2
votes
0answers
53 views

In investing, the crowd is wrong much more often than right

I am reading Ken Fisher's Beat the Crowd, and the second sentence in the book is this: In investing, the crowd is wrong much more often than right. I was wondering if there is a way to define ...
3
votes
1answer
58 views

Hull White Stochastic Volatility Model in Matlab

I'm trying to code the Hull White stochastic volatility model using matlab and somewhere my code seems to mess up. I've coded the SABR model as well and that's working fine. When I compare prices ...
1
vote
0answers
24 views

Interpretation of Skew and Kurtoisis - strategy backtesting

I am working on my dissertation and i would like to provide a nice interpretation of two tables which i will present below. I have 10 portfolio buckets which i sort on 6 different attributes. One of ...
3
votes
1answer
24 views

Difference between Risk Transfer and Risk Sharing

There seems to be a thin line between risk transfer and risk sharing. Can someone explain with example how can this be differentiated?
0
votes
1answer
24 views

FIX/FAST to SQL table

I have FIX/FAST data in CSV format. Sample: 1128=9|9=131|35=f|49=CME|34=5369745|52=20160314214500017847063|60=20160314214500001317818|75=20160315..... I need to transfer information into SQL table ...
8
votes
2answers
296 views

How can we have negative probabilities in finance? Can we have negative payments in bonds? If not, how else can we have negative probabilities?

In Half of a Coin: Negative Probabilities, the author mentions bond duration. Suppose we have payments at times $t = 1,2,...,n$ denoted respectively by $R_1, R_2, ..., R_n$ and the discount factor is ...
1
vote
1answer
54 views

Initial/Boundary Conditions for a Butterfly Option?

What are the initial and boundary conditions for a Butterfly Option? I want to write up a PDE program for it and I have a rough idea of what the payoff should be (is it just a call and a put at the ...
0
votes
0answers
26 views

How do you call this order matching process in trading?

for example, in the order book ASK side has this orders (price/qty): 20000@2000 20500@400 and trader sends FOK: 50000@2100 (price/qty). it can be two scenarios here: 1) FOK can take 2000 from the ...
1
vote
0answers
37 views

Volatility of the adjusted prices mean reversion

When computing the volatility on the adjusted stocks' prices, would the resulting volatility be mean-reverting? I believe that the volatility of the log returns is mean reverting, but I am not certain ...
0
votes
1answer
41 views

Including a score or a rank in portfolio-optimization

I have gathered a lot of experience using min-var optimization of the form $$ w' \Sigma w \rightarrow Min, $$ where $w$ are the weights of the assets and $\Sigma$ is the covariance matrix. Of course ...
2
votes
1answer
93 views

stochastic interest rate $r_t=x_t+y_t$

Let $$dr_t=(\alpha(t)-\beta r_t)dt+\sigma dW_t$$ where $\alpha$ is non stochastic process and $\beta$ and $\sigma$ are constant. Can we write process $r_t$ in the form $$r_t=x_t+y_t$$ where the ...
1
vote
2answers
45 views

s&p500 companies value vs growth

I was thinking of examining how the constituent companies of the s&p500 are affected by sentiment in crises. Is there any way to download stock prices for all the companies? Moreover how can I ...
0
votes
0answers
31 views

Outlier detection via TSO and errors help [duplicate]

I'm trying to detect outliers within a financial time series which represents the ratio of cash distributions to equity holders as a percentage operating earnings for the period. Visual inspection ...
0
votes
0answers
39 views

Pricing of dual-currency bonds

I am dealing with dual-currency bonds, i.e. bonds whose coupon payments are made in a currency and the notional in another. I am wondering about the discount factor I should use to price such ...
0
votes
0answers
99 views

Computing the Coefficients for the Unemployment, Inflation, Trade Balance Equation

Based on S. Nickell's theory on how to relate trade deficit, unemployment, inflation, I tried to fit the data to the formula Nickell presents, $$ [ \alpha_1 + \delta_1 \alpha_{12}]u + \alpha_2 \...
1
vote
0answers
33 views

Distribution of loans by types of interest

Im looking for some kind of report that would inculde data on the distribution of corporate loans by types of interest(fixed/floating), specifically global not just for one country(developed, ...
0
votes
1answer
35 views

