0
votes
0answers
23 views

Success of trendlines using dividend-adjusted vs un-adjusted data

I'm curious whether anybody has any experience with using trend lines drawn using data which is vs isn't adjusted for dividends. For periods of sideways trading that give roughly horizontal ...
-4
votes
0answers
37 views

Where can I find free historical market cap data? [duplicate]

I am looking to find free historical data for assorted companies listed on the TSX and TSX Venture. I can find daily closing prices (among a few other data fields) on Quandl, but I cannot find daily ...
0
votes
0answers
9 views

Source on pricing / valuation of trust preferred securities?

Is there a good source on pricing / valuation of trust preferred securities? I used GOOGLE, GOOGLE SCHOLAR and NEW YORK PUBLIC LIBRARY, but the results were meager. Found book Handbook of Hybrid ...
0
votes
0answers
9 views

Poisson Process [migrated]

I would appreciate a hint on this problem: A pedestrian wishes to cross a single lane of fast-moving traffic. Suppose the number of vehicles that have passed by time $t$ is a Poisson process of rate ...
0
votes
1answer
76 views

What is the formula for beta weighted delta and gamma?

I am trying to calculate the beta weighted delta and gamma for a portfolio of options of different underlying stocks, but I can't seem to find the correct formula. Can someone point me to it or a ...
1
vote
3answers
140 views

What is the name of this product?

Consider the payoff =$S_T1_{S_T>K}$ where $S_T$ is the asset price at maturity. What is this type derivative called? and is it a liquid option?
2
votes
2answers
152 views

What would be considered a good/competitive throughput for a FIX engine?

I am writing my own FIX engine and I am in the process of running some benchmarks. I am not sure whether my results are good or bad. Can someone with experience in the area provide me with some ...
3
votes
2answers
91 views

Where can I find a list of VaR and CVaR formulas for continuous distributions?

Where can I find more VaR and CVaR formulas for continuous distributions? I collected a list here:
1
vote
1answer
29 views

Weighting with restrictions, but no clear objective function?

I have 40 shares in an index and I want to weight them based on their market value, define the known value as $x_i$ In the traditional way, the weight of each share is calculated as: $w_i = x_i / ...
2
votes
3answers
130 views

Relationship between Beta and Standard Deviation

I was doing some financial analysis on two firms in the coffee industry. After calculating Beta and Standard Deviation for both firms, I seem to have stumbled on some weird phenomenon. It appears ...
0
votes
0answers
26 views

Variance of “hedged” term structure portfolio increasing?

I'm attempting to use PCA to hedge a small fixed income portfolio. I start with one particular bond and chose the nearest other bond to hedge the 1st principle component. This decreases the portfolio ...
0
votes
1answer
44 views

Data on banks’ leverage

Does someone know free resources to estimate the leverage of the banking and financial sector at an aggregate level? In particular I would be interested in something like Federal Reserve’s Flow of ...
2
votes
1answer
36 views

Hedging bond with CDS of different maturity

Say I buy a 10-year bond with a notional of 100k. To hedge my credit risk entirely I could buy a 10-year CDS, also on a notional of 100k. Now, if there are only 5-year CDS trading and no 10-year CDS, ...
2
votes
1answer
70 views

Expected Shortfall and Spectral Risk Measure

Not sure I am understanding spectral risk measures correctly. Why is there an equal weighting scheme placed on the tail losses in expected shortfall. Will that no bias the expected value of the loss ...
0
votes
0answers
15 views

garchOxFit in R-oxo file does not match

Could someone please help me with trying to get the Ox interface to work in R. I get the following errors as output: This version may be used for academic research and teaching only Link error: ...
3
votes
1answer
180 views

What are the main flaws behind Ross Recovery Theorem?

Stephen Ross’ new paper claims that it is possible to separate risk aversions and historical probabilities if the Stochastic Discount Factor is transition independent using Perron-Frobenius Theorem. ...
1
vote
1answer
58 views

Data on margin volumes?

