0
votes
0answers
25 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 ...
0
votes
2answers
87 views

Analytical soluton to the Black-Scholes equaiton 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
24 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 ...
5
votes
1answer
134 views

How to calibrate a volatility surface using SVI

I've read the following paper by Gatheral and Jacquier and have several question regarding the calibration of a volatility surface in a arbitrage free way and some theoretical aspects. Let me first ...
0
votes
0answers
18 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 ...
1
vote
1answer
105 views

Reuters RIC chain for Eurodollar midcurve options

Can someone please tell me what this is? Thanks. Edit: The RIC for the straight eurodollar options is 0#GE+, I need RICs for the 1,2,3,4 mid curve options which the IMM/IOM calls GE0, GE2, GE3, ...
3
votes
2answers
83 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 ...
2
votes
2answers
87 views

Does No arbitrage(NA) imply efficient markets (EMH)?

The EMH states that stocks are traded at its fair values. This means there is no arbitrage strategy in efficient markets. However, if the market is no arbitrage, can we conclude the market is ...
0
votes
1answer
57 views

What is some book that is complete and easy but hard enough to serve as prerequisite for asset pricing and portfolio choice theory?

What is some book that is complete and easy but hard enough to serve as prerequisite for asset pricing and portfolio choice theory by kerry back? I wonder how come a beginning graduate textbook is so ...
0
votes
0answers
38 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
27 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
118 views

Looking for a definition of financial entropy

In Science, Entropy is generally considered to be the irreversibility of stuff. Google defines entropy as: lack of order or predictability; gradual decline into disorder The 'gradual decline in ...
1
vote
1answer
44 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 ...
1
vote
1answer
58 views

Why is CSA currency OIS rate used in discounting instead of local currency OIS?

I have been struggling to understand the logic behind cross currency OIS discounting (where cash flows happen in different currencies than the collateral is paid). I will illustrate my question ...
4
votes
2answers
64 views

Fama French model-small market beta (weird)

I am analyzing if good governance portfolios outperform bad governance portfolios. After dividing firms with good governance into one pf and bad ones into another for European companies I tried to run ...
0
votes
1answer
124 views

What are the canonical references on wholesale credit risk management?

I am trying to read up on "Wholesale credit risk ", but I can't find any useful references. Why is the emphasis on wholesale?
0
votes
1answer
30 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 ...
13
votes
7answers
8k 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?
0
votes
1answer
102 views

Technical Analysis - OBV indicator calculation in R

Here is a few references about OBV calculations: http://ta.mql4.com/indicators/volumes/on_balance_volume ...
0
votes
1answer
47 views

Bond price in Ho-Lee Model

I know Ho-Lee model and want to extract the price at $t$, of a European call option with strike price $K$ and exercise date $T$, on an underlying $S$-bond, but I don't know what way should I choose: ...
0
votes
3answers
73 views

Why Jumps in Option Pricing models?

The Bates model adds a Jump process to the Underlying. I understand this may represent observed time series more realistically, but why would one care about this in option pricing? The option price ...
1
vote
1answer
42 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
votes
1answer
267 views

Analytical solution for a modified Black-Scholes equation

Recently, a modified Black-Scholes equation was proposed (Zheng), namely Please consider the case when $$\sigma \left( S,t \right) =\sigma\,{S}^{k/2}$$ and with the European put option Using ...
1
vote
1answer
54 views

what are the criteria to select pairs?

I'm new to this forum, this is the first question I posted. I have many candidate pairs and I've used ADF test to make a first selection. There are more than 800 selected. The pairs are absolutely too ...
3
votes
1answer
280 views

Is volatility for the next day forecastable? To any extent?

In a more general way: is there 1) a methodological approach to quantify the correctness of a model that produces a probability distribution for the, say, S&P 500 index return for the next ...
0
votes
0answers
16 views

ROC — Output from Calculating Stock Returns Producing Lower Numbers Than Actual

I tried this on stack exchange, but think it is a better question here. I am beginning user and I need help with an error / bad output I am getting when calculating returns (using ROC) on stock ...
2
votes
1answer
147 views

U.S. Rate Hike Prediction

In a recent ft.com video an analyst mentioned that markets postponed their Fed rate hike expectation from September to around November 2015 due to the CNY devaluation, based on the "shift" of some ...
2
votes
1answer
105 views

Ideas about Stochastic volatility models

I am currently working on comparing different models for modelling the volatility and then pricing vanilla options (I use option prices on real stocks in order to calibrate my models and then I ...
0
votes
1answer
36 views

What P&L netting should one use when a strategy has trades in two different geographic locations?

I am familiar with the FIFO methodology of netting buys and sells to obtain a realized P&L and outstanding position. Suppose there's a strategy which runs in two different places A, and B and ...
0
votes
0answers
33 views

2-step estimation of DCC GARCH model in Python

Embedded in this thread are multiple questions. I'm currently im the process of implementing a DCC GARCH forecast model on quantopian (a python-powered trading platform). The two step consists of ...
1
vote
2answers
30 views

Expected Utility

We know that under certainty, any increasing monotone transformation of a utility function is also a utility function representing the same preferences. Under uncertainty, we must restrict this ...
1
vote
0answers
30 views

What does the cointegration coefficient represent in pairs trading when cointegrating log stock prices?

