-1
votes
0answers
27 views

Convert volatility of log returns into volatility of asset (bollinger bands)

I am using a model to estimate the volatility of the log-returns of an asset (standard stochastic volatility model for info) The main question is: How can I find back the windowed volatility of this ...
0
votes
1answer
121 views

negative probabilities in the bivariate tree heston model

I am trying to implement the bivariate tree approach for the Heston model by Beliavea & Nawalkha. I currently have the problem that given the specifications in their examples, I always obtain ...
0
votes
1answer
49 views

Clean EOD global Equities data provider for backtesting investment strategies

I'm trying to find a good source for global equities for EOD data (historical and forward basis), currently using Bloomberg's back office data, but it is very hard to normalize it for corporate ...
1
vote
2answers
734 views

Forex brokers with free API compatible with Node.js

I have a Forex trading signal generator written in Node.js and now I am looking for a Forex broker with a free Node.js compatible API. The requirements are simple: be able to send new trade orders ...
3
votes
3answers
112 views

Parameters variation in fundraising financial model

I have created quite a large financial model in Excel with lots of input parameters which (after all calculations) have an influence on the output business indicators. Among the input parameters are ...
3
votes
2answers
127 views

Negative high frequency intraday volatility - Zhou estimator

To estimate high frequency tick data stock intraday volatility, I have read Robert Almgren's notes7.pdf http://www.cims.nyu.edu/~almgren/timeseries/notes7.pdf where he talks about the bias free ...
0
votes
0answers
27 views

hopey.netfonds.no data missing?

A while ago I took a break from computational/quantitative finance. However, when I started again recently, the data feed I used for tick data was broken, http://hopey.netfonds.no/tradedump.php and ...
1
vote
2answers
33 views

Leverage on ETF the same effect as on portfolio?

While we know that leveraged ETFs do decline in value to zero given infinity, can we also say the same with our portfolio value if we use leverage in our trading activity and seeing our portfolio ...
9
votes
4answers
709 views

Are e-mini markets manipulated?

Are the prices of e-minis such as S&P 500, Russell 2000, EUROSTOXX, etc. manipulated? That is, are there traders who trade large enough positions to make the price go in the direction they want, ...
0
votes
0answers
21 views

Intermediate Project Presentation

I would like to know an ideal plan for explaining/representing Greeks (1st,2nd,3rd) order. The topic seems to be quite vast and very interesting but not possible to cover within a 15 mins time frame, ...
0
votes
1answer
60 views

Derivation o HJB equation

I am trying to derive the HJB equation in a stochastic setting. Let me exemplify my problem with the simplest case where there is no control, just one state variable. Assume the payoff is given by $$ ...
3
votes
2answers
110 views

Interpretation of Drift

Consider the common model of stock prices given by a geometric Brownian motion (GBM), which follows the SDE $$ dS(t) = \mu S(t) dt + \sigma S(t) dW(t). $$ Below is a plot of a simulation of such a ...
1
vote
1answer
23 views

Capital gains and dividends tax arbitrage

There is a statement in Paul Wimott Introduce Quantitative Finance: Often capital gains due to the rise in a stock price are taxed differently from a dividend, which is often treated as income. ...
11
votes
3answers
2k views

Is there a standard model for market impact?

Is there a standard model for market impact? I am interested in the case of high-volume equities sold in the US, during market hours, but would be interested in any pointers.
1
vote
1answer
33 views

How to effectively hedge a Fixed-Term deal in a foreign currency?

Assume my firm is based in USD and agrees with some counterparty to buy, at time $T$, some quantity $Q$ of asset $A$ for a fixed price $K$. Assume also that $A$ prices and $K$ are denominated in EUR. ...
2
votes
2answers
64 views

When to adjust portfolio weights?

