0
votes
0answers
16 views

Recommendations for Example Cross Sectional Dataset [duplicate]

I'm interested in learning more about cross-sectional regressions and was wondering if anyone could recommend a dataset to use. Ideally, something with a well known solution I can compare results to ...
-4
votes
1answer
109 views

Is there an API to perform request about stocks and financial derivatives? [closed]

Is there an API to make a request such as: all the companies which thier P/E ratio is greater than 50 ? I know I can crawl google finance and have it locally on my ...
0
votes
0answers
93 views

Calculating order arrival times using log-likelihood, Raphson and Jacobian matrices?

I am reading the following paper: http://www.ntuzov.com/Nik_Site/Niks_files/Research/papers/stat_arb/Ahmed_2009.pdf and in particular page 13: Now I never did a degree in maths (I did ...
0
votes
0answers
16 views

Question about bivariate equity/interest models

I am working on a little project and I need a bivariate model for interest and equity, I am also mostly interested in estimating the parameters in a physical measure setting. My main issue at the ...
0
votes
1answer
107 views

Symmetry of option-implied probability density

I was wondering whether the option implied probability density of the log returns: $x = \ln\left(\frac{S}{S_0}\right)$ with S the value of a certain stock, is always symmetric ? I was asking myself ...
1
vote
1answer
271 views

Help with understanding a normal distribution/probability question

Could someone please help me translate what this is saying on page P15, section 4.2: http://www.ntuzov.com/Nik_Site/Niks_files/Research/papers/stat_arb/Ahmed_2009.pdf Specifically: When the ...
6
votes
0answers
742 views

Tools/R code for predicting Dragon-Kings

The theory of the so called Dragon-Kings, esp. by Didier Sornette (ETH Zürich), basically states that financial crises and crashes are predictable (contrary to the theory of black swans). The ...
1
vote
0answers
81 views

Insignificant or significant explanatory power over risk adjusted returns?

Currently iam working on my master thesis which is about risk adjusted returns in the Asia Pacific REIT market. The goal of the paper is to determine/find variables that conceive explanatory power ...
1
vote
2answers
271 views

how to calculate more efficient volatility figure than historical volatility?

can we use alpha value to calculate option price instead of historical volatility. And if we can please explain how. I am doing my MMS in Finance and this for a project i am doing. the project is ...
2
votes
3answers
149 views

The reason behind the selection of a 1 standard deviation movement for self financing delta hedge

I'm learning this material and I can follow the derivation of the BSM PDE fairly well. The only problem I have is there is an assumption in the derivation (that I am reading) that a stock price ...
2
votes
1answer
74 views

To understand FOMC events and its impact on the market

Last month when FOMC meeting decision went out that fed would start to exit QE3, immediately we saw a deleveraging effect: SPY went down, GLD went down, and LQD (bond) went down, but US dollars went ...
0
votes
1answer
316 views

Non-intuitive correlation between S&P sector indexes and economic indicators

I am trying to understand how changes in economic indicators like Unemployment Rate, Inflation Rate, and Consumer Sentiment affect the portfolio values. For that I want to measure the correlation ...
2
votes
1answer
206 views

annual excess returns from CAPM on monthly total returns

I want to calculate annual excess returns on portfolios using monthly returns for a CAPM (for the assets in the portfolio as well as for the benchmark), in order to have more information on the ...
2
votes
1answer
498 views

Counterintuitive time varying Beta with Kalman filter

If you're used to play with R, you'll enjoy the following reproducible code: ...
0
votes
0answers
36 views

How to make a historical index of a group of materials in which the set of materials changes every month?

