# All Questions

202 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 ...
154 views

### How does logging effect Quickfix performance?

I am using .net/c++ version of quickfix. How does logging effect Quickfix performance? If I disable logging to file, can it help to increase performance of quickfix? Thanks,
133 views

### Which is the better risk sensitive measure?

Consider the two following optimization problem 1) $$\min_{\theta} \ln E_{\theta}[ e^{X}]$$ 2) $$\min_{\theta} E_{\theta}[ X]$$ with the constraint $$Var_{\theta}[X] <c$$ Is it true that ...
22 views

### How to calculate cash flow for XC swap

Given 3MLibor vs 12MLibor USD basis swap the 3M Libor is exchanged at 12MLibor+1%. How to calculate the cash flow
27 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 ...
33 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 ...
34 views

### How Does a Put Option Work? [closed]

I finally got to the options section of my finance book and I don't understand put options. Here's my problem: Suppose I buy a put option for one dollar at time $t_0$; the option is to sell one share ...
30 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 ...
60 views

### How does Yahoo finance calculate Beta?

I am trying to replicate the beta value that yahoo calculates but I am getting different results. According to Yahoo, its beta is calculated using 5 year returns against the SP500: yahoo beta I ...
19 views

### Forex P&l Attribution on Physical Forward position

Please validate my unrealized Fx P&L calculation on the commodity forward contract e.g. consider i have bought 1 MT of wheat at 300 EURO my financial currency for company is USD. I am using below ...
97 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 ...
390 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 ...
129 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 ...
113 views

43 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 ...
726 views

### Historical volatility from close prices (Haug pg 166)

I have implemented a function for calculating historical volatility using close the close method as described by Haug on page 166. When I implemented the formula given by Haug, it resulted in some ...
578 views

### What open source trading platform are available

I would like to compile a list of open source trading platforms. Something that would give an overview and comparison of different architectures and approaches.
101 views

### option pricing with limitation on the change of underlying daily changes

how are we supposed to price an European option given the fact that the daily return of the underlying is limited within -X% to X%? For example, if X = 5, the price of the underlying cannot go up 8% ...
121 views

### How to projectP&L or drawdowns on pair trading , trading and portfolios?

This is for planning and risk management. I am stuck on the following thoughts - Back-test the trading strategy for a period similar to the one you expect and then project. Do the above using ...
256 views

### How to calculate the volatility matrix with multiple stocks

calculating the volatility for a single stock is straightforward. However, I'm not sure whether my approach for calculating the volatility matrix for multiple stocks is correct: I assume a log-normal ...
516 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 ...
35 views

### Kolmogorov-Smirnov test for Generalized Pareto Distribution

I've fitted my data to a generalized pareto distribution as to model the returns in the tails more accurately. The interior is fitted with kernel distributions. I would like to now test whether the ...
174 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 ...
96 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?
51 views

### UST Yield Curve Forecasting - Bond Structure Testing

I have a project in mind that I am working on, but have little idea where to start. I am a relative newcomer to python (about 1 years exp.) and limited knowledge of quant finance. What I would like ...
44 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?
14 views

### garchFit formula problems in R

I am working on a Financial Time Series project in R. I am using GMVP.R which has this line: m1=garchFit(~1+garch(1,2),data=rtn[1:t,i],trace=F) I am trying to understand what the 1 before ...
87 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 ...
47 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 ...
61 views

### IR Yield Curve and Fixing Dates

Consider two FRAs. 3x6 , Effective 3 months from now, terminates in 6 months. The floating leg payer pays 3-month LIBOR. Fixing date for LIBOR 40 business days. To price this at par, the fixed leg ...
63 views

### Financial risk and Matlab

What toolbox are more suitable for a risk analyst. I found this: Optimization toolbox Global optimization toolbox Econometrics toolbox Financial toolbox Statistics toolbox And also I have as a ...
46 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 ...