1
vote
1answer
40 views

What does “primary calendar” mean?

I was reading the 2013 research rankings article on Institutional Investor and came across the following quote: "We do not expect spread widening in most markets, and we expect the primary calendar to ...
1
vote
2answers
466 views

VIX intraday data

Where I can high-frequency intraday data on VIX? Is it available on Bloomberg Terminals? I see many questions posted on Quant.stackexechange about VIX options therefore I am sure someone knows where I ...
2
votes
1answer
2k views

How do Trade-At-Settlement orders work?

Can anyone explain how Trade-At-Settlement (TAS) order on futures market actually works? I have heard that it is guaranteed execution at the settlement price (or with some offset). How can it be ...
3
votes
0answers
164 views

Time series (stochastic process) estimating parameters using characteristic function

I have a time series of assets ${A_1, A_2, ..., A_n}$, which is described by a sophisticated distribution having the following characteristic function: $\phi(u; t;\theta)$, where $\theta$ is a vector ...
5
votes
1answer
147 views

Arbitrage with freshly issued bonds

I recently heard someone mention an arbitrage strategy involving selling freshly issued bonds and buying the "old batch" as it has shown that the liquidity in the fresh batch motivates/drives up these ...
3
votes
1answer
153 views

Finite difference methods

I am simulating the price of a basket option with the help of equations from the report ...
2
votes
0answers
53 views

Recreate Positions after downtime. Suggestions requested

We are trying to be able to get back to the Position state when our software goes down unplanned during the day. So far it seems we can get all our bought and sold quantity based on execution log we ...
3
votes
0answers
116 views

default probability

Suppose the hazard rate is $\lambda$ the default probability density function follow exponential $f(t) = \lambda e^{-\lambda t}$ and cumulative probability function is $F(t) = 1 - e^{-\lambda t}$ ...
5
votes
2answers
1k views

How is the default probability implied from market implied CDS spreads for CVA/DVA calculation?

From point 38 on P.17 the default probability can be implied from market implied CDS spreads. "Macro Surface" method is mentioned, but I cannot get any clue of what it is? Where do I get the acedemic ...
1
vote
1answer
439 views

What are the math topics involved in FRM 1

Is there a way to get the math curriculum for FRM level 1 without purchasing the Exam? I wish to take a look at the math topics and see if I have any chance of cracking it. But I could not find an ...
7
votes
1answer
263 views

Portfolios from Sorts

Some time ago Almgren and Chriss proposed a method for portfolio optimization based on sorting criteria such as $r_1 > r_2 >... > r_N$ instead of explicit expected returns: see portfolios ...
1
vote
1answer
117 views

what is General IB2 Restriction in Basel II credit risk model

I was reading Basel II wiki page, it says: The first pillar The first pillar deals with maintenance of regulatory capital calculated for three major components of risk that a bank faces: ...
3
votes
0answers
202 views

Fitting Student t-distributions to log-returns

It seems that some tail-risk centric groups are bent on using Paretian and t-distributions to account for tail risk when fitting log-returns. It has been observed, however, that with and without ...
1
vote
2answers
241 views

Market overview trading platforms (with OTC)

I am searching for a trading platform for a client. It must include control of trading limits (per user and with regard to the clients portfolio), connection to Bloomberg data, ability to value ...
5
votes
1answer
384 views

Optimal trading strategy in toy world of simple Hidden Markov model with Gaussians

I want to solve the following optimization problem: What is the optimal general trading strategy (in the sense of the highest Sharpe ratio) on a time series which is the result of a Hidden Markov ...
1
vote
1answer
192 views

Examples of non-increasing variance of a time homogeneous Markovian process

This is an edit to the previous question, on stationary process, which was answered by Richard below. Let $x_t$ be a zero mean, time homogeneous Markovian process over time $t$ starting from ...
3
votes
1answer
225 views

Evaluation volatility with Garch model

I want to forecast the volatility (with Garch) of a canadian stock in 5 months with daily returns. How many data do I have to collect ? Thanks.
0
votes
2answers
80 views

Calculate price of index from underlyings (weightings included)?