The question may sound simple however for the moment it is a brainteaser to get it right, let me explain: the exercise is to be done on +/- 200 groups of materials (matgroups) one matgroup can ...
1
vote
0answers
89 views

RCaller & RQuantlib error in java

I am receiving the following error: ...
3
votes
0answers
510 views

Calculating most profitable arbitrage orders on multiple market with fixed and variable fees

If I have multiple markets (let's say 5, but the solution should be generic) trading the same stock/commodity/whatever, and the markets differ in both variable fees (which are in % of the trade order) ...
1
vote
1answer
177 views

Need to match my bond price calculation to that of Bloomberg, currently failing hard

I have a fixed-coupon bond with the following characteristics: ...
2
votes
1answer
153 views

Determining the portfolio return distribution to calculate CVaR/ES

I'm trying to do a portfolio optimization with an expected shortfall constraint. For this, it is necessary to know the distribution of expected portfolio returns. When doing this empirically, my plan ...
2
votes
0answers
222 views

Market risk stress testing?

I am doing a research for a paper for market risk stress testing. In fact I found some information on the web about this important topic such as: Stress Testing from Art to Science Stress Testing ...
6
votes
2answers
255 views

How to deal with zeroes in returns?

Suppose there are two time series that I want to analyze and compare. However, many, or most, of the data are zeroes for some reason. For example, consider a pair of intraday trading returns time ...
2
votes
0answers
116 views

Is there such a thing as “sell-off risk” in bond funds?

Popular yet generally academically-grounded commentators such as Annette Thau and Larry Swedroe have claimed that there is the possibility for "sell-off risk" in bond funds. By this they apparently ...
2
votes
2answers
625 views

How can you convert the CUSIP of a bond issue to the CUSIP of the company's stock/

As part of a research project I ran a query on the Mergent FISD database using the WRDS website. The output included the CUSIPs of numerous bond issues (>10000). I am using this data to run event ...
1
vote
0answers
122 views

Practical quantitative finance problems that could be solved in trustless grid computing environment?

Are there any relevant computationally intensive quantitative finance problems that could be outsourced to a trustless grid? By a trustless grid I mean that you cannot trust it with the access to your ...
4
votes
1answer
608 views

On short-rate-models: Black-Karasinski (with constant parameters) compared to Vasicek

When modelling the term structure of interest rates, one widespread possibility is using the Black-Karasinski model, which is given by the following stochastic process ...
1
vote
1answer
132 views

Regression of Unequally Weighted Portfolio against a Single Index

When I regress a single stock against a market index, I get a high value of R2 and beta closer to 1. APPL.fit <- lm(APPL ~ JKSE) When I regress an unequally ...
4
votes
2answers
1k views

Typical risk aversion parameter value for mean-variance optimization?

What are typical values for risk aversion parameters $\lambda$ used in mean-variance optimization? Please provide references. Just to be clear, I'm talking about the $\lambda$ in $U(w) = w'\mu - ...
0
votes
1answer
99 views

Analyst Forecasts for monthly unemployment rate

Are there any resources that tabulate past analyst forecasts for the monthly unemployment rate along with the dispersion of the forecasts
4
votes
1answer
144 views

Estimating investor's utility from the trades data

Is it possible to infer investor's utility function from the set of decisions she is making? Let's assume for simplicity that the market consists of a single traded asset whose return distribution is ...
2
votes
2answers
144 views

Risk theory is a part of financial mathematics

In my program on Financial mathematics we studied such topics as pricing, portfolio management, risk theory (probability of ruin of an insurance company) etc. However, now I often see a line between ...
1
vote
1answer
103 views

Bracket-Notation in SDEs

I often come across the following notation in my script, and I have not found it anywhere else. While our lecturer insists it is of utmost importance to write this way in his exams, he yet failed to ...
5
votes
0answers
147 views

Covariance estimation

Shrinkage was much en-vogue before RMT took everybody's attention, however the latter also showed its limits. A plethora of other estimators has been presented, but I could not yet spot a golden ...
6
votes
2answers
1k views

Beta vs. Implied Volatility statistical arbitrage using options

Let two underlyings, $S_{1}$ and $S_{2}$, are correlated and $\beta$ is the slope of their returns linear regression, that is, it says how much $S_{1}$ co-variates with $S_{2}$ variance. For ...
4
votes
0answers
89 views

Simple way to get the crossing probabilities of a moving barrier

Hello Quant Finance StackExchange, Is there a simple way to find the crossing probabilities of a moving barrier, namely a barrier written in the form $U(t)=\alpha_1t^2 + \beta_1t + \gamma_1$ and ...
4
votes
0answers
109 views

