# All Questions

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### S&P 500 and Dow Jones from Google API

How can one query the Google Finance API for Dow Jones and S&P 500 values? The queries for Dow Jones and S&P 500 will result in error: http://www.google.com/finance/historical?q=.INX&...
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### Computing loss of Call / Stock Purchase

A seller of an European Call, can, subjectively have unbounded losses. This loss may be mitigated by buying the stock (covered call). In this case,, the loss will be bounded at A. How would one ...
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### Data of Credit Migration Matrices

Please advise that how to get the data of credit migration matrices There is a paper of credit migration matrices, I would import the data to Matlab or R for credit analysis. https://www....
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### How to get historical fundamental data in Bloomberg suitable for backtesting?

I'm trying to retrieve historical stocks fundamental data from Bloomberg to backtest some quant ideas. I'm having trouble to find the correct point in time the data was available. For instance, the ...
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The problem: Let $T >0$, and let $(\Omega, \mathscr F, \{ \mathscr F_t \}_{t \in [0,T]}, \mathbb P)$ be a filtered probability space where $\mathscr F_t = \mathscr F_t^W$ where $W = \{W_t\}_{t \... 1answer 58 views ### Modeling transaction cost with single-counted turnover ratio Why do people use "Single-Counted" turnover ratio when modeling for transaction cost. I read a paper (Factor Investing in the Corporate Bond Market) which uses only the purchase side as turnover ... 2answers 44 views ### Correlation of Asynchronous Brownian Motion I am trying to use the closing prices of the S&P 500 and the Nikkei Index to see how they are correlated (assuming they are exactly 12 hours apart). In order to test my method, I have generated ... 1answer 36 views ### How to fit a skew normal/t copula to data I want to use either the skew normal copula or the skew t copula with a time-varying correlation matrix. But so far I haven't found any way to implement this either in R or Matlab. Would anyone be ... 5answers 9k views ### Data source for historical Share Outstanding totals for individual stocks? Data is normally adjusted for splits/reverse splits, etc. The current shares outstanding is usually available. Is there a data repository that captures the shares outstanding for any point in the ... 1answer 74 views ### Interpretation of Risk Premium for Schwartz one-factor model I have to deal with this one-factor model: \begin{equation*} \begin{cases} dS_t = \alpha \bigl(\mu - \log(S_t) \bigr)S_t \, dt + \sigma S_{t} \, dW_t \, , t \geq 0,\\ S|_{t=0} = S_0 > 0, \end{... 1answer 77 views ### Standard Stochastic Volatility Models VS Moving Average Stochastic Volatility Model Hi... I am comparing the log-volatility of two SV models with an application to MATLAB. Since I am a rookie in this field, I do not know if I am wrong in interpreting the graph. In my opinion the only ... 2answers 138 views ### Confusion on stationarity vs deterministic trend Sorry for the newbie inquiry but I'm having a little trouble making sense of stationarity and how a the presence of a time trend impacts this. I'm working on a model for operating margins and as a ... 1answer 365 views ### ARMA+GARCH prediction with package rugarch (R) I am analyzing FTSE 100 series, from 2007-01-01 to 2010-12-31 (university exam homework). I have to use the data 'til 2010-11-30 as sample, and the remaining (23) observations as in-sample forecast (... 1answer 62 views ### what % of stocks with +$1b market cap will double in 3 years on average historically?

If I'm looking to pick stocks that will double in 3 years, how do I figure out what is the likely universe that I'm choosing from? I just want a rough estimate of the universe given the market cap ...
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### Questions on Kelly criterion

I am new to asset allocation problems and have some concerns regarding the derivation of the continuous-time Kelly criterion (i.e. not the original version destined to discrete sports betting/Casino). ...
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### Asset Pricing: What happens to the Risk-Free rate and the Equity Premium?

What would a standard asset pricing model predict for the risk-free rate and the equity premium, if the volatility of consumption growth fell? My gut feel is that the equity premium should fall, but ...