4
votes
2answers
233 views

is there an analytical proof that vega-neutral also provides (gamma & theta) neutral?

I've read an answer here that say if your security has vega, then it has gamma and theta. is there an analytical proof that vega-neutral also provides (gamma & theta) neutral?
2
votes
1answer
164 views

why is there a cancel/replace message in FIX?

Couldn't we just cancel existing order and enter new order? Is there any other reason apart from a communication overhead that now we need to send 2 messages vs just 1 message to cancel replace?
2
votes
2answers
382 views

Multivariate GARCH in Python

Is there a package to run simplified multivariate GARCH models in Python? I found the Arch package but that seems to work on only univariate models. I'd like to test out some of the more simple ...
3
votes
1answer
114 views

How to calculate $E^{T_N}(L(T_i, T_{i+1}))$?

suppose $L(T_i, T_{i+1})$ is the LIBOR rate between $T_i$ and $T_{i+1}$, and $T_N$ is some time later than $T_{i+1}$. $E^{T_N}$ is the $T_N$-forward measure. I tried to work this out using John Hull'...
4
votes
2answers
129 views

Estimating an appropriate haircut for illiquid stocks

I am trying to determine an appropriate haircut for a basket of illiquid stocks that barely traded during the year. Can someone suggest me an approach to estimate the risk? My dataset has a lot of ...
0
votes
0answers
70 views

Number of simulations for Monte Carlo CVA

Assuming we are calculating CVA across a netting set with a Monte Carlo methodology: 1) How many future dates ("horizons") would be typical - or does that depend entirely upon the composition of the ...
4
votes
0answers
310 views

How to forecast high-frequency data?

Introduction: I have seen a plenty of articles/books regarding volatility forecasting applied to high frequency data, but none of them were dedicated to forecasting the actual prices (for example bid/...
3
votes
0answers
570 views

credit risk - How to calculate the probability of default (private companies)?

Part of my master thesis I am working with a company. I have the project to use their financial database with all the financials data (7 years) of approximately 3’000 companies. They have their own ...
1
vote
0answers
77 views

CVA for an inflation linked swap

I am trying to value an inflation linked swap and wish to calculate the associated CVA and DVA. I think the best way to approach this would be via a simulation. Suppose I wish to calculate CVA over ...
2
votes
2answers
106 views

Why t (time) in Black Scholes & Binomial defined as year?

What's the logical/scientific explanation for Black Scholes & Binomial using year rather than second (SI standard for time) ?
3
votes
0answers
51 views

Is there any index calculation methodology that is suitable when constituents change frequently?

Trying to create a custom stock sector index, however adding/dropping of the constituents will be frequent. Which kind of index calculation methodology (e.g. Price Weighted, Equal Weighted, Cap ...
-2
votes
1answer
59 views

what is the cost for rolling 5 year german future?

im looking at the bobl future for september and for december and see 1.8 basis points difference. i wanted to know why there is this gap? and if im holding a position in september and want to roll it ...
5
votes
2answers
405 views

How to calculate volatility on intraday data?

I have several weeks of minute-by-minute stock data (start and end prices, volume). Everything I've read so far leads me to believe there isn't a standard method for volatility, which is leaving me ...
2
votes
1answer
41 views

Futures Holiday Schedule

I am trying to find a place where I can get S&P Emini contract trading days. I would like to get the contract first appearance (September 9th 1997) until today. I can get Holidays but nothing ...
3
votes
1answer
66 views

What is the tail index for NIG and/or VG?

...as a function of NIG (Normal Inverse Gaussian) or VG (Variance Gamma) parameters, obviously. I've read that the NIG $\alpha$ is related to the $\alpha$-stable tail parameter, which conversely maps ...
6
votes
1answer
245 views

Density forecast of a GARCH model

I am currently working on developing a series of density forecasts and I am encountering some problems. I am working on weekly S&P 500 returns and the returns process is described as $r_{t} = \...
6
votes
1answer
330 views

How to use physics models in Time Series Analysis and Forecasting.

