# All Questions

170 views

### Calculating Bollinger Band Correctly

My bollinger band comes out like the below, which doesn't seem right. Any idea what is wrong with my code for calculating upper and lower bollinber bands? I obtained my data from here ...
50 views

### forward implied volatility skew

I would like to calculate implied forward volatility skew. I have stochastic volatility monte carlo. What kind of payoff do I need to price and how to use Black() formula to calculate the implied ...
41 views

### Elicitability of risk measures

I read that CVaR (Conditional Value-at-Risk, also Expected Shortfall), satisfies coherence, but not Elicitability. On the other hand, VaR satisfies Elicitability, but not coherence. What is ...
194 views

### Validity of CAPM

I came across some literature regarding "Framing Theory" or "Prospect Theory", and the validity of CAPM. I was wondering if you could shed some light on a few questions I have in this regard: ...
127 views

### Are there providers of delayed market depth data (DOM, Level II, Order-by-Order, etc)?

I have market depth data visualization software, and I want to create a free version for introduction. As far as I know, exchanges allow to distribute their data for free for the end-users, but only ...
155 views

### Show that $E[B_t|\mathscr{F}_s] = B_s$

Given prob space $(\Omega, \mathscr{F}, P)$ and a Wiener process $(W_t)_{t \geq 0}$, define filtration $\mathscr{F}_t = \sigma(W_u : u \leq t)$ Let $(B_t)_{t \geq 0}$ where $B_t = W_t^3 - 3tW_t$. ...
143 views

### Determine $E[W_p W_q W_r]$

Given prob space $(\Omega, \mathscr{F}, P)$ and a Wiener process $(W_t)_{t \geq 0}$, define filtration $\mathscr{F}_t = \sigma(W_u : u \leq t)$ Let 0 < p < q < r. Determine $E[W_p W_q W_r]$. ...
48 views

### Bond Interest Rate Swap Growth Rate [closed]

this should not be here because it shouldn't be here forever and eve
31 views

### conservative approach payoff table

With the conservative approach, we choose the decision which maximises minimum payoff. I was wondering which decision is chosen if 2 decisions have equal minimum payoff (which is the maximum)? ...
632 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 ...
113 views

### Portfolio Turnover Constraint

I have a few bonds and OAS and Duration for each. I had a Linear programming type of problem where I had to maximize OAS and keep duration <= constraint. There are few other constraints. I could ...
310 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.
74 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% ...
60 views

### Volatility estimation: sampling frequency and scaling

I have a year long stock data sampled at 5 min frequency and would like to estimate monthly volatility using it. I am thinking using GARCH or TGARCH for volatility estimation. However, I am not sure ...
103 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 ...
73 views

### What is the fastest way to decode the FAST protocol for market data?

What kind of technology are people using these days for decoding FAST? Can FPGA be used in that area?
139 views

### Particular kind of market game

This question concerns game theory and market equilibria which is rarely of focus here at QSE, but at the same time I believe this is a more appropriate place for such question rather than MSE. ...
489 views

### HFT enhancements for FIX (Simple Binary Encoding) vs proprietary protocols performance and cost

I would like to know from those that have used FIX (with Simple Binary Encoding) for HFT compares with the current (proprietary) protocols in use that often vary per counterparty. Interested in ...
160 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 ...
20 views

### Value of a portfolio with a collar option and shares as function of a log return …?

I could use some help with a question I've been stuck with. It's stated as follows, A private investor owns a large quantity of shares of a single stock and is worried about the position being too ...
44 views

### seasonality and generalized additive model

I am reading a report which talks about seasonality. There is a chart showing the average returns for each month of the year. In the chart it appears the last 3 months of the year tend to be negative. ...
70 views

### ISLAMIC FINANCE WACC

I need to calculate WACC for copany operating in the coutry with islamic finance system. I used build-up method to calculate cost of equity. But still searching for cost of debt in the economy. Has ...
45 views

### How to reduce fx currency pairs ? PCA or other tools?

I have 19 currency pairs like USD.AUD, USD.CAD, etc. Also 82 cross currency pairs like AUD.CAD, EUR.AUD,EUR.CAD etc. When I look to their graphs, most look similar, so I want to reduce number of pair ...
15k views

### How to calculate unlevered beta

I have derived a firm's cost of equity using the WACC formula (see here), which means that the cost of equity has factored in the firms' debt (i.e. levered beta) and now I need to calculate the firm's ...
22 views

### “Adding” risk-free asset to covariance matrix after the fact

Given a covariance matrix that was calculated from the returns of a number of risky assets. Is there a way to "add" a risk-free asset to the covariance matrix without calculating its covariance with ...
2k views

