2
votes
1answer
74 views

Mean Crossing for Ornstein-Uhlenbeck

Suppose we have classic Ornstein-Uhlenbeck process. How can we calculate expected number (and variance too) of crossing mean value over the certain period of time? Say, if we have discrete OU process ...
1
vote
1answer
12 views

Roll convention applied to weekend swap maturity date

Suppose a swap is booked with maturity on June 19, 2016 (which is a Sunday). Accruals are adjusted according to the modified following roll convention and follow U.S. holidays. For the last cashflow ...
2
votes
2answers
57 views

How to download all 10-K reports for all companies listed on S&P 500?

I am doing a regression analysis of all companies listed on s&p 500. It requires their 10-k reports. Where can I download all of them once?
1
vote
0answers
43 views

Programming language to compliment Finance degree [closed]

I've read a few questions regarding this, but want some new (more recent) opinions. I'm in the process of pursuing a degree in Finance, complimented with some Math and a sprinkle of Computer Systems. ...
1
vote
0answers
37 views

Outlier removal, issue with TSO function

I'm trying to detect outliers within a financial time series which represents the ratio of cash distributions to equity holders as a percentage operating earnings for the period. Visual inspection ...
66
votes
15answers
8k views

What concepts are the most dangerous ones in quantitative finance work?

There are a few things that form the common canon of education in (quantitative) finance, yet everybody knows they are not exactly true, useful, well-behaved, or empirically supported. So here is the ...
3
votes
0answers
72 views

What is the most stable, non-trivial dependence structure in finance?

The highest rated answer to the question on What concepts are the most dangerous ones in quantitative finance work? is this one: Correlation Correlations are notoriously unstable in ...
1
vote
0answers
33 views

Where can be found the tick size list for stocks traded in NASDAQ and NYSE?

Answering this question is relevant to assess the quality of a time series in order to observe whether the data vendor applies some rounding to the data or is more decimal are present than the actual ...
9
votes
1answer
288 views

Distribution of hitting time of the integrated CIR process

If an increasing process $X_t$ has a known Laplace transform $\mathbb{E} e^{-s X_t} = m_t(s)$, define its hitting time $\tau$ to some level $B$ to be $$ \tau = \inf\{ u > 0 : X_u \geq B \}. $$ Can ...
25
votes
7answers
12k views

Usage of NoSQL storage in Finance

I am wondering if anyone has used NoSQL (mongodb, cassandra, etc.) to store and analyze data. I tried searching the web but was not able to see if the financial firms had gotten in to using nosql ...
1
vote
1answer
48 views

Implied Expected Stock Return from European Option Prices

We can calculate the expected stock return (under the measure $Q$) from at-the-money ($K=S_t$) option prices as: $$E\left(\frac{S_T-S_t}{S_t}\right)=\frac{e^{rT}}{S_t}(C_t-P_t)$$ The result is ...
1
vote
1answer
28 views

NOK NOWA overnight day count

The NOK overnight index NOWA is defined as: Reported interest rates shall be calculated as nominal annual rates for the actual number of days in the year ahead (365 or 366). (The percentage ...
3
votes
3answers
383 views

Validity of CAPM

I came across some literature regarding "Framing Theory" or "Prospect Theory", and the validity of CAPM. I was wondering if you could shed some light on a few questions I have in this regard: ...
3
votes
0answers
54 views

Kalman vs simple OLS

I am studying how some local and global variables (x and alpha) affects a local variable y have the following regression $y_{it} = \sum_{j} \beta_{ij} x_{itj}+\sum_j \delta_{ij}\alpha_{jt}+\epsilon$ ...
2
votes
1answer
74 views

How to create a synthetic put?

I have been reading into Hull's section on portfolio insurance through synthetic puts. My understanding is that in order to replicate a put we should replicate it's delta. Proceeding, Hull states ...
4
votes
1answer
90 views

Comparing a money-weighted return of my own portfolio with a benchmark ETF/other portfolio that is subject to the same cashflows

I am able to calculate the money-weighted return (XIRR equivalent in Excel) of my portfolio. Whilst I can compare this with ‘headline’ returns of ETF’s, Mutual Funds etc, I want to isolate the timing ...
21
votes
11answers
18k views

Is there any thing out there as a substitute for KDB?

thanks a lot for your discussions on the original post. following your suggestions, let me re-phrase a bit : kdb is known for its efficiency, and such efficiency comes at a terrible price. However, ...
1
vote
1answer
192 views

Robust way to calculate P&L for stocks/futures trading

I have implemented a class in C# that will calculate P&L based on this description from TT. However it worries me that it gives different results for the same fills, if you apply the "fill ...
1
vote
1answer
14 views

compute volatility and greeks of american option on futures using matlab toolbox

I have learned some knowledges on option pricing by myself at a very beginer's level. I'm using matlab R2009b finacial derivative toolbox, I found option pricing functions for american options on ...
0
votes
2answers
105 views

Fama-French three-factor model vs four-factor (Carhart) and five-factor model

I'm performing a study where I compare the Fama-French three factor model to the CAPM on the Swedish industrials industry. I do this to compare which of the models is the best performer, but also if ...
4
votes
1answer
201 views