I have been studying methods of Technical Analysis for several years and I am disappointed. I actually do not consider it useful. I have not met anyone who can constantly win in the market using these ...
1
vote
0answers
183 views

Automated Import of 10-Q and 10-K Statements in XBRL Format from SEC.gov

I want to read financial statements in XBRL Format from the SEC site automatically. For instance the 10-Q File from Apple: http://www.sec.gov/Archives/edgar/data/320193/000119312515259935/aapl-...
3
votes
2answers
162 views

How to user GARCH(p,q) to identify most volatile sector?

I would like to ask help concerning the utilization of GARCH(p,q) models to identify volatility. Suppose that I have daily closing prices of 6 financial sectors spanning several years, and I am ...
0
votes
0answers
53 views

Modelling commodity price uncertainty with brownian motion - time period impacts

background I have two separate models of a metals resources company. Each model produces a series of accounting and cashflows forecast for different assets, and consolidates these to a overall ...
1
vote
1answer
629 views

Calculate and plot historical volatility with Python

I have downloaded historical data for FTSE from 1984 to now. What I would like to do is to graph volatility as a function of time. What I have written is: ...
1
vote
1answer
176 views

Original Fundamental Accounting Data (Not Ratios)

Where do I get original fundamental accounting data from income statement, balance sheet and cash flow statement, like Sales/Revenue, Gross Income, EBIT, Operating Income, Cash & Short Term ...
0
votes
1answer
1k views

How to calculate Credit VaR?

(source John Hull, Options Futures and Other Derivatives 8th edition) I can't follow why Hull calculates Credit VaR in the following manner. I thought CVaR was Unexpected Loss$_{confidence}$ - ...
0
votes
0answers
18 views

Calculating Portfolio Risk with different assets [duplicate]

I want to calculate the risk of a portfolio (for a certain year) that includes several assets. Therefore, I want to calculate the standard deviation of each specific asset. I will calculate the ...
1
vote
1answer
23 views

Source of market or security attribute information?

There are many securities and exchanges on platforms like Bloomberg and Quandl, but many securities are described with the relevant pit close times and pit open times, exchanges, related futures, and ...
1
vote
1answer
197 views

Utility Theory - Certainty equivalent approximation formula derivation

I have a question on an exercise from chapter 9 of D. Luenberger, Investment Science, International Edition, where I suspect there may be a typo. Exercise 8 (Certainty approximation) There ...
1
vote
1answer
63 views

What is the correlation of stock options?

I want to calculate the VaR of two correlated option positions, and I know the correlation between stock price returns. I want to separately calculate $Var_1$,$Var_2$ for option 1 and 2, and then use $...
0
votes
1answer
530 views

Gamma Imbalance Explanation

Can someone please give me an explanation as to what put-call gamma imbalance specifically refers to (imbalance of what?), and why they may exacerbate volatility from a market perspective, and why the ...
7
votes
2answers
2k views

Performance of Open Source Time Series Database for Financial Market Data

We would like to store financial tick data in a database (potentially billions of rows) and then create aggregated (open-high-low-close) bar data from it (e.g. 1min or 5min bars). It was mentioned ...
1
vote
2answers
285 views

Why QuantLib computes the fixed-leg swap rate by this formula?

I'm trying to understand how QuantLib creates (bootstraps) a yield curve from a vanilla swap at the source level. I have the following test code: ...
3
votes
1answer
92 views

Why the negative sign in modified duration relationship

If $P$ is price, $D$ modified duration and $y$ yield then we have the relationship, $$dP=-D \cdot P \cdot dy$$ Why is there a minus sign and what does correspond to?
1
vote
1answer
67 views

What is this ratio: expected returns on stock divided by risk free rate?

So this ratio has come up in some work I'm doing and I can't seem to figure out if it is attested in the literature. Here's the setting: Given a risk free rate $r(t)$ and a stock price which follows ...
1
vote
1answer
31 views

Modeling credit utilization and stock market growth

I relatively new to financial mathematics but I am wondering if at all there exists a relationship between credit utilization (the rate at which the public accesses credit from financial institutions) ...
2
votes
1answer
197 views

Utility Theory - How to show that this exponential utility function is wealth-independent?

