# All Questions

2answers
479 views

### Malliavin Calculus

From a quant point of view, how would you explain Malliavin calculus in few words ? I have the level to take these courses, but won't be able to do it next year, so I want to know what I am missing. ...
1answer
124 views

### LMM. Calibration to swaptions by Brigo and Morini. Volatility of swaption that matures at T=0

I'm reading Brigo D., Mercurio F. Interest Rate Models - Theory and Practice (Springer, 2006)(ISBN 3540221492) and also a source article on LMM cascade calibration to swaptions by Brigo and Morini. I ...
1answer
98 views

### What are the empirical limitations to testing market efficiency?

I have encountered a rather elegant argument about the limitations of empirically testing for market efficiency, involving the central point that we do not know whether a result is due to the "true ...
2answers
153 views

### Free access to official real-time and intraday data for exchanges [duplicate]

Where can I obtain all official real-time and intraday data for exchanges — NASDAQ, NYSE, AMEX, OTC, CME, etc? I feel like the raw data is out there to be consumed and parsed at no cost (except the ...
1answer
371 views

### What good papers of short term (<30 seconds) volatility estimation [duplicate]

I am looking for good papers of short term (<30 sec) volatility estimation AND short term volatility forecasting. Do you have something in mind ?
5answers
326 views

### Can classical economics explain *any* of the so-called stylized facts of finance?

I am doing some reading on the (historical) emergence of the Black-Scholes implied volatility smile for index options (yes - post 87), and I stumbled across an economic paper attempting to explain the ...
1answer
63 views

### How consequential are violations of the efficient diversification assumption of asset pricing models?

When using asset pricing models such as the CAPM or the Fama-French four factor model to determine the risk-adjusted return of a portfolio, does this strictly require efficient diversification of the ...
1answer
68 views

### What are the units of the variables appearing in a standard stochastic differential equation for a Wiener process?

The Black Scholes model assumes the following form for the Wiener process describing the evolution of the stock price S: $dS=\mu S dt + \sigma S dX$ Clearly $S$ ...
1answer
75 views

### How does Reuters quote caps?

I'm wondering which curves should I use when passing from the Implied volatility to prices. When I read an implied volatility (for instance 3Y Cap strike 0.5%) the discounts and forward rate ...
1answer
71 views

### Maximizing utility subject to a wealth constraint

Let $\tilde{E}$ be the risk neutral expectation, and $X_t$ the wealth that time t and $R$ the return of a risk-free investment. Consider maximizing the function $EU(X_N)$ subject to ...
0answers
146 views

### What is the best real time data feed - IQFeed, kinetick.com, etc?

This is my first post, and I know of quant's vast knowledge base of the users. Thanks in advance for any assistance. Any quantitative testing, benchmarking, expected lag, true numbers comparing all ...
1answer
138 views

### ARIMA model, cannot get rid of low order ACF spike

I've gone through all the steps to fit a good ARIMA model - I plotted the data, I looked at the ADF tests, I looked at the ACF plot with no AR and MA terms just a constants. I came up with an ...
1answer
194 views

### Technical Analysis in FX: literature on effective methods

I am trying to use technical analysis method (Kagi and Renko method in particular) to analyse my high frequency data. I applied those methods over 1 year, 2 years and 5 years high frequency data. I ...
1answer
333 views

### Python code to download historical firm data

I am looking for a Python code that scraps a website to download historical firm data such as market capitalization, dividend-yield, and so on. I have a code that downloads the current firm data from ...
1answer
67 views

### Am I in a long or short position in this case? (Cross hedging)

An airline expects to purchase 2 million gallons of jet fuel in 1 month and decides to use heating oil futures for hedging. The variance of the heating oil futures price is 1,5 times bigger then the ...
1answer
594 views

### What is Prompt Date Structure?

In LME website Prompt Date Structure is explained as this. Why there are prompt dates? LME trading calendar isn't universal to all other calanedars found in the market. So how do "Non-tradable dates ...
1answer
55 views

### Is this process predictable or not?

Consider a market model with two assets which are modeled as usual by the stochastic process $S^0$ and $S^1$, that is adapted to the filtration. Can anyone tell if this process is predictable or ...
1answer
110 views

### Do people hedge with leveraged ETFs intraday? How?

Seems that the answer to the first part should be yes, but haven't seen any references or examples. E.g. suppose I want to hedge XLF position with FAZ. Do people use close to current returns, or just ...
1answer
85 views

### If the risk neutral probability measure and the real probability measure should coincide

Sorry if this may be a stupid question. I have not had that much mathematical finance, I've only learned about discrete time models. But lets for the argument say that you have a stochastic process ...
3answers
151 views

### Black scholes OTC

Let's say you want to find the fair price of a call option. One way is to use the black scholes formula. This assumes you can delta-hedge the underlying asset and the option to eliminate risk, and ...
1answer
42 views