Wrong discount factors when finding Nelson Siegel Svensson model parameters

I am trying to determine the parameters for the Nelson Siegel Svensson model and am solving a Non- Linear Optimization problem to do this. Some of the code I have written is below and this is where my ...
1
vote
1answer
267 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
89 views

Simple Moving Average Backtest: Cumulative Return too high

I apologize if this is way too basic a question, but I'm an absolute beginner to trading and am in the process of learning the fundamentals. Currently I'm trying to model a (10-day) SMA backtest in ...
1
vote
2answers
428 views

CME historical option data provider

Is there any other historical end-of-day CME option data provider rather then CME DataMine? I've searched all the internet and found only CBOE traded options.
2
votes
0answers
48 views

What is the unconditional variance for a GARCH model?

I want to use a Matlab script to calculate Heston Nandi GARCH prices. I found an appropriate script online and it asks for the "unconditional variance" as an input. How do I calculate the appropriate ...
2
votes
3answers
117 views

How to understand nonrandom/random process in Shreve book?

I have been reading Chapter 4 of Shreve's Stochastic Calculus for Finance II. It is easy to understand the simple process, $\Delta(t)$, defined on Page 126, which is just a constant inside a given ...
1
vote
1answer
56 views

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&...
3
votes
3answers
158 views

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 ...
1
vote
1answer
23 views

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....
1
vote
2answers
31 views

I need a low volatility asset that gives an interest/dividen [closed]

I have some cash that needs to sit on an account for some time (less then a year, where I will withdraw an amount every month). I need them in a fixed price/low volatility asset that gives an interest ...
2
votes
1answer
44 views

Calculating required funds on Futures trades

I'm coding in python a backtester for trading the Futures markets (equity futures, precious metals, bond futures, etc..). When I open a position long or short, I need to deduct an appropriate amount ...
3
votes
2answers
73 views

How is the Chooser Option's value computed in this example?

In preparation for my finals, I am attempting a question on chooser options. One question asks A European chooser option on an index ETF paying a yield of 3.0% with strike \$64 has a maturity of ...
3
votes
2answers
152 views

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 ...
3
votes
0answers
35 views

CBOE Index Minute Data

I am doing a small research and looking for a place to purchase historical minute CBOE Index data. I am interested in: VIX - CBOE Volatility Index VVIX - CBOE VIX VOLATILITY INDEX VXV - CBOE VIX ...
1
vote
0answers
27 views

Levered beta with changing equity/debt ratios

I know how to calculate a bottom up levered beta for a privately held and not publicly traded company with Hamada (Proof of Hamada's Formula (Relationship between levered and unlevered beta)) and ...
1
vote
1answer
41 views

How to get all securities in an asset class from IBPy (Interactive Brokers python API)

Would like to know how to request all securities in an asset class using IBpy, the python wrapper for the Interactive Brokers API. For example getting all currency pairs in the class forex ('CASH'), ...
4
votes
1answer
201 views

Callable bond pricing

I have a HKD callable bond maturing in 2022. the call schedule is bermudan and the next call date is 10/17/16 and redemption price is 100 (the call date is 10/17 every year till maturity). Initially ...
2
votes
1answer
49 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 ...
1
vote
1answer
30 views

How to understand this Risk Parity Algorithm?

I am trying to understand an optimization algorithm to achieve risk parity in a portfolio. I need some help figuring out the notation in the following formula: I found this on THIS paper. I ...
0
votes
2answers
39 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 ...
2
votes
2answers
73 views

Does LIBOR in USD reflect short term interest rates in the U.S.?

The London Interbank Offered Rate (LIBOR) is an indicative average interest rate at which a selection of banks (the panel banks) are prepared to lend one another unsecured funds on the London money ...
1
vote
1answer
75 views

why Implied Vol (VIX) increase with decrease in Stock Price or vice versa?

why Implied Vol (VIX) increase with decrease in Stock Price or vice versa? whereas Vega is positively related with change in option price to change in stock price.
3
votes
1answer
152 views

What is the benefit of having proximity to the Bloomberg datacenter?

I own and operate a datacenter adjacent to Bloombergs Datacenter in Orangeburg NY. We have had a couple of trading firms come to us due to our proximity to Bloomberg to receive "data" from them ...
6
votes
1answer
227 views

How were these SDE derived?

Can anyone give me a detailed explanation of how below equations (3) and (4) are derived from (1) and (2)? \begin{align*} \frac{dF_{t,T}}{F_{t,T}} &=\sigma e^{-\lambda(T-t)}dB_t, \tag{1}\\ \ln(F_{...
2
votes
2answers
114 views

Carr-Madan Formula

Really new to financial Maths. I am currently having problems with the Carr-Madan Formula. $$f(S_T)=f(F_t) + f'(F_t) (S_T - F_t) + \int_0^{F_t} f''(K) (K-S_T)^+ \ d K + \int_{F_t}^{\infty} f''(K)...
1
vote
1answer
58 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 ...
3
votes
2answers
127 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 ...
3
votes
1answer
343 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 (...
0
votes
2answers
57 views

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 ...
0
votes
1answer
53 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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