1
vote
0answers
48 views

stochastic log utility maximization problem, portfolio optimal strategy

Looking for a help with explaining some steps of the logarithmic utility maximization problem where given market with a zero safe rate and risky asset with dynamics $$ \frac{dS_{t}}{S_{t}}=\mu B_t ...
0
votes
1answer
20 views

Heteroskedasticity and significance of parameters

I am doing a regression analysis and my variable of interest turns out to be significant at the 5% level, but the model contains heteroskedasticity which can not be mitigated (using Box-Cox, Feasible ...
0
votes
0answers
11 views

The right scaling of input data in portfolio optimization

I play around in R to get a better feeling for portfolio optimization and started with a very simple toy model. Already in this case I'm wondering about the following questions: Assume I have daily ...
2
votes
3answers
83 views

Commodity market. Why would actual sellers / buyers bother about speculative price?

Investopedia says: The following are two types of futures traders: hedgers speculators An example of a hedger would be an airline buying oil futures to guard against potential ...
3
votes
2answers
89 views

How to transform Ornstein-Uhlenbeck parameters from hourly to daily?

I get the parameters (long-term mean, volatility, mean-reversion speed, correlation) of two correlated Ornstein-Uhlenbeck processes via a likelihood estimation from hourly data. If I want to transform ...
0
votes
2answers
19 views

Pricing of Interest rate swap with start ex. 01/06/2015 to 03/06/2015 - 2 extra days? Change discount factor and fixed payments?

I hope you can help me. So let say we have an interest rate swap, with the following characteristic: Start in 30/06/2015. End in 02/07/2019 It has fixed payment every year, and floating every ...
0
votes
1answer
24 views

Factor sensitivities for EURUSD swap

Trying to understand various risk factors for a EURUSD swap. While I understand why a EURUSD swap would have USD LIBOR, EURIBOR, EURUSD currency as risk factors, why is it that it would also have EUR ...
1
vote
2answers
80 views

Which proxies to user for investor sentiment and industry performance, and where to find the data?

I came up with the idea of dealing with investor's sentiment effect in stock market in my thesis. I would like to know which proxies you would suggest to use as sentiment index and from which source ...
2
votes
1answer
189 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, ...
2
votes
1answer
143 views

Back to Basics — Cumulative Returns

I recently came across a chart of Fama-French's (FF) HML factor cumulative performance. I first saw this in an article by AQR's Cliff Asness: ...
0
votes
0answers
13 views

Do smaller horizons better estimate volatility for longer horizons than the longer horizons?

Suppose you want an estimate of the 20 day return variance. You could grab historical lagging 20 day windows to build an estimate, or you could build 10 day lagging windows (twice as many data points) ...
1
vote
2answers
71 views

Market making in futures

I am learning various strategies to day trade the emini SP500 futures contract (ES) based largely around order flow principles and price action. I have been wanting to learn more about market making ...
2
votes
2answers
59 views

Fitting Copula and Simulation

I would greatly appreciate any insights into the problem described below, regarding using the data obtained from applying the functions of the 'rugarch' package into those from the 'copula' package. ...
0
votes
1answer
38 views

Calculating VaR of an Incomplete Distribution

I am currently completing a multiple choice question that has stumped me. An asset has its price and its corresponding probability described as: 100, 0, -50, -70 and -90 with probabilities 50%, ...
1
vote
0answers
80 views

Numerical Methods for Merton Model

The stochastic differential equation for an underlying with jumps in Merton model is: $$d{{S}_{t}}=\mu \,{{S}_{t}}dt+\sigma \,{{S}_{t}}\,d{{W}_{t}}^{P}+(J-1){{S}_{t}}d{{q}_{t}}$$ where $t \quad\,\,\, ...
0
votes
1answer
29 views

Open source code based on quandl for security analysis and options priming

Quandl seems to be an excellent source of wide range of free/open financial data. But is there an open source code or platform that uses the quandl datasets to perform security analysis and option ...
2
votes
2answers
236 views

How can index futures trade 24/7 when the index doesn't change?