I came across a Financial Times article today that said "Peaks in margin trading have been a precursor to bear runs in the past, notably in March 2000 and July 2007." I'm curious if anyone here would ...
2
votes
1answer
79 views

Negative Eonia rates

I'm curious how the current negative Eonia (Euro OverNight Index Average) rates would impact derivatives pricing. Does it mean that if I post cash collateral to you, I also need to pay you interest? ...
0
votes
1answer
48 views

how to use known premium of options to determine premium of options with another strike?

Assuming constant volatility across all strikes, how to use known premium of options to determine premium of options with another strike? e.g. suppose we know premium of \$40 call and put, \$50 call ...
0
votes
2answers
95 views

Do people actually use VaR in professional settings?

VaR seems like such an obviously flawed metric, I am surprised that it seems to be used so much in the private sector. First, the way it is named and the way it is presented often imply it is the ...
-3
votes
1answer
182 views

If I am very fast (less than 10 microseconds latency) what would be the first strategy to execute? [closed]

Let's assume I found the holy grail of low-latency trading (which I didn't). For educational purposes, what would be the first strategy I would direct my trading code?
0
votes
1answer
77 views

Briefly stated, why does the function N(x) appear in the European call option pricing model?

I'm aware of the the mathematical formula for the price of a European call option on a stock however I'd like to think about it in an intuitive way.
-2
votes
1answer
198 views

Where can I find literature (books, articles, etc.) about basic HFT / arbitrage strategies? [closed]

I am not looking for your winning strategies. Just the basic stuff from where to start. Can anyone share their opinions about what should I read to hit the ground running?
1
vote
0answers
31 views

run time error 424 in IB TWS Excel DDE API; failed to add combo orders

I'm using an Excel DDE to connect to Interactive Brokers TWS via their API 9.72 sample, excel 2013. When I tried to create a combo order, the rum error code 424 said "object required". It seems that ...
1
vote
1answer
57 views

Historical Data on $/yen forward exchange rates

Would anyone happen to know where I can find historical forward exchange rate data between the yen and dollar?
2
votes
4answers
160 views

Volatility skew and how to capture it?

We see in the market that a implied volatility surface is not flat. Based on this observation different models were developed to capture the structure, e.g. CEV / SABR. A measure often used for the ...
0
votes
1answer
66 views

Moneyness and option prices

I'm attaching stock prices from CRSP to a dataset of option prices in order to compute the option moneyness. I'm wondering whether I should adjust the underlying prices taking into account splits and ...
1
vote
2answers
78 views

Can we trade option spreads with more than 4 option legs?

I am wondering why most online brokers restrict multi-legged options spread trades to have a maximum of four legs? Also, is there a broker that allows you to trade say 6 or 8 legged option spreads.
2
votes
1answer
47 views

What are the properties of the Expected Shortall measure when split in multiple time periods?

Suppose I have a single time series of losses $L$ that consists of two sub-parts $L_1$ and $L_2$. Is there a relationship that relates the expected shortfall of $L$ to the expected shortfall of $L_1, ...
0
votes
0answers
45 views

Transform MPT optimization problem

I am trying to teach myself about MPT and optimization. I understand that MPT solutions can be found using three equivalent optimization problems: Minimizing variance for given return limit ...
1
vote
2answers
58 views

Importance sampling for barrier option like pricing by Monte carlo

I would like to know some references regarding importance sampling algorithms for variance reduction of Monte Carlo barrier options pricing. Please could someone help me leaving some references? If ...
1
vote
1answer
40 views

ICE oil Future Markers

i have seen Brent oil future singapore marker many times. however, i wonder what is the reason for introducing different markers in the future market. FYI - LINK
0
votes
1answer
75 views

Where can I find a list of market-moving news announcements for different asset classes?

Different asset classes have different important news announcements that move the markets intraday. For instance, oil volatility increases after the EIA Petroleum Status Report, but that announcement ...
6
votes
1answer
174 views

What is a good Computer Algebra System for financial engineering?

