1
vote
1answer
181 views

How are netting sets determined for CVA calculation?

In his book, Gregory describes a netting set as a set of trades that can be legally netted together in the event of a default Obviously, the netting agreements (as per ISDA master agreement) ...
0
votes
0answers
35 views

Mutual Fund Cash Level Data

I look for a source to download historical monthly mutual fund cash level data from. Is there any free/cheap source available?
7
votes
2answers
316 views

HFT to blame for Flash Crashes?

Some people 1, 2, 3 claim that High Frequency Trading is partly to blame for the extreme volatilities in the markets yesterday (24. August 2015). Is that true? Is the amount HFTs move even enough ...
4
votes
1answer
168 views

Yahoo finance, interactive chart and historical prices are different

I am very new to the stocks. I checked the TNTE.AS stock on Yahoo Finance website. Here it provides "Interactive Chart" and "Historical Prices". But I found they are showing different values. For ...
4
votes
1answer
107 views

How are Quandl monthly S&P500 earnings estimates derived?

Can someone explain how the monthly earnings estimates are derived for S&P500? Quandl sources multpl.com, who state: ...
1
vote
3answers
99 views

reference for elementary mortgage math

I have a student doing a project on default rate & prepayment rate for mortgages. She would like to include a section on how the quantities affect pricing, & so would like to reference a ...
2
votes
0answers
32 views

Specifying integration level of time series [closed]

Following model was estimated on 200 observations. How to specify the level of integration of $X_t?$ In brackets there are standard errors and p-value of Breusch-Godfrey test is also shown. $X_t=0,02+...
3
votes
2answers
229 views

Relationships between white noise and random walk

I would like to ask 5 questions about relations between these processes. 1) Could white noise be also a random walk? 2) Could random walk be also a white noise? 3) Could white noise be stationary? ...
1
vote
3answers
225 views

Realtime Exchange Rate Data API

There are various sources for real-time exchange rate data, e.g. Ariva EUR/USD. Is there also an API or other source which enables to automatically retrieve real-time exchange rates as a data stream ...
1
vote
2answers
52 views

How to arrive at expectation of negative utility function via Taylor series expansion

I'm attempting to follow an author's steps in an argument and having trouble seeing how Taylor series expansion can be applied to give the stated result. The scenario is as follows. The mid price ...
0
votes
0answers
69 views

how best to equalize individual pair risk in a portfolio of stock pairs?

I am building a portfolio of stock pairs in which each pair is individually hedged via beta/hedge ratio adjustment. I am looking for a method to ensure that I am taking the same risk in each pair that ...
2
votes
0answers
48 views

The best way to generate market scenarios [closed]

What general approaches could you recommend for modeling spot rates(for different maturities) and forward rates?(eg for LIBOR) I need to generate scenarios for term-structure of interest rates. What ...
1
vote
0answers
19 views

Stiffness of numerical methods for SDE

What can I do with stiffness of numerical methods for SDE? I want to use numerical approach for solving SDE in market's scenarios generation. Is there any general approach to handle it?
2
votes
1answer
93 views

Hidden/Dark Pool Hedge Funds

Is there a noun for investment funds which do not disclose the assets they are investing in to their customers? Some exchanges are called "Dark Pools" where the orderbook is hidden to traders, so I ...
1
vote
2answers
338 views

Vega hedging with implied volatility smile

I have a problem with vega hedging. Consider the management of an exotic derivative, such as Barrier option. Typically we do the following tasks: selecting a pricing model, say, a local volatility ...
1
vote
3answers
640 views

How do right-to-break clauses affect CVA calculations

Does the presence of a optional/mandatory right-to-break clause affect CVA calculations, and if so, how? Given two (otherwise identical) 10y swaps with the same counterparty, one of which has a right ...
0
votes
1answer
80 views

Explain equation to calculate CDS spread

I've come across this equation in a text and can't figure out what part of it is doing. (Using quarterly installments) $\frac{1}{4*10^4}s^t \sum\limits_{u=1}^{4t} p_{0.25u}[(1-\pi_{0.25u}) + \frac{...
1
vote
0answers
53 views