### Currency Portfolio G10 vs USD allocation

Given that I have fundamental data such as GDP growth rate for G10 countries .Now I want to build a currency pairs portfolio of G10 currencies vs USD .How can I translate country scores to currency ...
1answer
60 views

### Geometric Return & Performance Results for Quarterly Rebalancing

I have a Portfolio that is rebalanced every 3-months. The portfolio is made up of assets that have daily log-returns. I am a bit confused when charting the results using ...
1answer
40 views

### End-of-day holdings vs overnight inventory

I am wondering whether these two terms identify the same thing: overnight inventory end-of-day holdings The way I would explain it intuitively, the inventory that is held overnight should be ...
1answer
289 views

### Is inverted Japanese style curve persistent when negative rates are real / market - observed?

Are the inverted (Japanese style) governmental yield curves being a sign a recession/credit risk or should they be modelled as being due to a lack of liquidity? (...with such curves evolving into a ...
1answer
272 views

### Step-by-Step PCA algorithm (checking correctness without math packages)

I would appreciate if someone could correct me if i am wrong in my suggestion. I am using PCA to : find measure of cointegration between selected assets find the eigenvector and its portfolio with ...
0answers
17 views

### discounted price economic meaning

Could you please explain why we discount the prices using bank account or some numeraire, what is its economic meaning. Specifically The movement of the security prices relative to each other ...
1answer
119 views

### Skew in Black Scholes model

We are modeling Foreign exchange rates using Black Scholes model given below: $$F_{t}=F_{t−1} + (r_d−r_f)F_{t−1}dt + \sigma F_{t−1}dW_t$$ Where: $F_t$ and $F_{t−1}$ are FX rates at time $t$ and ...
1answer
128 views

### Arrow-Debreu Price in “The Volatility Smile and its implied Tree”

I was reading the old, but still interesting paper "The volatility smile and its implied tree" by Derman and Kani. I have a two questions about the derivation of the $2n+1$ equations, both of them ...
0answers
49 views

### Jensen's alpha with timing activities

Why is Jensen’s Alpha not an appropriate measure of performance anymore, if the fund manager is a perfect market timer as stated for example in the Treynor-Mazuy-model or the Henriksson-Merton-model?
1answer
44 views

### Calculating “Market Index Dividend Yield” of the ASX

In attempts to establish an investment portfolio with a long term horizon, the method of relative dividend yield has caught my attention. I require the Market Index Dividend Yield to proceed. The ...
1answer
76 views

### Backtesting software with custom data input

I was considering to develop a custom backtesting platform for myself. However, I see that it would require some significant time and effort, and the result might not be as initially expected. So I ...
1answer
486 views

### How to Calculate Confidence Intervals for Moving Averages Given Nonindependence?

I've plotted 30-year moving averages across time for a couple of portfolios, and I was wondering how to calculate a 95% CI for the these moving average data (i.e., across all moving average data ...
1answer
33 views

### Importing daily data: '-1' in volume column

I am working on importing some daily data from a public data source as csv format. The csv convention of the file seems to be that if data is not available for a field, a single white space is used ...
1answer
74 views

### Stripping projection curve

What is meant by the statement below: "Stripping projection curve (e.g. 3M curve) given the OIS curve" I understand that while bootstrapping an OIS curve using OIS swap rates and OIS fixed rates, we ...
1answer
38 views

### What are the technical events that fluctuate quoted asset (e.g. forex) prices? How does it relate to the purchase of currency contracts?

This is a generic question about the quotations of assets but for the sake of reducing ambiguity, let's consider the EUR/USD exchange rate. If the answer varies for other asset classes, please note ...
0answers
148 views

### Integral-differential equation for forward rates

I am struggling in this question: Let $P(t,T)$ denote the price of a zero-coupon bond (with marturity at time $T$) at time $t \in [0,T]$. As usual, at time $t$ for maturity $T$, the forward rate is ...
1answer
568 views

### Backtesting with fundamentals

Recently I've read some books about quantative approach to fundamental investing: - What works on Wall Street - James O'Shaughnessy - Quantitative Value - Wesley Gray, Tobias Carlisle - Quantitative ...
3answers
140 views

### Where can I find a correlation matrix between the revenues of different industries?

I don't need something super complicated, I would just like a quick and dirty way of estimating the correlation coefficients between the revenues of different companies. Information on companies in ...
6answers
375 views

### Find the order of an ARMA model (q & p )

I fit an ARMA model in Matlab and before I calculate the predicted value with the prediction error I set the order $(p,q)$ to some random value. But how can I determine the number of AR (p) and MA ...
0answers
26 views

1answer
134 views

### Obtaining logical lists of Bloomberg security codes in Excel

I am using Bloomberg's BDP and BDH functions in excel to retrieve data for a set of options. The problem is that (as underlying prices move and expiration dates come and go) option strikes are ...

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