I would like to know if there exists some computer algebra systems adapted to calculate pricing based on particular models, i.e. pricing YoY Inflation Swap under Jarrow Yildirim Model. I know that ...
1
vote
1answer
30 views

End-of-day holdings vs overnight inventory

I am wondering whether these two terms identify the same thing: overnight inventory end-of-day holdings The way I would explain it intuitively, the inventory that is held overnight should be ...
2
votes
2answers
64 views

Why do Earnings Per Share matter?

This has been bugging me for a while. I've consulted all sorts of guides, but none gave me a satisfactory answer. My question is: why do Earnings Per Share (EPS) matter? What is it about this metric ...
2
votes
1answer
50 views

White's Reality Check versus Benjamini-Hochberg-Yekutielie Procedure

I'm backtesting about 1k different strategies / permutations of strategies and I want to identify which if any of the strategies are better than the benchmark. Based on my readings, I feel like I've ...
0
votes
1answer
37 views

Price of a composite option

how would you calculate the fair value of an option on a fx'ed underlying, e.g. a put on a USD-stock which is changed into EUR? How should I get, in practice, the fx spot vol/correl? Purpose is to ...
0
votes
1answer
56 views

Proof oriented introductory text?

I'm currently taking this Coursera course on financial engineering, which is fine but it's very focused on applications instead of proofs. They recommend Investment Science as a companion text, but ...
1
vote
3answers
89 views

Forex buying 2000+ pip difference [closed]

I did a mistake just now and bought 2000+ pip difference USD/RUB. (I tought Its 2.0 but 2,0) I can't contact to forex office because its 2 AM here. now It shows 5k+ USD loss. I am in panic right now. ...
1
vote
1answer
116 views

How do exchanges make money?

How does NASDAQ make money? How much of it is from selling market data, and how much of it is from commissions from trades?
1
vote
0answers
67 views

How to implement the herding measure proposed by Lakonishok et. al (1992) in python

I would like to test for herding behaviour using the herding measure developed by Lakonishok et. al (1992) on a dataset containing trader transactions during 2013, however, i am having some trouble ...
2
votes
3answers
106 views

Calculate bond returns from yields

I have to construct and evaluate portfolio of bonds and stocks, namely I need to get return on portfolio, standard deviation and sharpe ratios. I have weekly data that contains stock prices, and I ...
4
votes
1answer
269 views

What are the textbooks used to teach Quantitative Trading at universities?

For example, Stanford has a class on quantitative trading. But i am not able to determine what are the textbook(s) used in this course. The same also applies for similar courses at Stony Brook, ...
1
vote
2answers
48 views

Distribution of the value of a portfolio

Suppose there are k different stocks in a stock market. All of their prices are independent from each other. One year from now the price of the i-th stock will be $X_i^2$, where $X_i \sim ...
2
votes
2answers
293 views

How to price a bond without paper during interview?

I heard that this kind of questions appear a lot in the interviews. Here is one I saw from Galssdoor: Price a bond with coupon rate 3%, yield 9% and maturity 10 years. What is the typical way to do ...
0
votes
0answers
5 views

Institutional compliance : is reference data available via the browser?

That is, assuming one has the correct accounts and credentials, is it possible to access reference data (counterparty, trading, and other categories of related meta-data) over the web? The reason I ...
5
votes
4answers
330 views

Is there anyone still using Markowitz modern portfolio theory?

I was reading about the MPT (Use standard deviation as risk measure) on "Mathematics for Finance by Marek Capinski". I was just wondering is there anyone actually applying this theory to their ...
0
votes
2answers
127 views

Daily option data

I am wondering where I can pull daily (hourly, by-the-minute, etc. even better) option data for a particular underlying. I would prefer a database I could scrape through and API, but would not mind ...
2
votes
2answers
67 views

Problem when calculating the daily return on a forex trade, what is the best way to do such a calculation?

I intend to calculate the daily return on my investment in forex. Assume a trader invests $\$$40 at a leverage of 100:1, so in total he is trading $\$$4000 worth of currency, and assume the position ...

15 30 50 per page