Smoothening yield curve by minimizing forward curve slope

I am using government bullet bond data and have bootstrapped a yield curve by solving the following optimization which minimizes unweighted price error: $$\text{min}\sum_i\left(P_i-\sum_t\frac{F_{it}}...
1
vote
1answer
70 views

Rebucketing Risk using PCA/other methods

was working on a project and could use some help. New to the community and looking fwd to being an active part of it. My question is, let's say we have a vector of securities V, and it trades with ...
1
vote
2answers
88 views

Question about find no arbitrage trading strategy

We got the stochastic process for stock price of n stocks at continues time. We can find if there is a arbitrage trading strategy or dominant trading strategy. I wonder if we cannot find such ...
0
votes
1answer
128 views

VIX Calculation - weighting of strikes

The formula for calculating the VIX from SPX options is given on page 4 of this document: https://www.cboe.com/micro/vix/vixwhite.pdf My question is, why is the option price at each strike weighted ...
0
votes
0answers
41 views

Whats the formula to calculate the FV, incorporating monthly deposits?

I need a Formula to calculate the future value of an investment based on current principal, interest, number of years, compounding interval (times annually) and monthly deposit. So basically $...
2
votes
1answer
17 views

Distress firms and cross section returns

In George and Hwang's 2010 JFE paper, they are trying to resolve the so called distress risk and leverage puzzles. This is their explanation: This is a puzzle because high distress intensity or ...
0
votes
2answers
157 views

How to handle currency change in exchange rate volatility measurement

I am trying to measure exchange rate volatility in some countries and I am using their currencies against euro. Problem is that one of them is Slovakia which has changed the currency in 2009 from ...
0
votes
0answers
19 views

Strange / Incorrect / Unusual Data on Google Finance 1988 [duplicate]

Looking at XOM (but it is the same for many stocks) there is an odd drop in the stock price during 1988. It drops around the new year and pops back up around the next new year. This drop is present ...
0
votes
0answers
142 views

Maximum Likelihood Estimation Heston Model using Matlab

My question is based on the MLE of the Heston model discussed in this paper URL: http://www.princeton.edu/~yacine/stochvol.pdf with Matlab code: http://www.princeton.edu/~yacine/closedformmle.htm ...
5
votes
1answer
110 views

How to calculate Skulls Financial Turbulence for one asset?

I have just read this paper http://www.cfapubs.org/loi/doi/abs/10.2469/faj.v66.n5.3 In the paper they define financial turbulence formula as: Could anyone help me calculate/understand this formula,...
0
votes
1answer
86 views

need help with Donchian-channels function!

I want to be able to plot Donchian-channels. It's probably easier to use numpy but, am not that fluent with numpy yet so i thought i could make a function that takes two arrays as input(Highs and lows)...
4
votes
3answers
525 views

How do I calculate approximate equity liquidity?

I am a developer rather than a quant. I need to decide whether a given equity passes some basic liquidity threshold. It doesn't have to be precise, just good enough. I have a Bloomberg terminal data ...
0
votes
1answer
75 views

How to weigh many factors using a SMA/EMA

I'm learning about the SMA/EMA technical analysis, as well as, indicators such as Bollinger Bands, Stochastic Oscillators, MACD, etc. How do you know which one to use and which to weigh more over ...
1
vote
1answer
79 views

Investor choice problem

Guys I'm stuck with a problem... Consider the portfolio choice problem of a risk-averse individual with a strictly increasing utility function. There is a single risky asset, and a risk free asset. ...
0
votes
0answers
49 views

Risks Associated with Option Arbitrage Portfolio

If my math is correct, if I construct the following portfolio of options the worst that I can do regardless of what the underlying does is profit $1.74 (less commissions). Is this correct? Are there ...
1
vote
0answers
124 views

stochastic calculus and multidimentional itos lemma

I am considering a number of assets (N) in a portfolio. each asset follows a geometric Brownian motion process therefore the stochastic differential equation is dS(i) = S(i)μdt + S(i)σdX(i). The ...
0
votes
0answers
27 views

How to evaluate data handlers

How would I go about evaluating CME data handlers? Looking at:how to define and measure latency Two colo servers should have the same Order to Accept times. If the algorithm to generate the order (...
0
votes
0answers
37 views

Where can I find historical P/E values of Russell 2000 Value and Russell 2000 Growth index?

