1
vote
0answers
66 views

How was this probability of negative U.S rates by end 2017 calculated?

http://www.bloomberg.com/news/articles/2016-01-26/bets-on-negative-u-s-rates-by-end-2017-jump-above-10-chance Options markets show some investors are taking out protection in case rates instead ...
3
votes
1answer
92 views

How to get the the final % return in backtesting?

I'm learning how to do backtesting in Python using Pandas. I'm learning how to use Moving Average Crossover. I've generated signals to buy or to sell already. But I'm not sure where to go from there? ...
3
votes
2answers
71 views

Bounded Stochastic discrete process

I just came across this stochastic process (link): $dY_t = (a-bY_t)dt + c \sqrt{Y_t(1-Y_t)}dW_t$, where $dW_t$ is a Wiener Process. According to the author under certain conditions this process is ...
0
votes
1answer
49 views

wishart stochastic volatility models

Stochastic volatility models assume that volatility follow a random process.In the emerging market the volatility tend to be high. why is it that the wishart stochastic volatility model fit well the ...
1
vote
1answer
56 views

Historical volatility from non-uniform samples

The way I compute historical volatility is that I take two parameters $dt$ and $T$, get a list of stock prices with the step of $dt$ over the window $T$ (so $T/dt+1$ samples in total), compute $T/dt$ ...
1
vote
2answers
34 views

Is using Fama and French factors data screening dependent?

Fama and French (1993) three factors are available in Kenneth French's data library. Some papers use them as they are provided there and others calculate them again. If Fama and French (1993) used ...
4
votes
1answer
69 views

Why the diff of signal is called positions and what does it mean in backtesting?

I'm trying to learn Backtesting 101. I found this example which is very simple but I do not quite understand some of the terms. I understand Moving Average algorithm which is to measure trends or to ...
4
votes
1answer
864 views

What happened to the French franc value in August 1969?

I stumbled onto a bit of a mystery. A strange financial blip in a historical database crossed my path and I was wondering if anyone could explain its meaning/cause for me? If this is not the right ...
0
votes
2answers
124 views

How to automatically get all options data for a particular stock into microsoft excel?

I'm looking for a way to get the entire options chain (All options expiries) for a particular stock in excel without manually copy pasting anything. It does not have to be real time and I will only be ...
0
votes
0answers
111 views

Ideas for speeding up greek calculations

My current calculations using the vollib library averages 0.5 seconds. Is there any way to get it faster? Any tips/best practice notes will be helpful. This is for a scripting language such as python....
1
vote
0answers
54 views

Estimating Daily Dynamics using Hourly Data

This article gives a nice outline of how daily data can be used to estimate cointegration on a monthly horizon. http://papers.ssrn.com/sol3/papers.cfm?abstract_id=1404905 I'd like to use the same ...
0
votes
1answer
111 views

Calculating annualized continuous dividend yield

What would be a formula for calculating the annualized continuous dividend yield of a stock? Given the quarterly or annual dividend
0
votes
1answer
59 views

out of the money time value versus in the money time value

For an out of the money option the time value is entirely positive, then if it moves into the money the time value has a negative impact on the new intrinsic value, ok, but it looks like the negative ...
0
votes
1answer
85 views

Aggregating Tick Data

I have Level 1 data that has already been aggregated into 0.5s buckets by the exchange. I'd like to further aggregate the data into hourly and daily buckets. I plan to do this by simply taking a ...
0
votes
0answers
200 views

Mark-to-market cross currency basis swap

Given everything is the same we have a cross currency basis swap (non MTM) and another which is MTM. Should the PV of both swaps be the same and why ? Consider the case when there is no counterparty ...
1
vote
1answer
89 views

Memory-efficient clustering algorithm for large time-series datasets

I have a simulation task at hand with ~1e6 time series to be clustered on the basis of statistical measures every few days in the simulation. Most clustering methods I'm aware of require an affinity ...
0
votes
1answer
148 views

What is the difference between par delta and zero delta?

