All Questions

119 views

What is the realized volatility's estimation error?

Given an estimation procedure and real data, how would one compute the mean squared error? What value represents the "true" realized volatility in the case of calculating the Mean Squared Error in ...
74 views

Where can I find monthly/weekly historical data for gold and silver [duplicate]

Preferably in monthly or weekly denomination, for at least 20 years. Preferably in Excel format, but csv, or other format is fine too. I try to google but couldn't find anything, maybe I just wasn't ...
90 views

What R-packages for SOCP problems are there?

Currently, I am looking deeper into the topic of second-order cone programming. Could you suggest packages that solve SOCP-problems in R? With your answer, please provide a short description of ...
1k views

Volatility-Based Envelopes

I am following an article by Mohamed Elsaiid (MFTA) about Volatility-Based Envelopes - a quite new technical indicator he has introduced, that is being used by Bloomberg. My goal is to get a simple ...
217 views

How can I calculate the Cumulant-Generating Function in Matlab?

Let $M(h)$ be the moment-generating function, then the cumulant generating function is given by $$K(h)=\text{ln}M(h)=\\ =\kappa_1h+\frac{1}{2!}h^2\kappa_2+\frac{1}{3!}h^3\kappa_3+\ldots$$ where ...
105 views

Correlation between idiosyncratic residuals and forward returns

The classic mean-reversion strategy is to calculate an "expected return" (alpha) by computing the raw return for each security and then remove the part which you think is market driven. Statistically ...
374 views

Open source equity/bond index data

I have been using the tseries package of R (get.hist.quote) to get historical quotes for various indices from yahoo finance. I am interested in DAX, VDAX, EB.REXX ...
994 views

Mass Market Data Source

My current project requires large amounts of historical and real-time market data (1m or 5m bars for various products, mostly US futures for as far back as available). This data will be analyzed by ...
4k views

Free market data (delayed or snapshot)

I know there are similar questions but I don't think there are any identical ones. Basically, I'm looking for one of these two things. Delayed market data feed. A tick by tick feed, but delayed by ...
728 views

Market Data For Project

I'm looking to find a service that will allow me to download historical data on stocks, bonds, options, futures, indices, etc and also to pick up new files either on a daily or weekly basis. I've been ...
2k views

Cointegration tests

I'm trying to figure out how to perform cointegration tests in R between 2 time series. I'm using po.test from the package ...
50 views

FTAP in the model independent case, paper by Schachermayer

I have a question about the following paper by Beatrice Acciaio, Mathias Beiglböck, Friedrich Penkner, Walter Schachermayer. At the very beginning of the paper, on page 3, there are two definitions ...
133 views

Penny jumping in the direction of the price

Reading through examples of legal front running, I'm struggling to understand how "penny jumping" (http://www.wikinvest.com/wiki/Front-running) can be profitable. Suppose stock ABC is trading at a ...
91 views

Calculating deltas of call options?

From a continuous standpoint, I understand why an ATM call has delta = 0.5 and for ITM call, the delta approaches 1 since each move in the underlying corresponds to same unit of value change in call ...
377 views

T-note returns from T-note yields … derivation of Damodaran's formula

Damodaran's historical data on 10-year T-note returns (found here) uses the following formula to calculate the 1-period total return on a T-note ($R_1$) given the 10-year constant maturity ...
48 views

Under an EMM, does there necessarily exist a replicating portfolio?

In general, under an EMM, does there necessarily exist a replicating portfolio for every derivative? I believe the answer to this is false. A simple example is a discrete time, trinomial model. ...
5k views

Why does the adjusted closing price take into account dividends?

I'm trying to get an intuition as to why the adjusted closing price includes a dividend adjustment: $$1 - \frac{dividend}{close}$$ I understand why the adjusted closing ...
42 views

VIX Future risk modeling [duplicate]

I am very new to VIX futures and need to validate the risk model for these instruments. Could someone help me with how i can calculate the volatility on these instruments. Thanks.
1k views

Value-at-Risk of the sum of two dependent lognormal random variables

Hy I posted this question first at mathflow.net they suggested me this page, which I was not aware of. Question: Let $(X_1,X_2)$ be a multivariate normal random vector ($X_1$ and $X_2$ need not be ...
172 views

Multifractal Model, Generating Sample Paths with Correlations between Assets

I have studied option pricing using Geometric Brownian Motion to generate sample paths. Because of the normal distribution, it is easy to create a covariance matrix and get correlated asset returns. ...
439 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 ...
254 views

FIX binary decoder

Not sure if this is the right question board for this - It sounds like CME is switching their MDP platform from FAST to Simple Binary Encoding and it will be going to production soon. Does anybody ...
3k views

How to Delta Hedge with Futures?

The theory of delta hedging a short position in an option is based on trades in the stock and cash, i.e. I get the option premium and take positions in the stock and cash. In the classical ...
8k views

Innovative ways of visualizing financial data

Finance is drowning in a deluge of data. Humans are not very good at comprehending large amounts of data. One way out may be visualization. Traditional ways of visualizing patterns, complexities and ...
3k views

How to create charts in WPF finance applications?

How to create charts for market data in WPF? Are there any charting controls provided by microsoft or you need to use only third party controls? Which are the popular third party charting controls ...
325 views

Lagged dependent variable, yes or no?

I read conflicting opinions about the inclusion of lagged dependent variables in modeling, and I guess it is partly up to the researcher and depending on the scope and goal of the research. I'm ...
78 views

A doubt about Evans and Jovanovic (1989) economic model for entrepreneurs with credit constraints

[I already posted this question on the math forum of stackexchange and I was advised that I should post this question here] In Evans and Jovanovic (1989) you will find a model for entrepreneurs with ...
6k views

Why do some people claim the delta of an ATM call option is 0.5?

I am looking for a mathematical proof in terms of differentiating the BS equation to calculate Delta and then prove it that ATM delta is equal to 0.5. I have seen many books quoting delta of ATM call ...
168 views

MonteCarlo simulation of stock prices using milstein scheme with dividend yield?

While performing a montecarlo simulation of stock prices using the milstein scheme is it possible to take into account the dividend yield into the simulation itself somehow, if we are given a ...
205 views

Optimization: Factor model versus asset-by-asset model

In portfolio management one often has to solve problems of the quadratic form $$w^T \Sigma w + w^T c \rightarrow Min$$ with portfolio weights $w \in \mathbb{R}^N$ a constant $c \in \mathbb{R}^N$ and ...
89 views

How to reproject rates risk on a subset of tenors

Is there a standard method (statistical or model based) to reproject rates risk obtained on a full set of tenors onto a smaller subset of tenors ? Let's imagine that I got a delta in the following ...
405 views