In portfolio allocation literature there is lot of effort made in obtaining 'better' portfolio weights, for example via improving parameter estimates, introducing Bayesian approaches, incorporating ...
3
votes
1answer
40 views

LIBOR with different tenor

Let $F(t;S,T)$ be the forward rate from $S$ to $T$ seen at time $t$, and $I$ be one of tenors, i.e. $I$ is one of {1M, 3M, 6M, 12M}. Then the forward curve $t\mapsto F(0;t,t+I)$ is $I$-forward curve. ...
1
vote
1answer
39 views

Where to get historical daily settlement price of each VSTOXX futures contract

I'm doing some analysis on VIX and VSTOXX futures and require historical prices of each contract as a result. VIX info is free to download on CBOE website: ...
2
votes
2answers
52 views

Multi-asset class allocation

How to allocate asset classes in a multi-asset portfolio? An institutional client needs to meet his pension liabilities, and suggested a multi-asset-class strategy. I'm trying to find ideas to pitch. ...
1
vote
1answer
82 views

Reuters RIC chain for Eurodollar midcurve options

Can someone please tell me what this is? Thanks. Edit: The RIC for the straight eurodollar options is 0#GE+, I need RICs for the 1,2,3,4 mid curve options which the IMM/IOM calls GE0, GE2, GE3, ...
17
votes
2answers
974 views

Have Goldman Sachs Quantitative Strategies Research Notes been published as a book or a comprehensive collection?

Back in the 90's, Goldman Sachs (publicly?) released a series called "Quantitative Strategies Research Notes" — mostly technical papers on topic. Emanuel Derman co-authored almost all of them. Some ...
6
votes
1answer
84 views

Why can CDS indices be used as a bond market index?

I don't understand why the iTraxx indices family, which are credit default swap indices, are in practice often used to gauge the bond market. How are CDS prices related to bonds prices ? And what ...
2
votes
2answers
205 views

How to break down an FX option P&L?

I am comparing the mark-to-market (MtM) valuations of two risk systems, with respect to FX Options. My question is can I quantify the difference in MtM given the following: System1 AUD/JPY, MTM = ...
0
votes
1answer
116 views

What are the canonical references on wholesale credit risk management?

I am trying to read up on "Wholesale credit risk ", but I can't find any useful references. Why is the emphasis on wholesale?
1
vote
2answers
76 views

Confidence Intervals of Stock Following a Geometric Brownian Motion

In preparation for my Options, Future's and Risk Management examination next week, I have been presented with a series of questions and their answers. Unfortunately, my lecturer, one of the less ...
2
votes
1answer
97 views

How to use calibrated Standard Stochastic Volatility?

I'm considering the standard stochastic volatility model: $$x_t = \rho x_{t-1} + \sigma \epsilon_x$$ $$y_t = \beta \exp\left[ \frac{x_t}{2} \right] \epsilon_y$$ where $y_t$ is the log-returns and ...
0
votes
1answer
67 views

Technical Analysis - OBV indicator calculation in R

Here is a few references about OBV calculations: http://ta.mql4.com/indicators/volumes/on_balance_volume ...
8
votes
1answer
543 views

How to price a Swing Option?

I'm working in the commodity market and I've to price Swing Options with MATLAB, preferably with finite element. Has anyone already priced these kind of derivatives? I'm thinking about using the ...
2
votes
2answers
270 views

Seasonal patterns in financial markets (weekday effects)

What seasonal patterns are there in financial markets? Is my feeling "true" that Mondays are more volatile than e.g. Tuesdays (as information gathered during the weekend can only be turned into an ...
3
votes
2answers
77 views

Does heteroskedasticity of returns depend on the time frame?

Similarly to my last question, for which I obtained very interesting and useful answers, I would like to know if there has been any study regarding heteroskedasticity and time-frames of the returns. ...
1
vote
0answers
47 views

Calculating Greeks using BinomialTree in Matlab [closed]

section 1. Calculating sensitivity of the price of derivatives American or European option using binomial tree model section 2. Calculating first order greeks the code compiles till this point ...
1
vote
2answers
59 views

Measuring Volatility from Execution Prices

I was told of a way of measuring the volatility of a stock by looking at the reported execution prices (from Level III or Level II data.) I'm well aware of how to measure volatility by looking at the ...
1
vote
2answers
94 views

Extracting Signal from Noisy Data

Consider a scenario in which Y_t represents the % change in price and we want to use X_t to predict Y_t. We assume that X_t is information we get before Y_t is revealed. Suppose that in reality Y_t ...
1
vote
0answers
46 views

Price of an American call option [closed]

