1
vote
0answers
36 views

Existence of a hedging portfolio and martingale property

Lets assume that the underlying follows a Brownian motion and the market has the standard properties of the Black Scholes setting. Is there a way to find a hedging portfolio for every discounted ...
0
votes
1answer
84 views

estimate implied volatility using newton-raphson in python

I am trying to calculate the implied volatility using newton-raphson in python, but the value diverges instead of converge. What is wrong with the code? ...
3
votes
1answer
126 views

What exactly is the OIS Black VOL?

While poking around in Bloomberg I stumbled upon the following data set: EUR SWPT BVOL OIS for various maturities. Obviously OIS must suggest OIS-discounting but how is it related to the ...
2
votes
2answers
84 views

The implied volatility surface and the option Greeks - to what extent is the information contained in their daily movements the same?

What is the link between option Greeks (i.e. vega, delta, gamma, theta) and implied volatility surface (IVS) movements? Could you say that their 'information content' is the same. i.e. that out of ...
1
vote
1answer
79 views

Forward rates diffusion

I used a simple market model (Black 76) to price an american swaption. It's a formula similar to B&S, with another numeraire and forward rate as underlying. I used the SDE: $$ dF = \sigma * ...
1
vote
1answer
123 views

What is PCA and how does it relate to eigenvectors and eigenvalues?

What are the principal components? How they are calculated? What is their relationship with eigenvalues and eigenvectors? This is a lead-in question to explain PCA basics. EDIT: PCA is implemented ...
0
votes
0answers
41 views

How to the compute the formula of Kendall's tau (please see this formula)

I am trying to compute the kendall's tau, but when facing the formula below, I don't know why the second line is this. Could anybody help me to interpret the reason to me? Thanks very much!
0
votes
1answer
48 views

Forex Fundamental Data Sources [duplicate]

What are the best sources to find free Forex historical Fundamental Data in a .csv format?
1
vote
2answers
56 views

Implied Correlation using market quotes

Is there a way to retrieve the implied correlation between stock price and zero coupon bonds?
2
votes
2answers
116 views

List of Stocks by Sector

Does anyone know where I can find a list of all stocks traded on the NYSE in a table that also includes what sector they are in? I want to look at some data using info both from the individual stock ...
2
votes
1answer
82 views

After PCA on original factors, how to tell which original factors are dominant?

When doing the PCA analysis, you end up with eigenvalues which are ordered by how much variance they explained for each eigenvector. Say, the eigenvectors since they are orthogonal, do not represent ...
0
votes
0answers
10 views

Russell 2000 P/E Ratio [duplicate]

Can someone please provide me with a source where I can find the the historical time series for the Russell 2000 PE ratio? Ideally, I'd like to have both the prices (easy to find) and the earnings for ...
3
votes
1answer
72 views

Create optimal portfolio by Treynor and Jensens Alpha

I would like to know which formula to use in order to optimize a portfolio based on highest Treynor and Jensens Alpha. I am aware that usually one optimize a portfolio by highest Sharpe ratio (the ...
0
votes
1answer
49 views

How can I calculate Fama-French betas for a particular stock?

For a particular stock, what's the simplest way to calculate betas for the Fama-French factors SMB and HML?
0
votes
0answers
38 views

Intermarket analysis - related time series?

I'm about to embark on training a neural network on daily forex data, with a view to obtaining a predictive network. I'm also interested in using data other than the forex currency pair data itself, ...
2
votes
0answers
38 views

Which are the popular free/open-source charting controls?

Recently i've tried SciChart and VisiBlox - beautiful charting tools. Is there any free or open-source tools for visualizing charts on C#? Thank you for answers.
3
votes
0answers
73 views

“Stable-Floating” model for non-maturing deposit for FTP purpose

Non-maturing deposits (NMD) is a deposit without maturity date. The deposit rate is normally low. Banks could adjust the rate at any time. The customer can withdraw without penalty, however, in real ...
0
votes
3answers
210 views

Databases for storing and querying high frequency tick-level data?