I was looking at different methods of calculating delta for Interest Rate Swaps(IRS) and came across the words par delta and zero delta. I am not sure of the difference between the both and when to ...
7
votes
1answer
347 views

R Backtesters: Quantstrat vs SIT

I am learning R, and want to start using a backtester. I have spent about a day reading all I can about R backtesters, and it seems there are 2 main contenders: quantstrat, which uses the packages ...
3
votes
0answers
78 views

Downloading IB futures data and then making a datapump to another program

I never have programmed before in my life but I wouldn't mind learning if I knew what i needed to do in order to solve my problem. I use neuroshell for day trading and use it extensively for trading ...
3
votes
1answer
134 views

Question in “Computational Methods in Finance” by Ali Hirsa - Chapter 2: Derivatives Pricing via Transform Techniques"

Reference: "Computational Methods in Finance" by Ali Hirsa - Chapter 2: Derivatives Pricing via Transform Techniques" - Page 37* Background: The author prices call option using the Fourier Transform. ...
3
votes
2answers
106 views

Mathematical definitioln of Potential Future Exposure

I have come across a risk measure called "Potential Future Exposure" and I have not really understood the meaning of it. Knowing that this has to do with counterparty credit risk, I read different ...
0
votes
0answers
50 views

Min. Spanning Trees, Planar Maximally Filtered Graph US equities?

Does anyone know of any free source of recent or preferably regularly updated Minimum Spanning Trees, PMFGs or other similar maps for US equities? (S&P 500 will do.)
1
vote
1answer
92 views

Timesteps in Vasicek model

When simulating stocks one can easily use GBM with only one random variable per simulation to create a new stock price in say 5 years, you don't need to create the whole asset paths if you don't need ...
0
votes
0answers
28 views

How to adjust Black-Scholes price in function of liquidity?

Black-Scholes pricing formula assume a lot of thing, included perfect liquidity : One can buy/sell any fraction of Stock at any time and buy/sell prices are equal. The cost of the option reflect the ...
0
votes
0answers
42 views

Get list of all stocks ever listed on NASDAQ

I'm looking to compile a list of all stocks/symbols ever listed on the NASDAQ, not just the currently listed stocks. Alternatively, a list of all delisted stocks would also suffice. Preferably, I'm ...
2
votes
0answers
27 views

Subclass Tracking Error

I am currently doing a master program project regarding tracking errors. My assignment is to evaluate following question: How to find out the correlation structure of the passive (=second order/sub-...
4
votes
2answers
145 views

What's the name of this nearly-brownian stochastic process?

1) Does the following algorithm (my question is math, not programming-related): ...
0
votes
0answers
69 views

How is a second-sensitive MACD calculated?

I am trying to get the specifics on the calculations of a MACD line that is calculated every second, as can be seen by using Bloomberg or Interactive Brokers or something of the like. I am assuming ...
0
votes
0answers
93 views

Analytical solution to the Black-Scholes equation with time-dependent volatility

I am stuck with the following exercise and I would appreciate any help with it. I have to calculate the analytical function for the price of a call option given the following process for the ...
0
votes
1answer
40 views

Scaling of probability mass function

Given a histogram and the probability mass function values for each observation, when plotting the histogram and the curve (this is bell curve since the data is assumed to be normal) on the same ...
0
votes
1answer
41 views

Creating the histogram for the distribution of the portfolio returns

Given log returns for some stocks $A$ and $B$, which are the constituents of our hypothetical portfolio in equal weights, how does one actually come up with a distribution of the log returns of the ...
2
votes
0answers
80 views

Liquidity Adjusted Asset Pricing Model

I have a data set with 4000 companies and I have calculated a liquidity measure of each of the company in the dataset as Where, Turnover is the monthly average ratio of daily volume to shares ...
1
vote
1answer
63 views

what is the meaning of the differential of an arbitrary adapted random process?

I was working on the definition of the self-financing portfolio. Say $V=\phi_tS_t+\psi_t A_t$ where $S_t$ and $A_t$ are the stock price and the money market price at time $t$, resp, and $\phi_t$ and $...
1
vote
2answers
133 views

Which volatility to use?