I have a question on the following exercise from chapter 9 of D. Luenberger, Investment Science, International Edition. Exercise 2 (Wealth Independence) Suppose an investor has exponential ...
1
vote
0answers
28 views

Portfolio Hedging under Uncertain Correlations

I have a portfolio ($w_0=1$) and two hedging assets ($w_1,w_2$) and a co-variance matrix for the three $\Sigma$. However the co-variance $\Sigma$ is only an estimate. For fairly well behaved assets ...
0
votes
0answers
89 views

residential mortgage prepayment modelling

I'm trying to develop a model for predicting prepayments, after reading several arcticles about it over the net. the model should use market data and be behavioral model (i.e. regression/survival ...
-1
votes
2answers
106 views

Numerical computation of Heston model Integral: Simpsone Rule or Gauss-Legendre Method

I want to price a call option using the Heston model for a given set of parameters. theory from URL: http://elis.sigmath.es.osaka-u.ac.jp/research/Heston-original.pdf The integral equation (18) ...
0
votes
0answers
29 views

Are low oil prices and low shipping costs really a leading indicator for a shrinking economy

Recent article in Bloomberg saying that lowered shipping costs n the form of the Baltic Dry Index and lowered oil prices are in someway a concern for a growing global economy: http://www....
5
votes
2answers
207 views

Research topics - neural networks and market liquidity

I am a masters student looking for some direction on using neural network on market depth data to help predict market liquidity and bid-ask spreads. Can some of the more experienced people give me ...
0
votes
0answers
151 views

Interpretation of the CAPM model under Stochastic Portfolio Theory framework

The CAPM under the Modern Portfolio Theory approach is given as: $$ R_i = \beta_i R_\pi $$ Where $R_\pi$ the portfolios expected excess returns Under the stochastic portfolio theory approach: $$ r_i ...
0
votes
1answer
456 views

How to calculate annualised tracking error?

I have 36 months of relative returns and I need to calculate the annualised tracking error. So, using 36 months of returns is it simply like below: ...
4
votes
2answers
166 views

Bloomberg implied volatility smile for equities

I was wondering if someone knows how Bloomberg does their computations for the implied volatility smile for equities. As far as I understand, they use a lognormal mixture to model the stock prices. ...
2
votes
1answer
308 views

Send TRAIL STOP order when price hits a certain level, with IB TWS

Posting here after searching around and not finding any responses to basically the same question that I saw on EliteTrader, with another variant posted 10 years ago (update: the same question on Money)...
1
vote
0answers
52 views

labeling high frequency signal data

Was curious if anyone has methodologies they can recommend for systematically labeling (discrete) signals generated from intraday tick data for use in classification or detection models ?
1
vote
0answers
27 views

number of trades - flaw in White Reality Check?

I went through Whites paper of the reality check for multiple strategy testing. To summarize at a simple example: I have 2 strategies, s1 and s2. s1 gives 2 signals and therefore 2 returns, s2 gives ...
4
votes
1answer
253 views

Difference between Sharpe Ratio and Information Ratio

I am finding it difficult to understand the difference between the sharpe ratio and the information ratio and the relationship between the two, and cannot find a decent reference that breaks it down ...
4
votes
1answer
89 views

Full Kelly portfolios having same weights as tangency portfolios

I'm currently comparing empirically the differences between Markowitz and Kelly portfolios. I calculated the Kelly weights for monthly return observations over 10 years for a sample of 50 stocks from ...
2
votes
0answers
334 views

How to calculate yield spread?

I came across this multiple choice question on yield spread and I can't understand why the reasoning for the selected answer is correct.Can you confirm or clarify ? ( emphasis in the text is mine) ...
0
votes
1answer
58 views

Isolating single assets standard deviation in a portfolio accounting for correlation

I am running a simple Monte Carlo analysis in Excel using mean return, standard deviation and the =NORMINV(RAND(),mean,std dev) method. I have a correlation matrix that I use to compute the portfolio ...
2
votes
0answers
42 views

Want to understand the links and relationship between all the risk metrics?

For Example : if Risk weighted asset (RWA) increased or decreased this month, which other risk metrics could have influenced RWA to increase or decrease. Also in different situations like, upward ...

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