I have read that the E-Mini S&P 500 Futures trade 24/7, how is that possible? I mean the underlying stocks which form the index are traded from 9:30am-4pm - so outside of these hours the S&P ...
0
votes
0answers
16 views

Reading Recommendations on ETF's / “Factor certificates”

I'm looking for some good papers on exchange traded funds, especially on so called factor certificates (e.g. 2x underlying long, so when the underlying moves 1% the certificate moves by 2%). My ...
0
votes
1answer
23 views

Financial statement and stock market data [duplicate]

How is it possible to have access to Datastream, Bloomberg, Wrds database? Is there another free database with long historical data? In fact, I need long time series data belonging to NYSE and NASADAQ ...
0
votes
1answer
119 views

Do you think this strategy will work?

I have been playing with paper trading and am planning on getting into the real stock market soon, but I want to make sure my strategy is realistic before I put real money on it. I made a program ...
1
vote
2answers
36 views

type mismatch in Rquantlib Bond.cpp

I've been tracing back through bond.cpp and find the following in FloatingBond() : double dayCounter = Rcpp::as<double>(datemisc["dayCounter"]); ...
2
votes
1answer
65 views

Real time stationarity test

I have a trading system based on Machine Learning which is trading 8 symbols intraday. From the results I found out that some weeks of trading are successful for some symbols, then it usually switches ...
1
vote
1answer
314 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 ...
1
vote
1answer
33 views

Fast to compute, yet plausible risk attribution measures

I am looking for a fast to compute, yet plausible risk attribution measure based on the risk measure used compute overall risk. To be more specific, assume that my risk measure is VaR of a portfolio. ...
0
votes
0answers
29 views

Generating process for stock price paths in this paper?

I am reading Longstaff and Schwartz Valuing Aerican Options by Simulation because monte carlo simulations, especially their use in option pricing, is interesting to me. However, I am having some ...
3
votes
3answers
155 views

Real-time Tick Data API for the Italian Stock Market

Hello community. I am looking for a service that is able to provide real-time tick data (time&sales) for the contracts traded in the Italian Stock Market (Borsa Italiana). The service should ...
0
votes
1answer
61 views

accuracy of Yahoo Finance stock data (Python module)

I am using the yahoo finance python module: https://pypi.python.org/pypi/yahoo-finance I am using it for a project and would like to see if anybody else uses data from this source and can vouch for ...
0
votes
0answers
19 views

Modeling the distrubution of future swap rates

I'm interested in better understanding the unwind cost/value of a swap at various points in the future. Suppose that we have entered a 7Y swap (paying fixed) and want to understand the unwind ...
0
votes
0answers
19 views

Impact of the interest rate volatility in the valuation of a bond

I am currently valuating a bond whose cupons have the following structure: $\left\{ \begin{array}{rcl} H_j-2\% & \mbox{if} & R_j<H_j-2\% \\ R_j & \mbox{if} & H_j-2\%\leq R_j\leq ...
0
votes
1answer
34 views

stochastic discount factor transformation

I have $$\frac{dM_t}{M_t}=-\frac{\mu}{\sigma} dW_t + \gamma_t dB_t, \tag{1}$$ where $B_t$ and $W_t$ are two independent Brownian Motions, which was further presented as $$ M_t=\exp \left( ...
0
votes
1answer
93 views

Minimum PD under Basel II retail asset?

I have been told that under Basel II the minimum PD that one can assign to any portfolio/segment classified under the retail asset class is 0.33%. But Google searches return nothing and I can't seem ...
0
votes
1answer
178 views

close form for stochastic integral

I am new to stochastic calculus. Can I know how to compute the close-form solution for $$\int_0^t \exp(\alpha s - \sigma W_s) \; ds$$ and $$\int_0^t \exp(\alpha s - \sigma W_s) \; dW_s.$$ I encounter ...
4
votes
1answer
298 views

How to measure a non-normal stochastic process?

