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/...
1
vote
0answers
19 views

Does the FF 3-Factor model work with unadjusted prices?

I am trying to investigate some trading strategies based on the Fama French 3-factor model, for which I assumed I need to use adjusted prices to account for dividends and splits. However, my ...
0
votes
0answers
18 views

How to attribute the PL dollar impact of change in basis for cross currency basis swaps

I have a portfolio of foreign bonds that were hedged using fixed to floating interest rate swaps and then converted back to domestic currency via cross currency basis swaps. How do I calculate the P&...
1
vote
1answer
54 views

Parametric bootstrap in generating returns and hypothesis testing

I am trying to test a hypothesis of a statistic calculated from portfolio returns. To do so I estimate a model on the original returns series and want to obtain 100 bootstrapped series using ...
4
votes
1answer
402 views

How to optimize return in a moving average crossover algorithm

Moving average crossover strategy is a widely used strategy in algo trading. Is there a way to optimize return in a moving average crossover stratergy. I have used this site to backtest MA crossover ...
5
votes
1answer
62 views

Where to find E-mini S&P options price data or chart?

ES futures price data is easy to find, e.g. on Yahoo finance or with a free NinjaTrader demo account. I'm looking for the same for options on that futures contract. The best I could find is the ...
2
votes
2answers
149 views

Normalizing SPY ETF time series data with its sector ETFs?

I am looking to compare the returns of a sector rotation strategy between the various SPDR sector ETFs XLY, XLP, XLE, XLF, XLV, XLI, XLB, XLK, XLU vs. ...
3
votes
2answers
99 views

Derive an expression for the value of the asset as a function of time, V(t), t>=0

An investor deposits USD 300 in a bank account at time 0, reinvests all interest payments and continuously invests USD 300 per annum, until the total value of the deposits reaches USD 3312. At that ...
1
vote
0answers
25 views

Embedding the naive portfolio into economic decision theory

I am trying to gain some insights about the vast literature of portfolio optimization and I hope to get some help when it comes to embed the most standard allocation strategies into a coherent ...
0
votes
1answer
75 views

Strategies on steepen yield curve

Believe that the yield curve is going to steepen very soon. It may be fall in short-term rates, a rise in long-term rates, or some combination of these. What strategy should we pursue in the bond ...
3
votes
1answer
61 views

Expected returns vs expected prices?

This may be the most stupid question ever asked here, so sorry in advance for asking it. Suppose we have a single period security which gives dividend $D_{t+1}$ and has current price $P_t$. By ...
1
vote
0answers
74 views

To calculate shift in the shifted lognormal model

I tried to calculate the shift for CHF interest rates (tenors with negative rates) using MLE, but as the shift is increased the MLE value increases(or decreases depending on whether positive or ...
3
votes
1answer
89 views

Using Market Gamma to Predict FX Trading Environments

I want to test a hypothesis about using gamma to predict FX movements. Suppose that market makers will seek to be delta neutral given their portfolio of FX options. At any given time, market makers ...
0
votes
0answers
11 views

Video Metadata Backtest

If you were to Backtest data extracted from video feeds, let's say for commodities. How many years/hours of video would you desire? The video repository is currently harvested going back 5 years and ...
5
votes
1answer
220 views

Implications of shifting the lognormal model for forward rates from a probability perspective

I have a question regarding the application of a shift to the Black-Scholes formula for negative forward rates. I am reading in the Brigo book that "increasing the shift $\alpha$ shifts the ...
1
vote
1answer
56 views

Events effect on intraday volatility and large outliers

I have an event that takes place over a period of a few days, and I want to estimate the effect it has on market volatility using intraday data with one minute frequency. The problem is, that e.g. ...
0
votes
0answers
29 views

Approximating the conditional expectation in simulations

I am simulating stock returns, which are governed by the following equations $r_t = \mu + \delta r_{t-1} + \sigma_t z_t$ $\sigma^2_t = \omega + \alpha \varepsilon_{t-1}^2 + \beta \sigma^2_{t-1}$ $\...
0
votes
0answers
20 views

FFT spread option price

Hurd and Zhou (2010) proposed a FFT-based method to calculate the spread option price. $\Phi$ is the characteristic function of $\log$-return and But I did not implement it successfully. Who has ...
0
votes
0answers
87 views

backtest asset allocation strategies

I've searched the site but haven't found an easy way to backtest my personal portfolio allocations. Suppose I want to know the total return for the following portfolio from Jan 1, 2009 to Dec 31, 2014:...
3
votes
2answers
45 views