Distribution of hitting time of the integrated CIR process

If an increasing process $X_t$ has a known Laplace transform $\mathbb{E} e^{-s X_t} = m_t(s)$, define its hitting time $\tau$ to some level $B$ to be $$ \tau = \inf\{ u > 0 : X_u \geq B \}. $$ Can ...
0
votes
0answers
230 views

Simple EOD computations for tick data

As part of End-Of-Day calculations once a particular market/exchange has closed for all the tickers traded on that market one may typically compute the following properties: OHLC Bid/Ask Price ...
2
votes
2answers
302 views

Loading HF stock data into excel

Are there any free, open source VBA addins or R packages that can be linked using the yahoo finance/Google finance/other data sources api to continuously download intraday data into excel or R? ...
3
votes
1answer
231 views

How is the Sharpe Ratio presented in fund profiles usually calculated?

To compare my stock portfolio generator with managed funds performance, I want to calculate the Sharpe Ratio of my historic portfolios with the numbers found on the fund company web sites or in ...
0
votes
1answer
398 views

Stock prices using a monte carlo simulation with a normal inverse gauss distribution

I am supposed to model daily stock prices with a normal inverse gauss distribution in excel. I feel like I am misssing some basics because I cant transform the information from the academic papers ...
0
votes
2answers
417 views

expected value of the discounted payoff

I don't understand the following statement: The price of a contingent claim is the expected value of the discounted payoff value under the risk neutral probability measure Q defined in complete markets ...
4
votes
2answers
368 views

Is duration really inversely related to the maturity time length of a bond?

It is always said that longer bonds are more sensitive to interest rates. Intuitively this makes perfect sense, since longer bonds have a larger portion of its cash flow being subjected to stronger ...
1
vote
0answers
277 views

Implied volatility and greeks for american option with discrete dividends

What methods are available to calculate IV and greeks for an american option with discrete dividends, and how do they compare? Should I use Roll-Geske-Whaley and solve for a given option price?
2
votes
1answer
281 views

Formula for variance of European call/put in Black Scholes

I have a quite basic question, but I can't find a reference with it. Recall that we can use the Black-Scholes formula to price a European call or put for a market consisting when: the underlying ...
1
vote
1answer
2k views

Implied interest rate from FX swap

This is not homework. I am trying to calculate the implied interest rate of one currency (C2) using an FX swap and the interest rate of another currency (C1 - base). I have the following: Spot: ...
1
vote
0answers
290 views

GJR-GARCH modeling in stata

I am wanting to run a GJR-Garch model in stata and I am having problems identifying what command I need to put into the system. When using the commands I receive two different ways to do so and I am ...
0
votes
1answer
289 views

Zero Curve Calculation for AUD, CAD (post LIBOR scandal)

In the end of May 2013 British Bankers Association (BBA) stopped publishing LIBOR rates for Australian and Canadian dollars in a light of recent scandals. LIBOR rates were essential for creating zero ...
5
votes
2answers
2k views

How to numerically obtain delta?

The delta in option pricing, also called the hedge ratio, is expressed as the sensitivity of the option price to the underlying price change. The analytical solution for the most common option ...
4
votes
0answers
122 views

ERP and FF 3-factor model

In a more conservative estimate than a simple historical average, Fama & French estimate (US) equity risk premium at 3-4% (e.g., Equity Risk Premium, JF, 2002). This suggests that in an APT-like ...
7
votes
2answers
649 views

Principle Component Analysis vs. Cholesky Decomposition for MonteCarlo

Let's assume we have a portfolio containing large number (~500) of risk factors. We want to simulate the portfolio dynamics. PCA based simulation would be faster as we can reduce the dimensionality. ...
3
votes
1answer
270 views

Black-Scholes fastest computation method

What is the fastest way to numerically compute Black-Scholes-Merton option prices? I'm trying to find fastest and still precise method. Currently I'm using numerical approximation of Normal cdf with ...

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