In Pairs Trading by Vidyamurthy, on page 83 (and throughout the book), the author describes an elementary example of trading with log prices. The long run equilibrium of the basic portfolio is given ...
0
votes
0answers
11 views

Effects of Subprime crisis on M&A?

I was wondering, besides the drastic drop (although not that much) in the number of deals and the total value of deals between 2007 and 2008, how did the Subprime crisis affect the M&A industry? ...
0
votes
1answer
46 views

Is the stock price process a martingale or a random walk in efficient markets?

What is the difference between RWH and EMH? In efficient market, the price will be fully reflected by available information. If there is no news, the price would be unchanged. If there is a news, ...
0
votes
0answers
11 views

Future value of the debt under Merton model

The author Malz states the future value of the firm's debt under the Merton model can be found from: $$ D_{t} = D - max(D - A_{t} , 0) $$ (where D is the par value of the debt, $A_{t}$ is the ...
0
votes
1answer
49 views

Does it make sense to interpret autocorrelation and box test on 5 data points?

I am trying to see if after I trade a stock the price movements at 2, 5, 7, 10, 30 and 60 seconds after exhibit any autocorrelation. Below I have the returns from my trade price to the trade 2,5,7,10 ...
0
votes
0answers
34 views

GARCH estimation does not work, error in my returns?

Hey everyone and I hope that there are some smarter people out here that can help me out with my problem...: I have trouble with my implementation of a GARCH(1,1) model and I do not know how to move ...
0
votes
3answers
69 views

Numerical Solution to BS PDE - Digital Option

Here is a relatively simple question about PDE's pricing. Assume that we are within the BS framework and moreover that interest rate is zero. The price $V(t,S_t)$ of the digital is known to be ...
1
vote
1answer
41 views

Option writing optimal sell time

When selling options, e.g. a straddle I read often the optimal time for selling options is 30-40 days until expiration. For me intuitively the optimal time would be around one week until expiration ...
1
vote
1answer
12 views

Where do Over-allotment (Greenshoe) option shares come from?

I'm just wondering, if following an IPO the share price goes up and the underwriter calls the option, where do those extra 15% shares come from? Does the company have to issue more stock to cover the ...
23
votes
7answers
2k views

Is R being replaced by Python at quant desks?

I know the title sounds a little extreme but I wonder whether R is phased out by a lot of quant desks at sell side banks as well as hedge funds in favor of Python. I get the impression that with ...
-2
votes
0answers
34 views

Why Doesn't my Limit Order Appear in the Order Book?

I'm curious as to what makes up the Bid/Ask book. Any limit order I place seems to be disregarded. Shouldn't the limit orders I place have an impact on the Bid/Ask book and be reflected when it ...
0
votes
1answer
80 views

Asset Liability Management Test Topic Interpretation

I will write a test based on Excel and one of the topics is "The Asset Liability related analysis: including the input assumptions generation, constraints, portfolio optimization analysis and results ...
0
votes
0answers
18 views

Return.portfolio error from PerformanceAnalytics package

When using the PerformanceAnalytics package of R, I am getting an error from the Return.portfolio function whenever I ask it to rebalance_on any frequency. If the rebalance parameter is removed, the ...
0
votes
1answer
137 views

Which distribution do I get?

Let's assume the stock moves according to a classic Black-Scholes model, and makes a proportional jump with an unknown proportion. Say, it is either +1% or -3% of the stock value, and we know for sure ...
0
votes
1answer
60 views

Realized Volatility vs. Standard deviation of log returns

I am interested in calculating high frequency 5-minute intraday volatility. I am going to use the standard Realized volatility which is the square root of the sum of squared log returns. Given X is ...
0
votes
2answers
86 views

Aggregate interactive brokers data in matlab

I am using matlab and interactive brokers API. I am getting real time data using tickerID = ib.realtime({ct},'233',@(varargin)ibEventRealTimeData(varargin{:})); where ib is the interface to ...
0
votes
0answers
29 views

What machine learning method can detect serial correlation and more? [migrated]

I have a simple problem I would like to see what advantage can certain machine learning methods provide over traditional methods. Below a simply regression that has statistical significance. X(t) = a ...
0
votes
1answer
75 views

Online database of ETF & Mutual Fund Fees?

Is there any online data source of ETF and/or mutual fund fees? Free or paid is fine, although hopefully there's something out there cheaper than Bloomberg
0
votes
0answers
14 views

optimal look back period for cointegration analysis on daily prices

I'm running some cointegration tests on 2 stock pairs and was wondering, generally speaking, what would be the optimal look back period to test considering I am using daily prices and the average ...

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