Dealing with a constraint which is the square root of a quadratic form

I'm trying to maximize my portfolio, but don't know how to deal with the constraint which is on the form max $2u^Tx-x^T \Sigma x$ Subject to $e^Tx = 1$ $u^Tx - m (x^T \Sigma x)^{1/2} >= c $ ...
4
votes
0answers
37 views

delta hedging with stochastic volatility

In my thesis I want to work with delta hedging with stochastic volatility using Black-Scholes model. How will you suggest I implement numerical solutions using data from the real world? Beside Monte ...
1
vote
0answers
53 views

Euler discretization bias, heston model

I am performing option pricing using Heston model and Euler discretization. I'm getting the following result: ...
2
votes
1answer
168 views

netfonds.no - High Frequency Data

I originally got the idea from Python for Finance. But there are nomerous other examples on how to get high Netfonds (here and here). They don't seem to work any more: http://hopey.netfonds.no/...
0
votes
0answers
28 views

derive variance of a portfolio

I'm stuck on a derivation of the variance of a portfolio of securities $K_1,K_2$ formula The end result is $Var(K_v) = w_1^2Var(K_1)+w_2^2var(K_2)+2w_1w_2cov(k_1,k_2)$ Proof so far: Let $K_v = ...
1
vote
3answers
23 views

find the qth lower tail quantile

I have daily currency returns. For each month, I have to find the return associated to the 5% lower tail quantile for each currency (the lowest return or the second lowest return). Could you please ...
2
votes
2answers
61 views

Difference in Volatility Calculation from RiskMetrics 1996 to RiskMetrics 2006 VaR

In the original legacy RiskMetrics documentation from 1996, volatility is calculated using a simple exponentially weighted moving average with some decay factor to determine the weights. This would be ...
2
votes
1answer
18 views

why do we use greater than or equal to for submartingale?

I've just learned about martingale, but i could not find any reason that we use greater than or equal to sign when we define submartingale. In stead of using greater than or equal to symbol, can't we ...
0
votes
2answers
329 views

Why does the price of a convertible bond go up if the CDS spread goes up?

Looking at convertible bond prices in a commercial pricing tool, which is based on a model of Black-Scholes volatility plus a Poisson process of jump to default, I noticed that increasing the spread ...
2
votes
1answer
121 views

Simulating returns from ARMA(1,0)-GARCH(1,1) model

I want to obtain a simulation of one-step ahead forecasts of stock returns process governed by ARMA(1,0)-GARCH(1,1) process. The returns are of form: $x_t = \mu + \delta x_{t-1} + \sigma_t z_t$ From ...
1
vote
0answers
38 views

Inverse Smile Volatility Ibex35

I was analysing ibex implied volatility and when I draw it I found it was reversed: X axis are the strikes and Y axis implied volatilities calculated by BS. The blue line is the spot price. Data (...
4
votes
1answer
301 views

Does Matlab support exogenous variables in GARCH models?

Is it possible to introduce dummy variables or explanatory variables in the GARCH variance equation (garchset and garchfit) in ...
4
votes
3answers
96 views

CIR model and calibration

I am new to quantitative finance. We know that in the CIR model the short rate can't go negative. My question then concerns calibration of CIR to a ZCB yield curve. Is it (and why?) possible to ...
8
votes
3answers
235 views

Why is volatility said to be persistent?

Persistence in volatility of stock returns is one of the common 'stylized facts' when it comes to analyzing time series. However, I am wondering for theoretical arguments why (estimated) volatility ...
3
votes
1answer
32 views

prove the normality, with given moments, of this process:

I have this process: $dx_t = -\frac{k}{2}x_tdt + \frac{\beta}{2}dz_t$ and must prove it's normally distributed with first two moments: $\mu = e^{-\frac{1}{2}kt}x_0$ $\sigma^2 = \frac{\beta^2}{4k}(...
0
votes
0answers
25 views

What kind of crisis can drag Implied Volatility down globally?

I want to trade buying long straddles with low IV ranks. I wonder what could be a crisis for me. I believe any kind of economical crisis would increase the IV. What happening could be a crisis for me? ...
1
vote
0answers
18 views

how to specify given model on Eviews?

I am still struggling to estimate my model on Eviews. I know it should be really simplistic to do it,but without in depth Eviews knowledge it can be rather tricky. For instance, looking at the ...
3
votes
1answer
44 views

Use no dominance to show that the price of the call option satisfies the inequality

Assumption 2.1 - If the payoff $P$ of a financial instrument is non negative, then the price $p$ of the financial instrument is non negative. Assume $C$ is just the price of the call option, and $C^...
6
votes
0answers
78 views

recent developments in American options?

I have read the paper written by Egloff (2005) using machine learning techniques to solve the optimal stopping problem. Is there any development in pricing American options during 2005-2016? (based ...

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