Constructing yield curve directly from yield-to-maturity data

I'm trying to use Bloomberg yield-to-maturity data for sets of sovereign bonds of different maturities to fit to a yield curve. I looked into using the QuantLib library (the FittedBondCurve ...
3
votes
2answers
83 views

European vs American derivative securities, interesting question

Let us denote by $c^A(t, S(t))$ the price, at time $t$ of a certain American-style derivative security, whose instrinsic value, at time $t$ is denoted by $V(t)$.From the no-arbitrage principle, we ...
1
vote
0answers
46 views

Netfonds.no: Continuing to understand how to get high frequency data

I first found out about netfonds about a year ago but I hadn't ever really gotten around to actually pulling data from there. I spent a little time today figuring out a way to pull data and here is ...
3
votes
1answer
88 views

Bond price under Poissonian model of interest rate

Working through an exercise in interest rate modelling and I have the following setup: $r_t = r_0 + \delta N_t$ where $\delta > 0$ and $\lambda > 0$ is the intensity of the Poisson pricess $N_t$...
-2
votes
0answers
59 views

How to prove the correlation between these two stochastic variables?

I am looking at the Vasicek Asymptotic Single Risk Factor Model and cannot figure out the covariance, which should be $\sqrt{\rho_i\rho_j}$ The standardized asset returns $B^i=\sqrt{\rho_i}M+\sqrt{1-\...
0
votes
0answers
24 views

Interest Rate Differentials, CDS Differentials, Inflation Differentials

Is there any academic literature relating the difference in interest rates between bonds of the same tenor in different countries with the inflation differential, CDS differential, and risk premium ...
1
vote
1answer
37 views

Multivariate normal when Cholesky decomp fails on Sigma

I'm trying to do multivariate distributions of returns on buckets where all the returns are at least 0.6 correlated at a 95% confidence level. I have the buckets, but their Sigmas cannot be decomposed ...
2
votes
2answers
39 views

Equivalent call option to the underlying stock

Would there be any benefit to an investor to purchase an American Call option on a single share with no expiration date and a strike price of 0 as opposed to purchasing the underlying zero dividend ...
1
vote
0answers
42 views

Wavelet estimation of correlation for portfolio optimisation

I was wondering why is it not a common practice (at least in academia) to use Wavelet based methods to estimate correlation matrix for portfolio optimization? For instance Lindsay, R. W., D. B. P. &...
3
votes
1answer
34 views

Is futures contracts data only reported for business days?

After digging around a few sources of futures data (in particular Quandl and EOD Data), I noticed the data only reports for business days (i.e. Monday-Friday excluding national holidays). The NYMEX ...
0
votes
0answers
32 views

How to check my CVA computation is correct?

As I am trying to write the CVA logic in Python. Do you know a source I can use to check if my calculated CVA is approximately right?
0
votes
0answers
39 views

What is the formula for rolling mean absolute error and Error-Adjusted Momentum in R?

I was searching for some strategies to backtest and I came across this website about Error-Adjusted Momentum(ER-MOM). Can you tell we what formula he uses to calculate ER-MOM? According to the author ...
1
vote
0answers
20 views

The name conventions such as ATM, Risk reversal and Butterflies to construct volatility surface

Why people call (vol call - vol put) risk reversal when risk reversal actually is (call 25 delta -put detlta +25)? when constructing volatility surface? The vol of risk revesal should not be vol call -...
1
vote
0answers
20 views

Are there data sets for the topology of financial assets?

There have been a number of articles talking about financial topology and understanding cascading failures and risk. A while back there was another article about how a small number of companies form ...
3
votes
1answer
50 views

Can I split my backtesting into multiple consecutive sub-periods?

I'm testing a model to estimate the VaR of a portfolio with different stocks. I used 1500 data to estimate some parameters, and now I have other 1500 data for backtesting purposes (for a total of 3000 ...
1
vote
0answers
31 views

logistic regression multivariable fractional ploynomials stata vs. R

I a going through Hosmer, Lemenshow and Sturdivant's (HLS) Applied Logistic Regression (2013) and trying to interpret the difference between what STATA is doing and what R is doing. Concerning the fit ...
0
votes
0answers
59 views

Why use Monte Carlo simulation?