My firm is looking for an out-of-the-box database system to store and query high-frequency tick data. What are the best options? It seems that kdb+ is the market leader in this field.
1
vote
0answers
29 views

volume augmented garch(1,1) model in matlab

Actually I want to add volume traded of a stock in my Garch(1,1) model to forecast the volatility.In Matlab I can specify the model as garch(1,1) and then use estimate and forecast commands.But I am ...
0
votes
0answers
43 views

Volatility clustering but (G)ARCH not good fit

I'm looking at a time series that appears to be white noise. The ACF/PACF are in the test bounds. Applying the Ljung-Box test for various (maximum) lags gives me high p-values (i. e. I cannot reject ...
0
votes
0answers
33 views

Transform the American cash-or-nothing call into a linear complementarity problem for the diffusion equation

Transform the American cash-or-nothing call into a linear complementarity problem for the diffusion equation and show that the transformed payoff is g(x,τ) = be^[(1/2)((k+1)^2)τ+(1/2)(k−1)x]H(x),  ...
3
votes
2answers
282 views

Trend estimation techniques

What is the best way (most common) to discover if a stock is trending or not? (Despite drawing a line). A hurst exponent? A linear regression maybe?
0
votes
1answer
131 views

Source of Quandl Open Data

I am interested in Quandl Open Data, from Quandl.com These data are also denoted as Wiki Data since it relies on users to flag errors. In particular on their website, they say: This new data ...
0
votes
1answer
104 views

How to price zero coupon bonds with short term rates model?

I want to find the price of Zero coupon bond given a short rate model. I think about Merton, Vasiceck, CIR, Ho & Lee models. 1) Given a simulation of $r_t$ how can I calculate $ P(t,T) = ...
0
votes
1answer
49 views

How to derive equivalent martingale measure using Ito's Lemma

Can someone explain how to get equation 27.14 below? I understand the first usage of Ito's Lemma to get $d(\ln f-\ln g)$ but I do not understand how to use Ito's Lemma to go from $d(\ln \frac{f}{g})$ ...
0
votes
1answer
31 views

Derive instantaneous forward rate

Given that $P(0,T)=e^{-RT}$, how does one get the formula for the instantaneous forward rate below? Specifically, how does one get to the partial derivative in the formula? I'm sure the answer is ...
2
votes
3answers
86 views

Implied Probability of Default from Bond Prices

I am trying to build out a probability of default model for a bond. Given the current price of a bond and the current risk free rate, I am trying to calculate the probability of default. So assume a ...
2
votes
1answer
39 views

Replicating the short part of a long-short trade using inverse ETFs

I devised a pair trading strategy going long XXX and short B*YYY. B is the quantity of shares of YYY I need to short. The problem is I can’t go short on YYY, but there is an inverse ETF for YYY ...
0
votes
1answer
55 views

Making portfolios better than others for a 16 week portfolio game? [closed]

I'm going to participate in a game of making portfolios. The objective of the game is to make the portfolio with the bigger ROI over 16 weeks. Over each week every player can see the ROI of each ...
2
votes
4answers
112 views

How to model hedge fund returns?

I know that a lot of work has been done characterizing the first four moments of monthly hedge fund returns across a variety of fund types and strategies, and that work indicates that the higher ...
1
vote
1answer
38 views

The role of micro credit in finance

The concept of micro credit has been around for a while. Recall that Muhammad Yunus together with Grameen Bank were awarded the Nobel price in this context. I don't have references at hand but I ...
1
vote
0answers
20 views

Effect of kernel smoothing on correlation

Instead of deriving correlation matrix on standardized returns (z scores) would it not be more accurate to kernel smooth the cdf and then norminv the cdf values for the return z score and then ...
2
votes
3answers
84 views

Difference betweem martingale property and adapted filteration

What is the difference between a random process that is adapted to a filteration and one that had the martingale property. It seems the two notions are quite similar and would be helpful to construct ...
0
votes
1answer
81 views

What is the equation for Garman-Klass volatility?

I want to calculate realized/historical volatility for the underlying products of various options using the Garman-Klass estimator, but I can't see to find an equation, although I know it involves ...
2
votes
1answer
76 views

Asset volatility in Merton model

I am currently working on my thesis where I discuss the Merton default probability model. I have a huge sample of US firms for the period 1990-2010. I use both numerical and complex iterative approach ...
2
votes
1answer
69 views

Is there an easily implementable alternative to lognormal growth (something with fatter tails)?