I have a day's worth of LSE data (FTSE100 companies) and I also have their weightings for the FTSE100. Ignoring the net present value of money, how do I calculate the current value of the FTSE? I ...
-1
votes
1answer
74 views

Market Discrepancy in ETFs [closed]

Today Yahoo, Google, CNBC, etc. are all reporting an open for DDM of \$106.95, a close of \$107.69 and a delta on the day of \$2.69. But the arithmetic difference between the open and the close is ...
0
votes
1answer
102 views

decoding this formula about nominal and real return [closed]

I am sorry if the following question is not quantitative finance. I am reading this thing badly written lecture notes, which says $W^r_1 \equiv W_1/P_1^g = (W_0^rP_0^g)(1+R)=/P_1^g$ $(1+R^r)\equiv ...
0
votes
0answers
44 views

Java limitbook implementation? [duplicate]

I am looking to create my own front-end. What is the best data structure/java swing object to represent a limit order book? currently I am using two JTables and loading best bid and qty data from a ...
0
votes
1answer
117 views

Choosing a weak learner

I want to compare different error rates of different classifiers with the error rate from a weak learner (better than random guessing). So, my question is, what are a few choices for a simple, easy to ...
3
votes
1answer
172 views

Single Most Important Fact about a Fund - Interview Question [closed]

I recently attended an interview to work as a software developer in an Asset Management company. I was asked by the interviewer: What is the most important piece of information that should be ...
6
votes
1answer
158 views

When did volatilities start to smile in capital markets?

Glimpsing through literature, I read that volatilities in the equity market started to display a smile after the crash in 1987. But when did volatilities start to smile in capital markets?
1
vote
1answer
201 views

Securitization of a loan portfolio

I am interested in the securitazion process and am looking for useful examples to help me understand how it can be applied in practice. Assuming I have a loan portfolio consisting of secured* and ...
1
vote
1answer
447 views

Solvency II Assets-D1 - aggregation of line items by CIC code

The revised version of Assets D1 (now S.06.02 – List of assets under CP13) requires the following aggregations (page 24): CIC 71 (Cash), only one line per currency is to be reported; CIC 72 ...
6
votes
4answers
375 views

Large (5K-10K) non positive definite (particularly near singular) covariance matrices and treatments for Cholesky decomposition

I have a very large covariance matrix (around 10000x10000) of returns, which is constructed using a sample size of 1000 for 10000 variables. My goal is to perform a (good-looking) Cholesky ...
1
vote
3answers
174 views

Estimate of fx trading volume

I understand that there are no official figures of fx trading volume per currency, but are there any good estimates? Is there any fx exchange that is particularly forthcoming with its volume data, ...
5
votes
1answer
359 views

Min VaR and Min TE as second order cone program

The quadratic optimization (min variance) $$ w^{T} \Sigma w \rightarrow \text{min}, $$ where $w$ is the vector of portfolio weights and $\Sigma$ is the covariance matrix of asset returns, is a well ...
3
votes
2answers
320 views

Forcing price to rise or fall by high volume buying and shorting

Is there an a name for the approach / strategy to artificially move a price either up or down by high volume buying or shorting. ie. Buying a large (say 5%) of a stock very quickly, thus ...
1
vote
1answer
153 views

What does it mean by “labor taxes cut is self-financed”?

I'm reading "Principle of Economics" by Mankiw. In Part III Market and Welfare, Ch 8 "Application: the costs of taxation", it says: Only 32% of a cut in U.S. labor taxes would be self-financed, the ...
1
vote
3answers
172 views

Given monthly returns of 10-Year Govt Bond, how to get monthly risk free rate of return

I have a list of monthly returns of a 10 year Govt Bond. I am not sure if this is a good proxy for the monthly risk free rate of return. Can somebody suggest how I can derive the monthly risk free ...
5
votes
2answers
500 views

How to use a realized kernel?