For calculating the greeks http://www.vollib.org/html/apidoc/vollib.black.greeks.html Should I use historical volatility or implied volatility?
0
votes
1answer
51 views

Volatility of monthly performances, where the last month is short

I'd like to calculate the vol of a return series of, say, 25 months. However, the last of those months is not completed yet. The last data point only refers to the first 21 days of the month (say, ...
1
vote
1answer
21 views

Calculating the price of a call and put using multinomial trees and risk-neutral probabilities

I am self-studying for an actuarial exam and I encountered this example. The books shows one method of solving using a replicating portfolio, and then shows this solution involving risk-neutral ...
1
vote
2answers
193 views

Geometric brownian motion vs. Ornstein Uhlenbeck

I'm looking at the SDE of Geometric brownian motion(*): $$d X(t) = \sigma X(t) d B(t) + \mu X(t) d t$$ (with analytic solution $X(t) = X(0) e^{(\mu - \sigma^2 / 2) t + \sigma B(t)}$) and the SDE of ...
2
votes
1answer
111 views

How to get historical data for expired futures contracts in IbPy?

Does anyone know how to request historical data for futures contracts that have already expired in IbPy? There are plenty of examples for requesting historical data for example this post, however ...
0
votes
1answer
51 views

Pricing a vanilla call option with a fixed dividend

I have started a finance course few months ago and am looking for a way to compute the price of a 1-year call option with a fixed dividend paid after 6 months. Using Black and Scholes I know how to ...
0
votes
1answer
42 views

Valuing corporate EUR loan of US entity? Which discount rate to use? US or EU?

If a US entity borrows in EUR and I need to perform a DCF valuation on that borrowing, should I use USD based curve (for the appropriate rating) or EUR based curves? In other words do I use the ...
1
vote
1answer
27 views

binomial - parameters at which american option hits early exercise possibility

I am looking for a set of parameters (d,u,r,So,K, N=?) for pricing an american call using binomial where the call hits the early exercise possibility. Do you have any exemplary set?
1
vote
0answers
91 views

Market Making Literature

I am not sure if this is the correct site to ask this, if not I apologize. I have noticed some markets that lack in liquidity, and wonder why market makers in these markets cannot provide liquidity ...
0
votes
0answers
27 views

commodity asset pricing

This is not a quant question but more a fundamental question. At the moment, WTI next month’s contract is trading at $29/B. My question are: Is it safe to assume delivery cost at Cushing is priced ...
1
vote
2answers
103 views

Question about the martingale property of stochastic integral

Let $W_{t}$ be a Wiener process, and let $$X_{t} = \int^{t}_{0}W_{\tau}d\tau$$ Is $X_{t}$ a martingale? We can rewrite in differential form as $$dX_{t} = W_{t}dt$$ ,which means $X_{t}$ is a diffusion ...
4
votes
2answers
158 views

Constructing a minute-by-minute volatility curve

For market making in front month vanilla commodity options we need a volatility curve that updates every second or so as the underlying and the options change prices. If all the strikes have a good ...
0
votes
0answers
26 views

consensus on Trading Costs in Empirical Papers

Is there some consensus in the literature to model trading costs when going short/long SPX options? Like 2% trading costs to switch from short to long and vice versa plus 20% (just an example) margin ...
1
vote
1answer
139 views

How to calculate US treasury total return from yield?

I'm struggling to understand the meaning of US treasury total return. What is easily available to get is yield data. Yield can be directly translated to the bond price at that time. In other words, ...
0
votes
0answers
40 views

How to find multiple FED rate hike implied probability

I have some questions about finding implied probability of rate hike on FED Funds Futures: What is the relevance of a month that does not have meeting (e.g.: february 2016)? Does the probability ...
1
vote
1answer
85 views

option time value in the pricing models

option price = intrinsic value + time value where intrinsic value (in other words payoff at N) is defined generally as difference between the underlying asset price and strike price (order depending ...
0
votes
0answers
63 views

proven implementation of Black scholes formula

We are writing our own implementation of the Back Scholes model. What on-line, well-known implementation do you recommend to test against? I have found several including the one below, but it doesn’t ...

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