1
vote
1answer
1k views

Downloading Data from Interactive Brokers using IbPy

I am trying to download data from Interactive Broker using the code below and I am able to create the connection with the Trader Work Station (I get a "True" after ...
0
votes
0answers
24 views

Correlated Market

Looking at two BTC Exchanges i see one is following another with a ~3minutes delay. So the following one is correlated for 100%. a) Is there any name for a strategy that benefits from this? b) How ...
3
votes
1answer
136 views

Why do we usually use normal distribution and not Laplace distribution to generate stochastic process?

When working with a stochastic process based on brownian motion, the increments have normal (gaussian) distribution. However, it seems that a Laplace distribution, with density: $$f(t) = \frac{\...
3
votes
1answer
73 views

Calculate excess returns for Sharpe Ratio with today's or past risk free rate of return?

I am struggling with the calculation of the Sharpe ratio. I am wondering whether to calculate the daily excess returns with today's risk free rate of return or the risk free rates corresponding to the ...
0
votes
0answers
33 views

Use of cash delta vs forward delta and the mirror image rule

There has been no mention in this text of why this formula uses forward delta not cash delta. Why should have this been obvious to the reader? How can a put be delta neutral at 30%, what does this ...
1
vote
1answer
50 views

Example Security Giving Stock Dividends?

I'm looking for a security that has some stock dividends. Any suggestion? There are plenty of websites explaining what is a stock dividend or plenty referencing companies with cash dividends but all ...
3
votes
0answers
557 views

credit risk - How to calculate the probability of default (private companies)?

Part of my master thesis I am working with a company. I have the project to use their financial database with all the financials data (7 years) of approximately 3’000 companies. They have their own ...
1
vote
0answers
40 views

Pricing function $P(S,t)$ is convex in $S$ for all $t$

I am now reading Alternative Characterization of American Put Options by Carr et all (available at http://www.math.nyu.edu/research/carrp/papers/pdf/amerput7.pdf). There is a theorem called 'Main ...
0
votes
1answer
56 views

Interpolating on the BS parameters and injecting in the BS formula vs interpolating directly on option prices

Let's consider a simple European call option. In practice, the way the Black-Scholes formula is used to price it is by injecting all of the parameters and paying special attention to the volatility ...
0
votes
2answers
74 views

What does this options' data mean?

I've got myself some data on SPX optons which looks like this: ...
0
votes
0answers
30 views

Mutual fund cost function estimation vith panel regression

I am trying to estimate cost function for 15 mutual funds: equity funds, bond funds and real estate funds in EViews. I have 15 mutual funds and data for Net Asset Value (NAV), 1 year performance as a ...
1
vote
1answer
33 views

Concept Question Regarding Short Rate Model

I have a conceptual question that needs help. Does anyone know whether the short rate model generate discount rate or forward rate?
1
vote
1answer
153 views

How to implement momentum strategy using R

I am trying to see if momentum strategy has a profitability in a bond market. I have a bond dataset which is a panel data and it is monthly. It looks something like the table below. For each month ...
1
vote
0answers
19 views

Bootstrapping p values in linear regression in R

Can someone help me with a code how to bootstrap p values in R using Boot or boot package? regCSS30 <- dyn$lm(lag(eval(parse(text="HV")),-30) ~ lag((eval(parse(text="CSS30"))),0), data=window(...
1
vote
0answers
36 views

How do most arbitrage opportunities account for unknown volume at a ticker price?

So, from a conceptual level, arbitrage seems quite forward... buy at one place at one price, and sell somewhere at a higher price. However, after doing some initial digging it appears to be not quite ...
0
votes
0answers
22 views

Second stage in Hull-white construction of trinomial tree

In Brigo's Interest Rate Models - Theory and Practice, there is a section about constructing a trinomial tree to approximate the short-rate process in Hull-White. In the first stage, the following ...
18
votes
4answers
2k views

What is the necessary level of Econometrics-Know-How for a quant

It seems quants increasingly use econometric models at work. As someone who has sold his soul to probability theory and stochastical analysis I would like to catch up. What are the econometric tools ...
2
votes
1answer
106 views

GJR-GARCH with $\alpha = 0$ as parameter estimate

I am estimating a GJR-GARCH(1,1) model with variance targeting in R. As data I am using returns on some stock indices. While calculating the GARCH models I obtain $\alpha=0$ for some indices. From ...
5
votes
3answers
139 views

