# All Questions

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### Calculate Forward Rate under CIP - differs from qouted rates, why?

Hello everyone out there, I am quite new here, but hope you are helping me out, nevertheless. By assuming that we have CIP I want to calculate the 3M Forward rate for EURUSD. I use the known formula ...
36 views

### Percentage of Russell 2000 stocks listed on NYSE and Nasdaq?

Is there a way to find out how many of the Russell 2000 stocks are listed on the NYSE and how many on the Nasdaq?
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### where can I get the intraday data for S&P 500

I am trying to analysis the price of S&P 500 during the flash crash in 2010. Where can I get the data?
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### More cache friendly linked list or alternative with optimal append, delete, and ordered traversal for limit order book?

I am trying to implement a stock matching engine/order book in C++, and am searching for a more cache friendly architecture. Currently, my data structures are as follows: An intrusive rb-tree for the ...
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### Why AREN'T forward rates what the market expects of the spot rates?

I know that for a swap for example, the swap rate is just what adopts equilibrium for both legs by no arbitrage, on the other hand for a FRA its just the same only with one period of time. Considering ...
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I am trying to find a good database for Spatial Data. What are the examples of this kind of data? IS it always related to geography? Any Spatial data related to finance, economics and statistics? ...
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### Selecting bonds to be used in Nigel-Siegel Svensson OLS Regression

I need to obtain the initial parameters that would be used in the Non-Linear Optimization that provides the Nelson-Siegel Svensson parameters for US Treasury Bonds. The Optimization appears to be very ...
33 views

### RealTime Data Update in Excel to Matlab [migrated]

I would like to know if someone has some experience in making Excel talk to Matlab in RealTime. I have data in Excel which are updated in realtime, but I want to see the same thing in Matlab. I know ...
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### Why is the spot price not used as the forward price when a forward contract is created?

If the initial value of a forward contract is zero, surely the forward price used would be the spot price at the time the contract was created? However, my notes tell me that the forward price F, at ...
33 views

### Can a large OpenInt of calls cause a stock to go down?

I read forum post from another site. Which stated... ...
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### NZX market depth data

Can someone point into the right direction for NZX market depth data specifically for individuals? I have tried many vendors but seem to be coming up with "institution-only" responses.
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### Order Execution Algorithms

To execute large orders under minimum price impact or to hide a market view, trading systems sometimes utilize special order execution algorithms or order types. One example is an iceberg order, ...
52 views

### Multiplying by the Square Root of Twelve to calculate annual standard deviation

I failed to see the mathematics truism. Can someone care to elaborate.
87 views

### Forecast biasness of VIX term structure

I'm interested in the topic of VIX futures being overpriced, so I'm looking for different models to find evidence for it. Asensio 2013 uses a regression to evaluate the forecast biasness of the VIX ...
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### What is the logic behind this backtesting code in R

I am new to R and I have found this simple backtesting code and can you explain me what is happening here. ...
161 views

### Calculate turnover for portfolio

I am trying to calculate the turnover for a portfolio strategy. First I generate some random data and assign it dates: ...
18 views

### coefficient of determination of an autocorrelation

Ok this is a very quick question, the Coefficient of Determination (power(R;2)) of a simple Pearson Correlation value (r) can be interpreted as the percentage of the total variation in Y that can be ...
280 views

### Is volatility for the next day forecastable? To any extent?

In a more general way: is there 1) a methodological approach to quantify the correctness of a model that produces a probability distribution for the, say, S&P 500 index return for the next ...
49 views

### Introduction to Multiple Curve construction

Could someone please share a good starting point to learn about Multiple curves? More than exact theorems and proofs, I am mainly interested in reading about - How to build multiple curves - how to ...
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### Overstating Interest Rates?

I'm fact checking my analysis, so there's only one possible answer in that I'm either right or way out in left field (wrong). A friend of mine mentioned this bitcoin lending site and I looked at it ...