I have no problems finding the current values, but historical (ie yearly) is harder and even my commercial databases have failed. Only need the last ~15 years or so, and yearly is enough. Do any one ...
1
vote
1answer
35 views

Expected value of bivariate lognormal spread

I don´t know how to derivate the Expected Value for the following problem: Suppose that the random vector (S_1, S_2) has a bivariate lognormal distribution with ...
1
vote
3answers
150 views

What is the difference between market equilibrium and market efficiency? equilibrium implies efficiency?

The market efficiency hypothesis means securities are traded at their fair price. If the market is at the equilibrium, does it mean the market is efficiency? If equilibrium cannot implies efficiency,...
2
votes
0answers
112 views

R quantstrat backtest with dollar based position sizing

I am attempting to tweak a quantstrat based backtest but have run into an issue. The maxPos limits are share based, and I would rather use a fixed dollar amount instead. So I've tried generating a ...
1
vote
0answers
41 views

Choosing Optimum Sampling Frequency

There was an interesting post made by Jonathan Kinlay where he discusses the use of a Fourier Transform to discover a potentially optimum bar frequency to choose as an input to a trading system. I am ...
2
votes
1answer
155 views

Derive OIS rate from IRS rate and Fed Funds/Libor basis spread

For example I have 7Y interest rate swap rate and 7Y Fed funds/Libor basis spread. What is the step-by-step procedure to derive OIS rate from these two?
0
votes
1answer
76 views

Citable source: Why implied volatility over dollar prices

I am aware of the reasoning of quoting vanilla options as implied volatilities rather than dollar values. However, I would like to have a literature reference where this is explained, to quote / cite ...
2
votes
3answers
190 views

Analytical soluton to the Black-Scholes equation with a modified European Call Option

Please consider the following modified European Call Option where $ 0 < a \leq 1$. When $a = 1$ the modified European call option is reduced to the standard European call option. ...
1
vote
0answers
105 views

GARCH filtering and extreme value theory

We are evaluating a model for risk management based on extreme value theory using peaks over threshold and markov chain monte carlo methods. In doing this, we are firstly fitting a GARCH (we have ...
1
vote
0answers
41 views

Good broad review of network modeling for quant finance?

Trying to find some good review of agent-based models for quantitative finance, covering opinion dynamics, correlated behavior, etc. Are there any articles or books that cover major advances in these ...
0
votes
1answer
221 views

When measuring autocorrelation should you use log returns or prices?

Let's say you want to measure intra day autocorrelation from 9:30 am to 1pm using 5-minute prices should you calculate the autocorrelation using raw prices or log returns (i.e. diff(log(prices)))? Can ...
2
votes
1answer
71 views

How to measure the volatility of illiquid bond with no historical prices

The basket of corporate bonds that I am following barely traded after the issuance. Hence, there is no historical data to estimate the volatility. Can you suggest me a different approach to come up ...
1
vote
1answer
277 views

Weights Blowing up in PCA

I'm using daily settlement data to get yield levels for a couple of products. From this data I am doing PCA on a rolling collection of the yield levels. I have been using sci-kit learn's PCA function, ...
2
votes
1answer
98 views

Is there any application of power law to predict large returns?

Power law basically states that after a certain threshold, probability distribution $p(x)\sim c\,x^{a}$ where $x > x_{min}$, which is often the case for financial time series. It is also generally ...
5
votes
2answers
930 views

Change periodicity on Rblpapi

So Dirk Eddelbuettel, Whit Armstrong, and John Laing released Rblpapi to CRAN recently, and it is awesome. I'm having some difficulty understanding how the overrides work though, hopefully someone can ...
1
vote
3answers
119 views

When valuing a vanilla option on an index, should we take dividend into account?

When valuing a vanilla option on an index (eg FTSE 100), should we take index dividend yield into account? $$ c=Se^{-q\tau}N\left(d_1\right)-Ke^{-r\tau}N\left(d_2\right) $$ $$ d_1=\frac{\ln\left(\...

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