1
vote
2answers
2k views

Calculate Average Price, Cost, (Un)Realized P&L of a position based on executed trades

We have built an algorithmic trading software and need to calculate the following parameters for each position in our portfolio. Average Price Cost Realized Profit & Loss Unrealized Profit & ...
-1
votes
1answer
176 views

Can Beneish's model for detecting earnings manipulation be applied to companies in the UK?

As I understand it this model derived from data for US companies. Is it valid to apply the model as is to UK companies or does it require any modifications? Description of the model: ...
3
votes
2answers
189 views

Fundamental reasons for the stock price change

Let us start from the old times, where markets were less liquid. Suppose I hold some stocks of the company XYZ and I want to sell them. Why shall I expect that their price can rise in the next quarter ...
0
votes
0answers
128 views

“Real” DMA to Options Markets

I'm looking for a broker with DMA to large options markets (CME, ISE, CBOE). Broker should be HFT friendly, i.e. offer fast API, low fees for huge amount of trades and so on. Price is not an issue. ...
1
vote
0answers
295 views

Pricing options and bid-ask spread

Consider a non-liquid option market with a wide bid-ask spreads across all strikes. Spot: \$52 A snapshot of the \$50 strike shows: ...
2
votes
0answers
71 views

Survey of market making strategies and research [duplicate]

I am undergoing a focused study of market making theory. So far, I've encountered the following papers: Market Making and Mean Reversion Adapting to a Market Shock: Optimal Sequential Market-Making ...
2
votes
1answer
494 views

How to simulate stock prices with stochastic time change subordinated arithmetic Brownian Motion?

the idea is to simulate price returns thus to be normally distributed i 'am trying to use subordinated arithmetic brownian motion subordinated to time activity (volume) stock prices are following GBM ...
3
votes
1answer
210 views

What is the correct Stutzer index and Sharpe ratio relation, assuming a normal returns distribution?

Assuming the returns distribution is normal, then there is a relation between Stutzer index and Sharpe ratio. However, I found in the following paper 2 different equation: Paper I (page 10-11)‎ ...
5
votes
1answer
290 views

Why is the Put-Call Symmetry model dependent?

The put-call symmetry states that C(S,t;X,r,q) = P(X,t;S,q,r), and that this works for American options. According to my notes, this is 'model dependent' because it ...
1
vote
4answers
404 views

Trader's identity in a limit book

In a limit book like NASDAQ ITCH, can liquidity suppliers know the demand-side identity of a trader prior or after a trade? Knowing this will help me with my theoretical model that I am trying to ...
1
vote
1answer
111 views

Calculating spot level using tick data

What is a proper (or commonly used/accepted) way of calculating some spot value with tick data? At the moment I can think of two options: Take the latest available best bid, latest available best ...
0
votes
1answer
257 views

Delta in Covered Calls?

Just want to check whether i understand it correctly: Long Calls have positive delta Long Puts have negative Delta Long stock has 0.01 delta 100 Shares have 1 delta Therefore: Covered Call = 1 ...
1
vote
0answers
155 views

Market Standard Pricing Models for Fixed Income Securities (Vanilla)

To clarify my heading, I have been searching for a material that consolidates all standard Fixed Income Security Pricing. E.g. ...
2
votes
1answer
453 views

Setting up Schedule for an amortizing floater in QuantLib

I am unsure as to the exact arguments required for the Schedule function for an amortizing floater - my code is listed below. Specifically, my question pertains to whether the schedule should always ...
4
votes
2answers
460 views

Differential equation for log-returns

I have a question that might be trivial to most of you, but somehow I'm not able to solve it by myself. I have a disagreement with my colleague on the distributional properties of a Geometric Brownian ...
4
votes
2answers
305 views

Is there a contradiciton between option prices being martingales and the use of options for speculation?

It seems like there is a contradiction between the fact the option pricing is risk-neutral and the large amount of option trading that is done for speculation. Since the option is risk-neutral, a ...
2
votes
1answer
355 views

In Mean-Variance Analysis, why not the efficient frontier being pushed to the left near the axis?

