4
votes
1answer
59 views

Quantitative Real Estate Investment Finance

I'm wondering if there is an application of quantitative finance to real estate investment? Specifically I'm wondering about models for pricing small neighborhoods (or even single houses) that take ...
1
vote
0answers
35 views

Recording Google/yahoo finance data streams

Is there any way to record or piggyback with an app, code or excell goggle finances' (or yahoo even) data stream? Ideally i need tick by tick data, as in every price change of the day. All the ...
5
votes
2answers
125 views

how we can derive $PIDE$ of double exponential Jump-diffusion model (we know as kou model)?

I'm working in double exponential Jump-diffusion model (we know as kou model) with following form , under the physical probability measure $P$: \begin{equation} ‎\frac{dS(t)}{S(t-)}=\mu‎‏ ‎dt+\sigma ...
1
vote
0answers
49 views

Issue with Naive Bootstrapping (US Government Bonds)

I am using the formula here to determine the discount factor function. I get the data for Coupons, Face Values and Closing Prices from Thomson Reuters, which I insert into the Dataframe ...
0
votes
2answers
359 views

Orderbook Arbitrage

The order-books of trading exchanges are often hidden as so-called "Dark Pools". The measure was taken to avoid apparent market manipulation strategies executed by traders back then. Which such ...
1
vote
2answers
91 views

How to get Stock Fundamental time series data?

I need key Stock Fundamentals like in http://finance.yahoo.com/q/ks?s=KO+Key+Statistics But that page shows only the last quarter data, I need to analyze how that data has changed over past years. ...
4
votes
1answer
119 views

Beta between stock and option

In Black Scholes model I would like to compute $$ \beta_K = \frac{\mathrm{cov}(C_{K,T},S_T)}{\mathrm{cov}(S_T,S_T)} = \frac{\mathrm{cov}((S_T - K)^+,S_T)}{\mathrm{cov}(S_T,S_T)} $$ with respect to say ...
3
votes
3answers
748 views

Two different ways of pricing that leads to two answers

This question might appear trivial to many (considering the questions on this site), but I think it reflects something fundamental that I am missing. To keep things simple, assume everyone is ...
0
votes
1answer
30 views

Extracting Default probability from a single CDS

I have to find the CDS's default probability using the simplest Poisson Process (intensity constant). I'm wondering how to get this estimate if I have only a CDS with maturity 5years. If I had ...
1
vote
1answer
61 views

Estimating correlation using EWMA

I am using an EWMA model to evaluate the correlation between yearly time series. I know Riskmetrics uses $\lambda=0.94$ for daily data and $\lambda=0.97$ for monthly data. Is there a value ...
2
votes
1answer
60 views

Applying Time Delay Neural Network to financial events

I have an IT background and I would like to use data from a forex calendar like this one to predict prices. The problem is that calendar news impacts can last for days or weeks or even can effect ...
2
votes
1answer
16 views

Forced to exercise gap options

I was reading a textbook and came across some surprising stuff in the section about gap options. Let $X$ be a payoff function such that $X=\Big\{\matrix{0 \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ ...
3
votes
2answers
47 views

Implied volatility and nonconstant volatility

John Hull states in his text that "AS the maturity of the option is increases the percentage impact of nonconstant volatility on (option) prices becomes more pronounced, but its percentage impact on ...
1
vote
1answer
65 views

How to use Halton sequence in monte carlo simulation

Does anybody know how to use the Halton pseudo random technique in monte carlo simulation. I'm able to generate the sequences and I know they are correct. I checked a couple of numbers from different ...
2
votes
1answer
65 views

VaR calculation methods of options

I am a little bit confused about VaR in Options and I need a clarification for. I collected the following formulas, can you suggest what is the best formula and explain me why, please?
4
votes
1answer
204 views

How to do a Brownian Bridge with quasi-random numbers in the Heston model?

I'm required to use the Euler Monte Carlo method to compute the option price under Heston model settings. I know from some paper that the convergence is volatile for the Heston model with a plain ...
3
votes
1answer
26 views

Annualised Sharpe Ratio for Index vs Index Benchmarking

I am currently writing a paper about the performance characteristics of alternative energy equity indexes and am therefore comparing them to their benchmark indexes (msci world, etc). To calculate the ...
2
votes
2answers
69 views

Any package to run VAR-GARCH or VECM-GARCH models in R?