Binary Option in B-S model - technical question

I want to price Binary Option in Black-Scholes model. The payoff is of the form $f(S_{T})=I_{\{S_{T}-K>0\}}$. If we assume that $t=0$ this is easy, because then we have $C_{0}=\mathbb{E}^{*}\...
1
vote
1answer
53 views

Potential Arbitrage profit or proof problem

So the question asks: Consider 4 following European call and put options with the same maturity time: Call option with strike price $100$ sell for $45$ Call option with strike price $110$ sell for $...
1
vote
1answer
62 views

Faster way to backtest/Walkforward

I am currently using Ninja Trader to program and test my strategies and the forward testing in very time intensive. I am thinking of writing my own code in either c++ or c#. The question I have is ...
0
votes
0answers
34 views

Deriving the yield curve from the HJM dynamics

If I know that my model follows a no-arbitrage HJM model: \begin{equation} df(\tau) = \left(\sigma(\tau)\int_0^{\tau}\sigma(u)du\right)dt +\sigma(\tau)dW_{\tau} \end{equation} (where $\tau:=T-t$, ...
1
vote
2answers
54 views

Asymptotic behavior property of geometric Brownian Motion proof

Online I found the asymptotic behavior property of geometric Brownian Motion $X_t$as: If $\mu$ (drift parameter) is $\ge$ $\sigma^2/2$ where $\sigma$ is the volatility parameter, then $X_t \...
3
votes
1answer
162 views

Bloomberg, downloading data in Excel

My company has Bloomberg terminal, but ive heard I shouldnt import any batch of data into Excel using BLP plugin, because it is pricey. They told me that some time ago somebody did this and they paid $...
2
votes
2answers
747 views

Local volatility SVI parametrization

In this paper Gatheral presents the following parametrization of the implied total variance $w(k,T) = \sigma_{BS}(k,T)^2T$ for each slice $k \mapsto w(k,T)$: $$ w(k) = a + b\{\rho (k-m) + \sqrt{(k-m)^...
2
votes
0answers
30 views

In May of 2005, several large hedge funds had speculative positions in CDO tranches

These hedge funds were forced into bankruptcy. This was due to: the correct answer is: Long Mezzanine and Short Equity Tranche position when correlation of Mezzanine tranche decreased. Can anyone ...
4
votes
2answers
116 views

Degrees of freedom in calculating significance of GARCH coefficients

I am trying to determine the significance of coefficients of a GARCH model by calculate the p-values using the following Matlab formula: pvalues = 2*(1-tcdf(abs(t),n-v)), where $t$ is the t-stat,...
3
votes
0answers
47 views

Interpreting different factor models w.r.t. correlation matrix and min variance portfolio weights

Background In Eric Zivot's analysis of factor models he uses three models The sample (.sample) Single index model (.si) Barra factor industry model (.ind) PCA model (.pca) You can download his ...
1
vote
0answers
51 views

Las vegas method?

In one of his winning paper, backward induction for future values, A. Antonov, quant of the year 2016, refer to the American Monte-Carlo method as the Las Vegas method. Is this name used appart from ...
0
votes
1answer
49 views

ACT/360 day convention in swap pricing

The floating leg of a USD swap has present value $$ PV = \sum_{i=1}^N \delta_i f_i p^d(t_i) $$ where the $\{t_i\}$ are the floating leg payment dates, $\delta_i$ is the accrual fraction between $t_{...
0
votes
0answers
31 views

Calculating returns when number of securities in a timeseries varies over time?

I have a timeseries of security returns in which the number of securities in the timeseries varies over time. More specifically, I have a universe of events where securities(their returns) are added ...
0
votes
0answers
35 views

Kfold cross validation: how to handle hold-out periods

I want to backtest a strategy using K-fold cross validation. Assume I have a period of 300 days in my backtest. I divide it into 30 folds of 10 days each. On day 1 of a fold, I enter a trade, and ...
0
votes
0answers
48 views

How to estimate Simple Returns and Monthly Returns from daily stock price observations with Missing data in R

I have a data frame which has over 4000 columns and 3000 rows. Columns are companies and rows have daily stock closing price. The data is such that it has missing values but due to nature of the data ...
7
votes
3answers
369 views

Which ETFs should I use to test my portfolio selection algorithm?