I've read that realized kernels are the thing to use for calculating daily volatility from high-frequency data. So I've got minute data, how do I actually use such a kernel? Will it give me minute-ly ...
1
vote
1answer
65 views

Problems to understand a stochastic DGL equality

currently I am reading a paper called "Portfolio optimisation under non-linear drawdown constraints in a semimartingale financial model" for self-study reasons. The paper can be found here: ...
1
vote
2answers
172 views

Quotes and Transactions Streams from Exchange

I have possibility of taking 2 types of real time streams from some exchange: bid-ask quotes (fresh quotes from order book) transaction log (transactions matched by exchange) I'm curious what ...
3
votes
1answer
387 views

How to manage evaluation date changes in QuantLib while using ImpliedTermStructure Class

I will not attach the whole code 'cause it would be just a huge waste of space and it would be not useful for this question's purpose. What I am going to attach here is a snippet code and its output, ...
3
votes
0answers
168 views

How can I introduce exogenous variables in the equation of the conditional variance?

Is it possible to introduce dummy variables or explanatory variables in the GARCH variance equation (garchset and garchfit).This is done in the mean (ARMAX) equation through the input 'Regress' in ...
3
votes
1answer
1k views

open-source implementation of orderbook from FAST?

I'm looking for c/c++ implementation of OrderBook. I need implementation to reconstruct market data from FAST. I don't need to do "matching" because it already did by exchange, I only need to ...
3
votes
1answer
259 views

Which measure to determine Risk?

Say I hold an equity and I want to calculate the Value-at-Risk over some period. Would one calculate the Value-at-Risk of the equity under a risk-neutral (as in martingale) measure or under the ...
0
votes
0answers
61 views

OF-B1 report - cell A1

Pretty basic question - what is the SIGN that should be used in cell A1 of the EIOPA Solvency II OF-B1 report? So should share capital be displayed with a positive or negative value? CP-13 extract: ...
0
votes
1answer
202 views

Distinguish between market makers and other participants?

Are there any known quantitative techniques to distinguish between market makers and other participants? I manually MFT, have no knowledge of these specialties, and may be observing phenomena that ...
2
votes
1answer
419 views

Maximum Likelihood using a Kalman filter for two factor model

I'm trying to implement a Kalman Filter for the parameter estimation of a linear gaussian two factor model in Matlab. (Schwartz Smith model for commodity prices) In other words: I try to compute the ...
4
votes
2answers
196 views

Itô diffusion processes in finance with unknown distribution at a terminal value

In several papers it is argued that for many Itô diffusion processes, $$dX_t = a(t,X_t)dt+b(t,X_t)dB_t,$$ in mathematical finance the distribution of $X_T$ for fixed $T>0$ is unknown, which makes ...
4
votes
0answers
486 views

Formula for the efficient portfolios (mean-variance optimisation)?

Consider the setting of mean-variance portfolio optimisation: $n$ assets with expected returns $\overline{r}_1,...,\overline{r}_n$ and standard deviations $\sigma_1,...\sigma_n$. For a certain fixed ...
1
vote
2answers
230 views

constructing best bid/ask from NASDAQ TotalView-ITCH data

anybody know how to construct a intraday stock price from NASDAQ TotalView-ITCH data? I would need to know the price in millisecond, so I would need two rows: timestamp (for every millisecond) and ...
2
votes
1answer
270 views

Pricing credit risky bonds

How do we price credit risky bonds? If I discount the cash flows using LIBOR/zero rates, it won't take the credit riskiness into account. So should I use a rate based on the issuer's credit spread? ...
1
vote
1answer
170 views

Basics about the scaling property of volatility

It is a usual practice to calculate realized volatility $\sigma$ using the square root of the usual variance estimator $\hat{{\sigma}²}$. This is done using the stock log returns (practitioners ...
3
votes
1answer
83 views

How accurately can the LIBOR market model price a floating note

I am considering some hedging strategy where portfolios of derivatives are built so that each portfolio is equivalent to a floating note, even if the instruments in the portfolio might be quite ...
1
vote
0answers
122 views

What is the right group of durations?

It seems that the group of durations commonly used in quantitative analyse is $\mathbf{R}$ but it seems to me that $\mathbf{R_+^*}$ could also be an interesting choice. While I am not aware of ...
6
votes
3answers
305 views

How to choose a risk-neutral measure when the market is incomplete?

I am more of a probabilist than a financial mathematician. I am currently working on the features of American put options under a particular stochastic volatility model. Like most stochastic ...

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