I need to estimate a multivariate VECM-GARCH (or simply VAR-GARCH) in R. Browsing on the internet, I did not find anything yet. Do you know if such kind of packages exists? Please, note that a BEKK ...
0
votes
0answers
14 views

continuously compounded(cc) return of a portfolio is not equal to the weighted sum of cc return of individual assets

In textbooks it is stated that the continuous compounded (cc) return of a portfolio is not equal to the weighted sum of cc return of individual assets as the log of the sums is not equal to the sum of ...
3
votes
1answer
109 views

Heston Model Option Price Formula

What is the formula for the vanilla option (Call/Put) price in the Heston model? I only found the bi-variate system of stochastic differential equations of Heston model but no expression for the ...
1
vote
0answers
12 views

How do I calculate what % of price hits R1 before pivot

I am trying to calculate what % of times the price touches R1 before the pivot level. I have the data for the last 10 years and know how often it touches the R1 one and pivot point but I don't know ...
3
votes
1answer
85 views

Is there a countably infinite Sigma-Algebra? Why?

Assume $\,\mathcal{F}$ be a nonempty collection of subsets of $\Omega$. $\,\mathcal{F}$ is called a $\sigma$-Algebra whenever if $A\in\mathcal{F}$ then $A^c\in\mathcal{F}$, and if ...
1
vote
0answers
15 views

Shorting a Synthetic Long [closed]

I have the following information: Call Premium: 0.30 Put Premium: 40.4 Strike: 130 1-Month Risk-Free Rate: 0% Market Price: $85.00 If I use the Synthetic Long ...
3
votes
0answers
75 views

How to optimize return in a moving average crossover algorithm

Moving average crossover strategy is a widely used strategy in algo trading. Is there a way to optimize return in a moving average crossover stratergy. I have used this site to backtest MA crossover ...
1
vote
0answers
17 views

In this scenario could gamma be higher for OTM options?

Let's say there is a $1 stock, with say 1 day to expiration. The 1.5 strike call, is probably a 0 delta at this point; however, a 1 point increase would mean the stock would be at trading at 2 ...
2
votes
0answers
84 views

Problem with Naive Bootstrapping (US Government Bonds)

I am using the formula here to determine the discount factor function and eventually the zero-coupon yields. I get the data for Coupons, Face Values and Closing Prices from Thomson Reuters, which I ...
2
votes
1answer
54 views

Geometric Brownian Motion in a general interval $[t_1,t_2]$

I know that the Geomtric Brownian Motion, with the expresion $dX_t = v X_t dt + \sigma X_t dW_t$ has the next solution $$X_t = X_0 e^{\sigma W_t+ (v-\frac{\sigma ^2}{2})t}$$ on the interval [0,t]. ...
1
vote
0answers
34 views

Time discretisations, FDM vs FEM

I am interested in adaptive mesh methods for numerical solution of PDEs with applications to finance. As part of a school project, I have been pricing vanilla European call and put options using 2D ...
3
votes
1answer
70 views

What is the machine learning language of choice in this industry for unsupervised learning

I was wondering from those with commercial machine learning financial experience, what the machine learning language of choice in this industry in the most general sense. Also, what would be the ...
3
votes
1answer
199 views

Closed form solution of PDE of Option Price

Let $V=V(S_t,t)$ be the option price and \begin{align} V_t+\mu\,S\,V_S+\frac{1}{2}\sigma^2\,S^2\,V_{SS}=0\\ V(S_T,T)=\ln (S_T)^{2}. \end{align} My question: How can I obtain a closed form solution of ...
-6
votes
0answers
50 views

What's the best proffesional forex market data feed out there?

I trade Forex latency arbitrages and find it harder and harder to get a reliable New York market data feed to serve my purpose. Reuters and EBS send timesliced updates every 500ms for 5k/month which ...
2
votes
1answer
67 views

What is the best data structure/implementation for representing a time series in C#?

I'm looking for a tick by tick high performance container. So far I've been using List where Tick is a simple struct with a DateTime and double field. I'm using Linq for date lookups but it's ...
2
votes
1answer
17 views

Is probability implied by binary FX options risk neutral or real world?