I took some classes in portfolio theory, and learnt the Markowitz Mean-Variance Analysis. If only two risky assets, the efficient frontier would be a hyperbola passing through the two points; now if ...
6
votes
0answers
265 views

Implied term structure from risky discount curve: does it make sense?

We know that, taken every discount curve, it's possible to calculate its forward rates according to our tenor preferences. We know also that it's actually possible to extract an implied term ...
4
votes
5answers
783 views

FIX- what exactly do repeating groups represent?

I am trying to find out what is the purpose of "repeating groups" in FIX and what exactly do they represent? Are they all related to the same order and if so, why do you need repeated tags? If they ...
2
votes
0answers
59 views

Calculating the error of a Trinomial Model

I've been trying to find a formula to obtain the maximum relative error a trinomial model with n timesteps will incur given all other inputs as compared to the standard BSM model. I'm concerned mostly ...
1
vote
1answer
369 views

Automatic fixing of missing floating rate in QuantLib's addFixing()

Due to the periodic fixing of floating rate bonds's coupon rates, in order to calculate the bond clean price one must tell the pricing engine to account for previous LIBOR rate fixing. If I am right ...
3
votes
1answer
300 views

Which method is implemented by Excel's YEARFRAC for ACT/ACT?

I know the algorithm used by Excel to calculate the YEARFRAC(startDate, endDate, basis) for basis=1. Excel calls the method "act/act". A Java re-implentation of Excel's algorithm can be found at ...
2
votes
4answers
501 views

Robust Returns-Based Style Analysis

Sharpe's Return-Based Style Analysis is an interesting theory but flawed in practice when working with long-short funds or funds that are changing strategies over shorter periods of time due to the ...
1
vote
1answer
199 views

Definition of “tenor” argument in QuantLib's Schedule class object

In QuantLib an object of class Schedule takes const Period &tenor as argument. I would ...
-1
votes
1answer
495 views

Calculating arbitrage- S&P 500 stocks vs S&P 500 Index future?

How exactly would I go about investigating whether the S&P 500 stocks were currently over-valued compared with the price of the S&P 500 Index futures contract? Is it just a case of taking each ...
4
votes
0answers
319 views

Is this methodology to calculate Alpha using multi-factor regression model correct?

I am trying to find out Historical Alphas of a bunch of fund returns ${F_i}$ by Using Regression Model$(stepwise)$ with regressors as its underlying exposure-returns(risk-free rate subtracted) i.e. ...
2
votes
0answers
120 views

Pre-Trade Slippage Costs For Option Spread Execution

Is there a quant model that can help estimate how much slippage one would have to give up in order to get an "option spread" (vertical, butterflies, etc.) order executed? What factors should one look ...
6
votes
1answer
225 views

Time series analysis on illiquid price data?

Say for example I have the following company in some specialized industry: A - Company that is about to be listed in Exchange 1, i.e., no price history B - Company that produce similar products as ...
3
votes
1answer
658 views

Fitting a GARCH BEKK model

I am trying to find whether there is significant volatility transmission between two price series (t=1000). A literature review learned me that the GARCH BEKK model is suitable for this. The SAS ...
7
votes
1answer
395 views

Are there any other standard rates term structure decomposition than PCA?

PCA is sometimes used to estimate components in the rates term structure. Are there any other standard method discussed in the literature or used in practice, what are their advantages and ...
0
votes
0answers
68 views

Input for unanticipated risk premium estimation

In the paper "Economic Forces and the Stock Market" by Chen, Roll and Ross, unanticipated risk premium (URP) is tested as a potential risk factor for stock returns. This factor is commonly calculated ...
1
vote
0answers
66 views

How to choose a window for curve fitting and prediction?

I am using Pareto distribution to fit a serie of survival rates (with least square). My ultimate goal is to use this fitting curve for prediction. Thus I would mainly focus on the tail of the ...
6
votes
3answers
584 views

Testing the validity of a factor model for stock returns

Consider the following m regression equation system: $$r^i = X^i \beta^i + \epsilon^i \;\;\; \text{for} \;i=1,2,3,..,n$$ where $r^i$ is a $(T\times 1)$ vector of the T observations of the dependent ...
1
vote
0answers
88 views

How to show that the risk contribution function is or is not injective?