### What is “Flow Interest Rates”?

Looking at quant roles I keep seeing 'Flow Interest Rates' or 'Interest Rate Flow' - what does this refer to?
131 views

### Looking for a pricing library supporting Mutli-curve Framework

I am looking for a builder of Yield curves by tenors (O/N, 1M, 3M, 6M, 12M) respect to a given discount curve based on multi-curve framework as described below : Interest-rate Modelling with Multiple ...
453 views

I am reading a paper that very briefly talks about some volatility arbitrage strategies. It's so brief that I do not exactly understand how it works. It says one of the strategy is based on "short ...
118 views

### Natural gas forward price modelling

I'm looking to learn about gas price modeling, in particular models of forward prices. I've studied "classical" mathematical finance, fixed income theory et cetera. I'm looking for good references ...
148 views

### Is linear programming important for quant?

I'm thinking about taking a course on Linear and Convex Programming, but I don't know how useful it is in the real world finance. Which areas in finance is mathematical programming used?
42 views

### finding the strike / maturity of warrants given their ISINs

I have a list of French traded warrants identified by their ISINs. I do not know, however, to which stock they refer and what is their strike/maturity. Which datasets allow me to retrieve this ...
197 views

### Johansen Cointegration Test

I just performed a Johansen Co-integration test on two stocks. The results I get are: ans = r0 r1 t1 true false I am using Matlab. Can ...
325 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 ...
101 views

### GMM time-series regression factor model with factors that are not returns

Factor models with factors that are not returns are usually estimated and tested by cross-sectional regressions. However, there is a way to use time-series regression to estimate and test the model. ...
65 views

### What are the roles of “Game theory” and “optimisation (linear, integer, conic)” in Finance, Mathematical Finance? [closed]

Would you please give me some information about application of "Game theory" and "Optimisation" in Finance and Mathematical Finance? which is more important to know and learn? How about ...
148 views

### News on ETF sector performance

I am interested to find historical news (if any) associated with intraday volatility burst in a particular ETFs like ishares IYF (Financials). So say that between 12:00 - 12:10pm, the ETF IYF's stock ...
69 views

### CAPM (SML) Problem

I got 1.3636 for beta for the problem below(165/121). But I became so unsure about the answer when I solved (c) because then the market risk becomes larger than the variance of Stock A. ...
164 views

### Bond Portfolio Immunization - Duration Matching

**Question is at the bottom** Suppose you have a portfolio of bonds A, B, and C with the following characteristics: (the "Frequency" column is the # of coupon pmts per year and also the # of ...
48 views

### Where can I find a guide to implement the FAST protocol from scratch having already a FIX implementation ready?

I need to implement a FAST engine from scratch without using any open source or commercial FAST implementations. The FAST spec does not help much so I am not sure from where to start. Have anyone done ...
43 views

### How to map shocks from VAR to news? (Academics)

I am trying to map shocks from VAR to discount-rate and cash-flows news following the paper of Campbell and Vuolteenaho (2004). It is said that news are a linear combination of shocks from VAR at ...
125 views

### Interpolation on CDS rates

I am just wondering if there is any way we could calculate a CDS Spread (not harzard rate) on a CDS curve. Most of the papers that I have come across so far discuss about interpolating the hazard ...
77 views

### Choosing broker to run with Zipline

Which brokers offer Python integration/API? Which brokers offer R integration? I'm starting on trading, and I want to learn about algorithm trading. So I would like to know what brokers offers these ...
168 views

### Empirical copula

I am trying to find the empirical copula linking two random variables $X$ and $Y$. I have some data available but it's limited with respect to the variable $Y$ and I am not convinced it's enough data ...
22 views

### Interest rate on loan for purchasing Sterling bond

I am struggling trying to find out where they get the $8$% interest rate for the loan you make to purchase the Sterling Bond in the following strategy: Problem: Suppose that $A(0)$ = $100$ and ...
129 views

### Calibrating an Ornstein Uhlenbeck process on residuals of regression

I am trying a basic statistical arbitrage strategy as follows: Perform PCA on a log return series of a basket of stocks Regress returns against top principal components identified Calculate the ...
354 views

### How to account for market movement when some exchanges are closed?

Daily data, such as open and close prices, is often available for much longer periods than high-frequency data. However, whenever backtesting any strategy that examines instruments traded in different ...
131 views

### Intraday Data - Stylized Facts?

Can someone give an overview or literature on Intraday Data Stylized Facts? In particular for equity market returns or exchange rates.
2k views

### How to normalize stock data

Please advise how can i normalize stock prices. Recently, I've been using such formulas: Log prices = Ln(Close(t)) Close(t)-Mean (Close(t)-Mean)/(StdDev) Ln(Close(t))-Mean Is there any other ...