. ...
0
votes
0answers
64 views

US Treasury off the run trading

Between CME, Brokertec and eSpeed one can trade the vast majority of CTDs, on-the-run and treasury futures contracts electronically. How does one trade off the runs and old bonds? Is there an open/ ...
1
vote
1answer
49 views

Why is the discount function non increasing if pure cash holdings are feasible?

I am struggeling with the question, for example lets take a swap with rate of 3.2 for one year and 3.6 for 2 years and Discount Factor 0.96899 for the first year and 0.93158 for the second year. ...
2
votes
0answers
80 views

Optimizing stochastic functions numerically

Is there an efficient and commonly used optimization method for "more complex" investment strategies. For instance, say you have a function $f(X_1,...,X_n,c,v)$ where the $X_k$'s are your random ...
3
votes
2answers
178 views

Is price gaping the major risk that market maker has?

Suppose you are a market maker. So you put a limit price out and hope someone will cross bid/ask spread to take your limit. But there is risk that bad news could come out and market will gap. So ...
3
votes
1answer
127 views

Optimal Choice of exceeding time

Suppose you hold a share from company $Z$ whose vaue at time $t$ is $S_0+\sigma B_t$ where $B_t$ is Brownian Motion and $\sigma$ denotes some volatility. Now lets assume that company $Z$ may go ...
2
votes
2answers
109 views

Accrued Interest in CVA DVA

I'm implementing the CVA/DVA for some derivatives, which follows a Hull-White model (one factor). Once I have calibrated the model and I get the results with the simulation, a quite interesting ...
1
vote
1answer
250 views

Components of an index in a specific date

Objective: Get a list of all the companies that were ever part of an index (e.g.: FTSE100) in a given period of time (scale: years/decades). Method I have in mind: 1) Create an empty list k. 2) Get ...

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