I have a portfolio selection algorithm I want to backtest, but I don't want to limit the inputs at any point in time. For example, I don't want to exclude the Japanese stock market, just because it ...
0
votes
0answers
62 views

Stochastic Integration

I have the following derivation question: A small company is investing resources in a risky project that it hopes will be profitable. The project could, for example, represent the manufacturing and ...
0
votes
0answers
41 views

Is there any function in quantmod to get Earning Date from Yahoo or Google

I want to get the a stock's next earning date from quantmod. I tried my best to go through the quantmod documentation to find such function. Pleae help me. Thanks
0
votes
0answers
82 views

Closing prices for options written on S&P 500

I would like to find closing prices for all options written on S&P 500. I tried OptionMetrics from Wharton School but unfortunately you only find bid and ask prices. Is there any other database ...
0
votes
0answers
60 views

Where and how can I get FX intraday data for use it in R?

I need FX data (the most accurate possible) for use in R. Right now I have developed a script in Java to download the CSV file (from Oanda) and use this file to read it in R, but I think that is a ...
2
votes
1answer
51 views

How do I get Value-at-Risk for a GED distribution in R?

I need to calculate parametric Value-at-Risk using a GARCH model assuming a GED distribution. How can calculate it in R? thank you
2
votes
0answers
75 views

Risk Neutral Variance Gamma

In the risk neutral version of the Variance Gamma model the stock dynamics are $S_T=S_0 e^{ (r-q+\omega)t + X(t;\sigma,\nu,\theta)}$ with $\omega=\frac{1}{\nu}ln(1-\theta \nu - \frac{\sigma^2 \nu ...
2
votes
1answer
89 views

Correlation -1 and standard deviation [closed]

My book says that for a portfolio of two stocks: $\sigma_p = \sqrt{w_A^2 \sigma_A^2 + (1-w_A)^2 \sigma_B^2 + 2 w_A (1 - w_A) \rho_{AB} \sigma_A \sigma_B}$ Elsewhere it says that if the correlation ...
1
vote
1answer
39 views

Disappear Standard Error in OxEdit/G@rch6 package

Hellow everyone, I'm new here. Please instruct me to do something. My problem is when I run FIGARCH(0,d,1), OxEdit still show me a matrix with variable names, coefficient, s.e, t-stat... like this ...
2
votes
2answers
178 views

Source for real-time tick data (stock price, etc.) updated every second?

For educational purposes, I'm looking for a source for now's real-time tick data for stock prices, or FOREX, etc., with a 1 second precision. Is there such free data feed? If not, could such data be ...
4
votes
3answers
459 views

Where can end-of-day price volume data for Japanese stocks be downloaded or subscribed to?

Yahoo finance and google finance do not provide such data. Where can one download Japanese stock data?
1
vote
1answer
89 views

Template for Bloomberg terminal [closed]

I'm working on my master's thesis and I need to extract data from the Bloomberg Terminal. I'm rather inexperienced when it comes to using the Terminals many features. The data I need is for the ...
0
votes
0answers
31 views

Principal components in treasuries: spot vs futures

I'm looking to use first few principal components of the US treasury yields for trading, and have choice of using either the data for treasuries themselves, or for the corresponding futures contracts. ...
1
vote
2answers
196 views

Calculate weekly returns from daily stock prices?

If I have log returns for a specific stock, then the weekly log return is the log of Friday's closing price minus the log of Monday's closing price, i.e. $R_{weekly} = log(Price_{Friday}) - log(Price_{...
1
vote
0answers
27 views

What I find if I bootstrap a binary logistic regression?

I want to describe the direction of some stock returns, using as predictors several independent variables which are uncorrelated. The relation in which I am interested is between the stock returns and ...
0
votes
1answer
61 views

Which value to use as shape parameter for Black-Scholes lognormal distribution?

When working with Scipy, lognomal distribution is defined by 3 parameters: the median (loc), the scale (standard deviation or, in our case, the implied volatility) and the shape parameter. But, which ...
0
votes
0answers
27 views

Are Morningstar performance prices split & dividend adjusted?

I was looking at the close prices of Morningstar and I could not figure out whether they are split and dividend adjusted or just split adjusted. Example : http://performance.morningstar.com/stock/...

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