All Questions

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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 ...
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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 ...
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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 ...
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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,...
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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 ...
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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 ...
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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 ...
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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 ...
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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 ...
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?
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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 ...
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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. ...
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_{...
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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 ...