2
votes
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 ...
1
vote
1answer
86 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 ...
0
votes
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 ...
0
votes
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 ...
1
vote
1answer
61 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 ...
1
vote
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 ...
3
votes
1answer
290 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 ...
0
votes
1answer
273 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 ...
0
votes
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 ...
0
votes
1answer
120 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 ...
1
vote
1answer
129 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 ...
1
vote
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?
0
votes
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 ...
0
votes
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 ...
3
votes
1answer
490 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 ...
0
votes
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 ...
0
votes
1answer
75 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 ...
0
votes
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 ...
4
votes
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 ...
2
votes
1answer
569 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 ...
0
votes
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 ...
4
votes
6answers
385 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 ...
0
votes
0answers
26 views

How to calculate APR on term year

What is the APR on a $$300,000 fixed rate loan amortized over 30 years but due in 10 years if the stated annual interest rate is 5.0% and the lender charges 2% as an origination fee, $18 for a credit ...
0
votes
1answer
36 views

Where to get analysts' earnings estimates data? [duplicate]

I know thomsonreuters provide analysts' earnings estimates data. Is there any sources I could get it for free? For example, this website has analysts' earnings data. What's the source of this and how ...
1
vote
1answer
369 views

examples of c++ code with application to quant finance [closed]

I've some intermediate knowledge in C++. However, the knowledge is more of a theoretical nature and not applied to quant finance problems. I'm looking for good sources, code examples books blogs ...
6
votes
2answers
276 views

Why is this stochastic integral a martingale?

Suppose that: $W^*_t$ is a Wiener process under probability measure $\mathbb{P}^*$ and; $\tilde{S}_t=S_0+\sigma\int_{0}^{t}S(u)dW^*_s$. In my lecture notes, it says that $\tilde{S}_t$ is a ...
0
votes
0answers
52 views

For futures contracts, do we need to do price adjustment during live testing?

I am trying to do pair trading on a pair of future contracts, e.g. CME gold and silver. During the training of my trading model, I do forward adjustment on the pair of future contracts. Let the ...
5
votes
2answers
149 views

Portfolio Optimization to include ALL Securities?

I'm currently optimizing portfolio weights for an investment team with N stocks. We buy stocks with a conviction it will generate a return and it is up to me to determine weighting. However, with ...
0
votes
3answers
2k views

Which library shall I use for time series analysis in Java?

I'm looking for a library to do some time series analysis in Java but I can't find anything suitable. I've found plenty of libraries such as Math3 of JSAT but there's much I can you for my problem. ...
1
vote
1answer
72 views

What do I need to do with my data before fitting the ARIMA model?

I'm fitting a stock price time series data to ARIMA model and I have a question about the assumption. Is it that ARIMA only applies to stationary data? The ACF and PACF of the data (and the logged ...
7
votes
3answers
6k views

What is a medium to low frequency trading strategy and why is it less hyped?

The term high frequency trading has been used quite often recently to refer to trading using real-time tick data (or data aggregated to few seconds) and having an intra-day holding period. How are ...
2
votes
3answers
147 views

Pricing exotic option whose payout depends on the stopping time

I am struggling with this question: Let $B$ be a standard Brownian motion. In a Black-Scholes model, at time $t$, the stock price is given by \begin{equation} S_t = \exp \{ \sigma B_t + ( r- ...
4
votes
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 ...
1
vote
4answers
1k views

Is node.js being used in systematic trading software?

I have a project where I would like to track some tick data and create some indicators to follow it. I am thinking of using Node.js for this project, but I would like to know from those in industry if ...
7
votes
2answers
234 views

How to model natural gas forward price?

I'm looking to learn about gas price modeling, in particular models of forward prices. I've studied "classical" mathematical finance, fixed income theory etc. What are good references for stylized ...
1
vote
4answers
118 views

How to extrapolate VaR?

I have a model predicting 1-day VaR. How does 1-year VaR follow from it? Shall I just multiply by 365 or another method?
1
vote
1answer
169 views

Difference between CAPM and mean variance optimization

Is the mean variance optimization the same thing as the capital asset pricing model? Or is the mean variance only a part of CAPM?
5
votes
1answer
121 views

Intuition behind American Option pricing

The price of an American option is given by $$V_n = \max\left(G_n,\frac{pV_{n +1}H^d + qV_{n + 1}H^u}{1 + r}\right)$$ where p, q are the risk neutral probabilities. I have two questions: How can ...
2
votes
1answer
93 views

Book recommendation on robust optimization

I have a bachelors degree in economics and I took undergrad courses on mathematical optimization methods for economics and dynamic optimization in economics and econometrics. Now I'm taking an ...
1
vote
0answers
109 views

Risk measures, Risk Management and Financial Risk Area

I'm currently searching material about market risk and I learned about coherent risk measures, VaR, CVaR (or expected shortfall), volatility. All that because I have to make a Financial Risk Area for ...
2
votes
2answers
107 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
votes
1answer
100 views

Why didn't my order get filled?

So I placed an offer to sell a few liquid options on an already illiquid stock the other day. I put an offer to sell a deep OTM put, the market makers who had their offers in place had, lets say $1, ...
-1
votes
1answer
98 views

How to compute the historical VaR for a portfolio with long and short positions?

I would like to calculate historical Value at Risk for a portfolio that includes both long and short positions in forward contracts. The part that confuses me is that I wonder whether the VaR of the ...
2
votes
1answer
122 views

Yahoo finance inaccurate stock data

Why is Yahoo Finance historical stock price data inaccurate? See examples: AAPL - actual closing prices in 2012 when AAPL previously closed > $100/share adjusted ...
1
vote
1answer
85 views

Simulate from time-dependent copula in MatLab using COPULARND

I would like to simulate from a t-copula with time-dependent correlation matrices. Say I have a series of 2000 correlation matrices (obtained from a copula-DCC model for data consisting of 2000 ...
2
votes
1answer
136 views

Yahoo YQL missing industry “Industrial Metals & Minerals”

When I issue the following query select * from yahoo.finance.industry where id="133" I get the following results ...
1
vote
0answers
52 views

How to compare market values with model values after calibration?

After calibration the G2++ model for interest (with swaption volatilities), I want to statistically test the quality of the calibration by comparing market to model values. What is the best way to ...
4
votes
4answers
811 views

What's the algorithm behind Excel's ACCRINT?

This question was originally posted on Stackoverflow: As part of the Formula.js project, I'm trying to re-implement Excel's ACCRINT function (in JavaScript, but the language should not matter). I've ...
3
votes
2answers
88 views

Deriving credit spreads or migration matrices from prob of default

How do I derive credit migration/transition matrices or spreads from default probability? May you please provide references, or do you know what type of articles or authors to find?
2
votes
0answers
30 views

Sharpe Ratio for loans

I am trying to calculate the sharpe ratio for a set of loans. These loans have already matured and I know if they were good or not: grades are the different grades of the loans. interest rate is the ...

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