# All Questions

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### Philips-Ouliaris test for cointegration

I'm trying to implement cointegration tests using the R urca package. I've figured out the Johansen test (ca.jo), but I'm having trouble with the Philips-Ouliaris test (ca.po). I have two questions: ...
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### What does it mean to adjust for short-run liquidity in finding risk-free rate of return

Risk-free rate of return should equal the expected long-run growth rate of the economy with an adjustment for short-run liquidity. What is meant by the last phrase, "adjustment for short-run ...
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### How to determine ratios for mean-reverting basket

Suppose I have a basket of 3 securities A, B, and C. I believe that the basket is cointegrated and I want to create a mean-reverting trade. I fit the model: ...
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### Is Bitcoin a trending or a ranging market at the moment? [migrated]

Is the Bitcoin market trending or ranging market at the moment? If so how can i determine whether a market is a trending or a ranging market. Thanks. :)
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### BSYM for historical tickers

When looking through Bloomberg's BSYM data ADR and Common Stock data (5/2/13), I was able to find the ticker symbol 'V' associated with Visa but was unable to find any record for Vivendi, which I ...
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### question about Mean Variance optimization in C# [closed]

I just found (probably) mean variance optimizator on MSDN site with Microsoft Solver 3.0 (see, this link). Is this valid code/approach to calculate weights of each position in sound of mean variance ...
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### RQuantLib: any difference between FixedRateBond() and FixedRateBondPriceByYield() with flat term structure?

Please, consider the following functions from RQuantLib package: FixedRateBond() ...
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### Arbitrage: Difference Between Liquidity Taking and Liquidity Making [closed]

Liquidity Taking If X is trading for 22 USD at Exchange-A and 20 USD at Exchange-B, someone can sell their X at ExchangeA and buy back X at Exchange-B for a 2 USD profit. Liquidity Making If ...
124 views

### Bond curve extrapolation

What are the best methods to extrapolate bond yields from an existing curve that doesn't extend quite this far? For example, how would one come about finding a theoretical bond yield for a 40 or 50 ...
151 views

### Trading days or calendar days for Black-Scholes parameters?

Black-Scholes requires volatility estimated in trading days. How does this affect other parameters? Specifically, should the time-to-expiration also be in trading days? And how does this affect the ...
2k views

### How to calculate equally weighted market portfolio

There's two studies that test the same thing in different markets (i.e. they apply the identical methodology). They state: 1) "$R_{mt}$ is the equally weighted average stock return in the dual-listed ...
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### In Black-Scholes, why is $\log{\frac{S_{t+\triangle t}}{S_t}} \sim \phi{((\mu - \frac{1}{2}\sigma^2)\triangle t, \sigma^2 \triangle t)}$?

Namely, I dont understand why the mean is $(\mu - \frac{1}{2}\sigma^2)\triangle t$ and not just $\mu \triangle t$. I am aware that it is supposed to represent a lognormal distribution, but I guess I'm ...
324 views

### Predict Quadratic Trend in Time Series

Can anyone kindly point out if I made any mistakes in making predictions using quadratic regression model in time series? I called the predict() function with the appropriate data vector and model, ...
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### Literature in Quantitative Finance [duplicate]

I'm now reading a book by B. Mandelbrot about fractals and finance. It's very interesting to see a different approach from BS—the different step made by the author and how he dealt with usual ...
One site suggested the difference is that the warrant in the bond with warrant is a fixed price on company stock. E.g. for a \$1000 bond, you can buy 500 shares at \$2 each. And that convertible bonds ...