# All Questions

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### Data collection [duplicate]

I am looking for historical data (hopefully from 1995-2016, otherwise as much as available during that time frame) on a number of variables for 8 different stock market indexes. The indexes are ...
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### Forecasting conditional returns in DCC-GARCH-copula approach in R

anyone who could help me interpreting and modifying this code? I have a dataset and want to reserve the last 100 returns for out-of-sample analysis. After specifying and fitting the garch-spd-copula, ...
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### Basket derivatives on weather AND financial underlying?

Is somebody aware whether there exist basket derivatives whose underlyings are either related to weather (e.g. temperature) or financial indices (e.g. S&P500)? It is essential that the payoff ...
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### Does OpenFIGI have precanned files?

From what I understand, Bloomberg Open Symbology is now transitioning to OpenFigi: http://bsym.bloomberg.com/sym/ "BSYM.bloomberg.com will be SHUT-OFF on June 1st. It is being replaced by ...
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### Bonds with embedded options pricing via binomial model

Notation: t - time; G(t) - zero-coupon yield curve; $r$, $r_d$, $r_u$ - interest rates. The task is to find market price of a bond for today, while knowing the price of a number of other bonds. ...
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### Choice of time increment in Monte Carlo/ Geometric Brownian Motion (GBM) stock price prediction

I am playing around with writing a daily stock price prediction algo in Python using a Monte Carlo/GBM methodology. I know there are many other questions on here about this topic (here, and here), but ...
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### How do I calculate Market Dividend Yield from this data?

Thanks for reading, I am trying to calculate the market dividend yield for this set of data. The authors define it as 'The market dividend yield (MDY) is the one-year dividend from the CRSP value-...
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### Are the returns in this regression signed returns?

In this paper about combining multiple alphas are the returns signed returns? if not wouldn't they be mean zero? Also, it mentions "realized alpha returns" - does that just mean "realized" past alpha ...
52 views

### Which API can I use to get financial data minute- or 5m-wise?

I've browsed a lot of financial APIs lately but most of them only show the daily closing prices. Is there any (JSON) API which offers minutely financial data?
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### hello, anyone know how can i get historical book to market ratio? [closed]

am working on Malaysian stocks i have just 25 days to present my thesis to the university and i don't know how to get my data i need book to market monthly ratio from 2000 to 2015
48 views

### Exploding Libor Rates in Libor Market Model

I have implemented the Libor Market Model in Matlab. When I generate a number of paths, I notice that some of them explode. Does anybody have an idea what could cause this? I already tried solving ...
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### The best process for foreign exchange rate

I have a simple research project and I need to explain a behavior of a foreign exchange rate. Could you propose a stochastic process without jumps so that it could be estimated with QMLE? Is GBM ...
41 views

### how to mix trading signals for the same product?

I have multiple trading signals developed using cointegration on the same stock using various correlated assets. Is there a mathematical way to combine them to achieve better entry/exit points and ...
51 views

### Prove Volatility Parametrization of Libor Market Model is Bounded/Not Bounded

How can I prove that the function $$\sigma_i\left(t\right) = k_i\left[\left(a+b\left(T_i-t\right)\right)e^{-c\left(T_i-t\right)}+d\right]$$ is bounded/unbounded? $\sigma_i\left(t\right)$ is the ...
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