I'm currently building a stress test that uses Monte Carlo simulation to generate the return profiles for the portfolio while applying static cash flows throughout the time series. The question is: ...
3
votes
1answer
61 views

Streaming update of the GARCH(1,1) model

Given the estimate of GARCH(1, 1) model parameters I observe the new price. How to update the estimate with this new information. Let's assume I know the coefficients that maximize the likelihood ...
0
votes
0answers
51 views

Monte Carlo and volatility

I'm little confused with vol term used in MC projects. I want to calculate MC var for a 6M FX forward contract. I'm using the Cholesky decomposition to simulate different scenarios for the three risk ...
0
votes
1answer
55 views

How do I get a good mid-price?

I 'm trying to get a mid price for forex data. This answer by alex suggests that I shouldn't simply take ask minus bid. I am not a high frequency trader or market maker. My purpose for the fx mid ...
0
votes
0answers
4 views

Portfolio tracker in python [migrated]

I'm making a portfolio tracker using pandas remote data function, however, I'm running into a problem passing in multiple stock names and tickers. I would like to create separate data frames by the ...
1
vote
1answer
73 views

How to understand the following brownian integral using Fubini's method?

I am a little bit stucked with the following integral process, using Fubini's method, this is an intermediate step of short rate Merton Model. $\int_{t}^{T} W(s)ds=\int_{0}^{\hat {T}}ds\int_{0}^{s}...
7
votes
1answer
193 views

How to show that this process is “normally distributed”?

Say we have following SDE (Vasicek): $$dr(t) =(b-ar_t) dt + \sigma dW_t$$ I am able to reach an integral form of this SDE : $$r(t) = r(0) e^{-at} + \frac{b}{a}[1 - e^{-at}] + \sigma e^{-at}\int_0^t e^...
0
votes
0answers
34 views

Find/Identify historical bonds in Bloomberg/Datastream via stock ISIN,CUSIP,SEDOL

I have several thousand company identifyers and one historical event date for each company for an event study. My problem is that I want to get all bonds which were active at this individual date for ...
0
votes
0answers
18 views

Test for significant differences between two insignificant means?

I have made 2 portfolios for which I tested whether it was possible to realize excess returns. For both portfolios, I find that no excess returns are to be realized: the t-statistic is usually around ...
-1
votes
1answer
60 views

Why do two perfectly negatively correlated assets not return 0%? [closed]

So, per the title, why would a combination of two risky assets that have the same exact expected return and standard deviation while being perfectly negatively correlated not return 0%? Why do you ...
0
votes
0answers
18 views

semiannual bond equivalent yield spot rates

I can't seem to find the answer to this question anywhere. This is for CFA study purposes. Semiannual bond equivalent yield spot rates...how do I know if they are annualised or not? I just saw an ...
4
votes
1answer
72 views

Why buy/sell a forward starting option?

More precisely, in equity markets, why would one prefer to buy a forward starting option over a vanilla option ? What about the selling side ?
0
votes
1answer
31 views

What do you call a group consisting of stocks, etfs, and futures?

In the command line interface to my program, the user can create a basket of stocks, etfs, or futures by saying: basket = stocks basket = etfs basket = futures basket = options But I ...
0
votes
0answers
27 views

Negative probabilities - what are the two ordinary pgfs that correspond to the gf of a half-coin?

In Half of a Coin: Negative Probabilities, author considers pgf of a fair coin represented by random variable, $X = 1_H$: $$G_X(z) = E[z^X] = \sum_{x=0,1} z^xP(X=x) = (z^0)(1/2) + (z^1)(1/2) = \frac{...
1
vote
0answers
52 views

Calculating weekly portfolio returns for portfolios sorted by volatility

I am having some issues with finding the right code in STATA for sorting the data into portfolios by historical volatility (standard deviation) of returns and then calculating portfolio returns and ...
0
votes
0answers
23 views

Obtain historical quotes programmatically

What do people use to get all the historical daily quotes (high, low, open, close) for all the stocks traded on an exchange during a period of time? So, suppose I want this info for all stocks traded ...
0
votes
0answers
7 views

Proxying returns for PE and Alternative Investments

The data for these asset classes don't go back very far. Anyone have any methods to proxy their "index" returns for analysis?
0
votes
0answers
10 views

is it necessary to make currency change in fama french

is it necessary to change the currency of return and market cap from Malaysian currency to dollar , before dividing the stocks in small medium large.

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