I have a toy model in Excel for the growth of a investment portfolio. I assume iid lognormal annual growth factors: =EXP(mu+sigma*NORM.S.INV(RAND())) where mu and ...
1
vote
2answers
46 views

Calculate alpha (CAPM) in “cross country-portfolio”

Assume I wanted to compute the alpha (in CAPM sense, i.e. $r_i - r_f = \alpha_i + \beta_i(r_m - r_f) + \epsilon_i$) of a stock. So I take, say, monthly returns of a stock $i$ for 1 year. Subtract the ...
0
votes
1answer
39 views

Forex trades: what time zone are trade and value dates specified in?

When receiving a value date of D from the counterparty for a trade in NZD/USD, is D assumed to be date D in Auckland date D in New York date D in UTC date D in some arbitrary time zone ? There ...
1
vote
1answer
51 views

What is Prompt Date Structure?

In LME website Prompt Date Structure is explained as this. Why there are prompt dates? LME trading calendar isn't universal to all other calanedars found in the market. So how do "Non-tradable dates ...
2
votes
5answers
90 views

What is the motivation for index benchmark?

I know that many funds have local index (i.e., SPX in US) as their benchmark. Why are investors interested in such kind of returns instead of absolute returns. From the first glance I'd think one ...
0
votes
2answers
71 views

Why does Futures contract credit and debit a position daily, if it has “locked” the price?

I thought I had understood futures contract. But it seems the daily settlements betray my understanding. Futures contract provides price & product safety to involved two parties. E.g. Wheat ...
1
vote
0answers
27 views

Order 1.5 strong SDE integration methods for systems with diagonal additive noise

I'm looking into simple-to-implement and efficient order 1.5 strong SDE integration schemes for my system. My noise is diagonal and additive (possibly time-varying). Thus methods designed for either ...
11
votes
2answers
326 views

Relationship between Large Cap and Small Cap Volatility

Relative value of large cap volatility. We all track the VIX as a measure of volatility, but we often forget that the VIX is volatility indicator for the large cap index within the SP500. We can ...
0
votes
0answers
47 views

Why is that maximizing stock value, under uncertainty, is a better option than maximizing profits?

I've been trying to access the papers that state that kind of problem, but most of them need payment for access and I am on a student budget. I know that maximizing profits=maximizing stock value in ...
0
votes
2answers
133 views

Forex brokers with free API compatible with Node.js

I have a Forex trading signal generator written in Node.js and now I am looking for a Forex broker with a free Node.js compatible API. The requirements are simple: be able to send new trade orders ...
1
vote
1answer
58 views

Where can I buy historic raw recording of an exchange

Say I want to buy historically recorded raw feed from an European exchange (say LSE). Is there a vendor that would sell me this data ? EDIT: By raw feed I mean the order by order feed (or equivalent) ...
1
vote
0answers
27 views

rugarch and rolling estimation

I use Rugarch for a long time in order to calibrate GARCH models on FX rates time series and perform simulations. I am trying to understand the ugarchroll method. However even if I can find plenty of ...
2
votes
1answer
33 views

Hansen-Jagannathan bounds derivation: last step is not clear

Pennachi's "Asset Pricing" chapter 4 derives: $$ \frac{E[R_{i}-R_{f}]}{\sigma_{R_{i}}}=-\rho_{m_{01},R_{i}}\frac{\sigma_{m_{01}}}{E[m_{01}]} $$ Then, he states that the fact that $-1\leq ...
0
votes
0answers
24 views

Price of portfolio with target volatility

Consider the following: We have two assets, S1 and S2, and with each asset is associated a volatility, v1 and v2, respectively. Now let's say v1 < v2, and we want to create a portfolio of S2 and ...
0
votes
1answer
81 views

Calculating Bollinger Band Correctly

My bollinger band comes out like the below, which doesn't seem right. Any idea what is wrong with my code for calculating upper and lower bollinber bands? I obtained my data from here ...

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