Assume a portoflio $w \in \mathbb{R}^n$, you can get the total risk contribution $\psi_i$ of asset $i$ by doing: $$\psi_i = w_i \frac{\partial \sigma(w)}{\partial w_i}= \frac{1}{\sigma(w)} \left[ ...
1
vote
0answers
432 views

Long/Short portfolio return

Suppose I have a Po with one long, one short positions and some cash (to balance the short + 50% margin) as shown below: ...
2
votes
3answers
424 views

Transaction Data with Participant ID

For my master thesis, I need high-frequency data with the market participant ID or which identifies the trading parties, respectively. I don't need the entire orderbook but just the matched orders ...
7
votes
1answer
960 views

What is exactly Euler's decomposition?

I have often seen the following statement in different paper: As $\sigma$ is homogeneous and of degree 1, we use Euler decomposition and write $\sigma(x)=\sum_{i=1}^n x_i \frac{\partial ...
2
votes
2answers
542 views

Index arbitrage with Options when not all underlyings have options listed?

One arbitrage strategy involves looking at the price of the Index Futures price compared with the prices of the options contracts for the underlyings. My question is, can this arbitrage strategy ...
1
vote
0answers
119 views

Do you use software for finite element valuation or do you roll your own?

Engineers put a lot of time and effort in developping high quality finite element (FE) software (deal.II, Dune, Elmer,...). So I was wondering if some of those tools would be suitable for quantitative ...
2
votes
1answer
300 views

Should I use QuickFix or a 3rd-party commercial API to connect to the CME

I already use QuickFixN to connect to FX ECNs, and am now looking to branch out into futures. Googling it, it seems as if there are a lot of 3rd party APIs which are written to do this, but is there ...
0
votes
1answer
289 views

Where does CME store Security IDs for FIX messages?

Where does CME store Security IDs for FIX messages? I cannot find them anywhere? So given Security ID XX I can go and work out what product this actually is?
9
votes
1answer
886 views

academic papers about market making

I am looking for academic articles which model the p&L of market makers. I have read the Ho-Stoll (1984) article. Is there any recent article on this subject?
10
votes
7answers
6k views

Except Zipline, are there any other Pythonic algorithmic trading library I can choose?

Except Zipline, are there any other Pythonic algorithmic trading library I can choose? Especially, for backtesting?
4
votes
1answer
679 views

How to price a bond at specified dates in QuantLib

I am wondering what's the most efficient way (i.e. the method which involves the fewest arguments) to price a bond at a specified date, e.g. a future date (as instance, 6 months from now) in QuantLib. ...
4
votes
1answer
258 views

Liquidity diversification

The liquidity diversification can be measured by the liquidity score, defined here as the ratio between the pure market P&L CVaR and the market+liquidity P&L CVaR. I have tried to reproduce ...
2
votes
0answers
129 views

CVA DVA and Bilateral adjustment

I've already computed the CVA\DVA and now I would like to compute the bilateral adjustment. Does anyone know the relationship between the CVA\DVA with the bilateral adjustment? I mean a paper, ...
1
vote
3answers
278 views

Risk Neutral Evaluation - Exchange/Spread Options

I have two assets, $S_1$ and $S_2$, which follow geometric Brownian motion processes. This implies that both $S_1$ and $S_2$ have a lognormal distribution. I'm trying to get the exchange option price ...
1
vote
1answer
207 views

“Friendly” papers about maximum smoothness yield curve modelling

I'm currently looking to implement some version of the yield curve modeling techniques in the maximum smoothness framework. The papers I have found so far explains the theory pretty well, but I find ...
6
votes
6answers
6k views

Why non-stationary data cannot be analyzed?

Searching online, i found out that non-stationary cannot be analyzed with traditional econometric techniques as in case of non-stationarity some basic model assupmtions are not met and correct ...
2
votes
1answer
180 views

Risk-neutral models for rights issues

A rights issue is the granting by a corporation to its shareholders of a right to purchase $N$ new shares for each $M$ shares they already hold at a (often discounted) price $K$. Thus, it ...

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