If I understand right, Itô's lemma tells us that for any process $X$ that can be adapted to an underlying standard normal Wiener measure $\mathrm dB_t$, and any twice continuously differentiable ...
2
votes
2answers
235 views

Ito calculus problem

given $S^1$ satifying the SDE $\quad dS_{t}^{1}=S_{t}^{1}((r+\mu)dt + \sigma dW_t), \quad S_{0}^{1}=1 $ and the safe asset $S_{t}^{0}$ $\quad S_{t}^{0}:=e^{rt} \quad for \quad r\geq 0$ Q1. how ...
7
votes
6answers
2k views

Usage of Random forests in Quantitative analysis of stocks

I have a question about Random forests and how they could be utilized in trading? I heard Random forests are used for classification, is that accurate? If so, could someone give an example of what ...
8
votes
4answers
7k views

How to create charts in WPF finance applications?

How to create charts for market data in WPF? Are there any charting controls provided by microsoft or you need to use only third party controls? Which are the popular third party charting controls ...
5
votes
2answers
87 views

How to find funds with long history to use in backtest?

Is there a way (website/code) to find funds/etfs for a given asset class and how much data history is available (yahoo finance or other) ? It could be as simple as a list of funds by asset class and ...
19
votes
6answers
12k views

How to identify technical analysis chart patterns algorithmically?

I'm working on a small application that will provide some charts and graphs to be used for technical analysis. I'm new to TA but I'm wondering if there is a way to algorithmically identify the ...
0
votes
1answer
31 views

Pricing Cancelable swap

Consider a first hypothetical, a swap. Party 1 is paying 6 month Libor, semi-annually. Party 2. pays $1+3*(\frac{Index_\color{red}{T}}{Index_0}-1) $ only at maturity. Say the notional is 1. $Index_t$ ...
1
vote
1answer
50 views

Regressing using Fama-French portfolios with small amount of stocks

I'm doing some research for my thesis and I was wondering if it is possible to only use monthly stock price data for 22 stocks and construct Fama-French portfolios out of them and then regress? What ...
1
vote
1answer
21 views

Difference between CRSP equal weighted and composite index

I am a bit confused about the overall CRSP total market return index and the equal weighted index. I know that the value weighted index places a weight on each firm by their respective market values ...
2
votes
2answers
201 views

Conversion stock symbols Google Finance vs. Reuters

I'm working on a project that will fetch data from Google Finance and Reuters. In order to avoid keeping two separate lists of stock symbols, I'm looking for some kind of conversion or database or API ...
2
votes
1answer
143 views

Calendar Arbitrage in a Vol Surface

I am trying to determine the condition such that my implied vol surface doesn't have calendar arbitrage. I have done research and found that one such condition is that total variance should increase ...
3
votes
1answer
111 views

Why are there two expressions for the Black-Scholes hedging portfolio

I am new to derivatives pricing and am trying to understand why there are two different expressions for the Black-Scholes hedging portfolio. The first approach, used in books like Hull, stipulates ...
1
vote
0answers
39 views

Proper Definition of Backtesting Parameter

Currently I'm trying to test the efficacy of a tail-hedging strategy in which an investor goes long in an index and correspondingly buys 1-month OTM put options. For practical reasons, the options ...
1
vote
1answer
33 views

American option - Upper bound

I have computed a lower bound for an american option through longstaff and schwartz's algorithm. Now I have to compute the upper bound as andersen and broadie does in their article. Can anybody help ...
3
votes
2answers
72 views

Why do we need correlated random variables in a Monte Carlo simulation?

Question: I don't understand why a Monte Carlo simulation needs correlated random variables. Isn't each simulation thread independent? Background: Specifically, I'm referring to the below example on ...
1
vote
1answer
89 views

ES not elicitable

Expected Shortfall is not elicitable as some papers have pointed out. That simply means that there is no scoring function that elicits ES. My question is, does this imply that Expected Shortfall ...
0
votes
0answers
62 views

Books for quant trading

I am A math student who wants to start trading stocks. Which books will you recommend to help me develop tools/strategies for trading? I have taken finance classes and know some technical analysis. ...
2
votes
1answer
83 views

Starting values for constrOptim() in R

I want to perform a constraint optimization for Maximum Likelihood Estimation in R to forecast volatility of returns. The probleme is that my initial values aren't in the permitted region. Is there ...

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