I'm working through revision questions at the moment and we are asked to compute the price of an American call option. Suppose that $dS_t = \sigma S_t dW^*_t, S_0 >0$ Let $0<U<T$ be fixed ...
6
votes
3answers
250 views

Sharpe ratio and leverage

Does leverage affect the Sharpe ratio? If my Sharpe is 2 at no leverage goes it change, fall by half say, at no leverage?
1
vote
0answers
15 views

how does a bond maturing affect the pricing of the corresponding CDS?

if a bond matures, and there is no other existing bond from the legal entity that has not matured. Then how does that affect the CDS that corresponds to that bond?
0
votes
2answers
167 views

Suppose you bought a July ITM call and sold an August ATM put, am I net long or short?

Here is the full question, even though ive broken it down to the mini question above. Suppose you have bought a July ITM call and sold an August ATM put. What would be your delta in this position? ...
5
votes
3answers
170 views

Can Gaussianity of returns depend on the time frame?

I would be interested in knowing if the fact that returns are Gaussian is disproved on all time frames, or if, for example, the 5 minute intra-day time frame could exhibits Gaussian returns assuming ...
4
votes
2answers
114 views

Is there a relation between these two forecasting/estimation approaches?

When learning econometrics I have usually seen stuff from the following perspective: Assume $Y_t = f(X_t) + e_t$, where f is some function of $X_t$ (typically linear). For example, assume $Y_t = X_t ...
3
votes
0answers
38 views

Reference Request: Horse Race for Portfolio Allocation

Probably the most popular horse race study for portfolio strategies is Optimal versus Naive Diversification: How Inefficient Is the 1/N Portfolio Strategy?, with DeMiguel, L. Garlappi and R. ...
3
votes
1answer
41 views

Kenneth R. French data base on momentum and size: construction and how to use it concretely with momentum only

So, you can find all the data bases on this site. More explicitly, I would like to take the "Developed Market Factors and Returns" part. Even more explicitly, let us take the "25 Portfolios Formed on ...
3
votes
1answer
35 views

How do you deal with Inflation lag in a MC simulation?

Consider the UK RPI index. This index is published every month around the 15th (give or take a few days). The publication refers to the RPI index of the month before, so there is a lag of a few weeks ...
6
votes
6answers
667 views

What sources would you recommend for Real Time Market Data other than Bloomberg/Reuters?

I am dealing with a strategy that is not high-frequency based. The strategy consumes normalized data from Bloomberg and Reuters. For US equity market, can someone recommend some real-time data ...
2
votes
1answer
284 views

constrained portfolio optimization by fmincon

I am working through this paper, http://www.nber.org/papers/w8922.pdf I want to implement the portfolio weight constraints see page 6-7. Here is the brief overview of my problem: Let ...
2
votes
0answers
29 views

Residual Covariance Matrix, and MVO for Residual Variance and Alpha

My overall goal is to find an efficient frontier using QP in terms of $\alpha$ and residual variance ($\omega^2$) for a portfolio $P$ given a benchmark $B$. We know the equation for residual variance ...
2
votes
1answer
43 views

Dividend as a function of stock

Let's say I have a stock that pays dividend once a year. I know how much did it pay in 2014, and at which level was stock trading when the dividend decision was made. I'd like to use these data to ...
6
votes
3answers
209 views

Variance swap replication and variance vega

Noob here. I've been trying to gain a better understanding of variance swaps and what better way than to replicate it with a portfolio of better understood instruments. I have read the GS 1999 ...
6
votes
2answers
142 views

How to interpret the French-Fama SMB factor?

I regressed ten portfolios on the Fama French factors and get significant loadings on the SMB factor. However, if I look at the actual average market cap of these portfolios, the portfolios with the ...
2
votes
1answer
78 views

out-of-sample variance using rolling window

I am currently working on the comparison of the constructed portfolios using out-of-sample variance criteria. I am going to use rolling window procedure for the comparison. First, I choose a window ...
3
votes
1answer
101 views

Lipschitz condition in mathematical finance

I am interested in a rigorous explanation on why the Lipschitz condition plays a major part in stochastic calculus, most significantly in mathematical finance. To be specific, suppose we want to ...

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