If we consider binary FX options in the market and estimate the market implied probabilities of certain FX rates occurring, would these resulting probabilities be risk neutral or real world? I hear ...
2
votes
1answer
41 views

Distribution of stochastic integral

Suppose that $f(t)$ is a deterministic square integrable function. I want to show $$\int_{0}^{t}f(\tau)dW_{\tau}\sim N(0,\int_{0}^{t}|f(\tau)|^{2}d\tau)$$. I want to know if the following approach is ...
3
votes
2answers
88 views

Do futures follow physical or risk-neutral distributions

I've spent a while looking for an answer to this question and while I feel it is a simple question I have not found an answer. I know prices of option contracts follow an implied, risk-neutral ...
1
vote
1answer
77 views

Proving $\mathbb{E}(g(X)) = \int_{\mathbb{R}} g(x) f(x) dx$

Let $X$ be a random variable on a probability space $(\Omega, \mathcal{F}, P)$ and let $g$ be a Borel-measurable function on $\mathbb{R}$. In Shreve II (p 28) he proves, using the standard machine, ...
2
votes
1answer
40 views

According to Lo and MacKinlay (1990), momentum profits can be divided in 3 parts. What do they represent exactly?

At first, Lo and MacKinlay (When are Contrarian Profits Due to Stock Market Overreaction?, 1990) didn't do it for momentum precisely. However,Kyung-In Park and Dongcheol Kim (Sources of Momentum ...
3
votes
1answer
34 views

Boundary Condition for Convertible Bond under Two-factor Model Interest Rate

I want to find Boundary conditions for Convertible Bond under Two-factor Model Interest Rate.The portfolio contains stock where stochastic differential equation for the stock price is \begin{align} ...
0
votes
2answers
91 views

Fractals indicator (Bill Williams) R Quantstrat

Hi has anyone seen or know how to create an indicator for fractals in quantstrat? fractals explained http://forex-indicators.net/bill-williams/fractals example code (only interested in type 1 ...
0
votes
0answers
32 views

Can you tell me what this RBloomberg formula means?

I've been asked to re-create a spreadsheet that used RBloomberg using a different data source. But I'm having trouble figuring out exactly what one of the spreadsheet's formulas does. Can anyone tell ...
2
votes
1answer
21 views

Range options in BS

I know how barrier options are priced in Black-Scholes scheme. I'm wondering if an analytical formula exists also for range (corridor) digital options i.e. options paying only if the price remains ...
2
votes
1answer
61 views

Measure the effect of a natural disaster on a stock market index

I am very new to using stata and very new to using Garch models. I am currently doing my final dissertation for my MSc in Finance studies and regarding my topic I understood that i had to use garch to ...
1
vote
0answers
10 views

Calculating rate of renewal for Certificate of Deposit

I am trying to calculate the rate of renewal for a large stock of Certificates of Deposit. These contracts are given on a fixed amount of time and some of them get renewed every time they reach ...
4
votes
1answer
66 views

volatility factor

I am trying to add a volatility factor to Fama-French factor model. Does anybody know of a source where I can get data for "volatility mimicking factor" or suggest a simple methodology for ...
3
votes
2answers
61 views

Stochastic Calculus Rescale Exercise

I have the following system of SDE's $ dA_t = \kappa_A(\bar{A}-A_t)dt + \sigma_A \sqrt{B_t}dW^A_t \\ dB_t = \kappa_B(\bar{B} - B_t)dt + \sigma_B \sqrt{B_t}dW^B_t $ If $\sigma_B > \sigma_A$ I ...
4
votes
2answers
181 views

good R package for vectorized option pricing

I am using for now the package fOptions but it doesn't allow for vectorized computation of black76 prices and delta. Which package can be used to do that? As noted ...
2
votes
0answers
20 views

Comparing a money-weighted return of my own portfolio with a benchmark ETF/other portfolio that is subject to the same cashflows

I am able to calculate the money-weighted return (XIRR equivalent in Excel) of my portfolio. Whilst I can compare this with ‘headline’ returns of ETF’s, Mutual Funds etc, I want to isolate the timing ...
1
vote
2answers
144 views

Speed of mean reversion of an interest rate model

I would like to have a bit more of intuition about the concept of "speed of mean reversion" for an interest rate model, e.g. Vasicek or CIR. In particular, is a negative speed of mean reversion ...
-3
votes
1answer
40 views

Long-Term Government Bond Yields

On the Federal Reserve of St. Louis FRED website we can find the 10-year government bond yields: https://research.stlouisfed.org/fred2/data/IRLTLT01USM156N.txt. I chose monthly frequency and percent ...
1
vote
1answer
23 views

What is type of Operating income to total assets ratio? [closed]

What is type of Operating income to total assets ratio? Leverage, Profitability, Asset composition or Liquidity? and why?

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