All Questions

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122 views

What are the proper metrics to look at for checking discrepancies in these two time series

I am obtaining bid/ask price and volume market data from two different sources for the same ticker and for the same day and checking to see that at time intervals X they are "roughly the same". The ...
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129 views

Probability Density of Returns of Bonus Certificates

Could anyone please help me with the following? I need to generate a histogram (resp. probability density) of returns of a bonus-certificate. A bonus-certificate can be replicated by an underlying ...
0answers
95 views

Difference between kappa and delta in mixed-effects model

(This question is a crosspost from Cross Validated) I have a following stochastic model describing evolution of a process (Y) in space and time. Ds and Dt are domain in space (2D with x and y axes) ...
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183 views

Is inverted Japanese style curve persistent when negative rates are real / market - observed?

The time evolution of inverted curves does model / forecast a future recession and not necessarily contains the current liquidity- / credit-related aspect. The historical Japanese style inverted yield ...
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126 views

Stochastic discount factor (aka deflator or pricing kernel) and class D processes

When (under what assumptions on the model) does a Stochastic Discount Factor need to be of Class D? What would be the implications if it was not? Is it connected to one of the no-arbitrage notions?
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1k views

Backtest pair trade strategy in R

I am looking for some tips on how to run a simple backtest on a pairtrading strategy intraday using eg. 30minute bars. I have calculated the spread, ...
0answers
307 views

What is the use of the Euler equation in the Ramsey growth model?

I apologise for being brief, but I don't understand how is Euler equation used in the Ramsey growth model. I am reading a textbook "Dynamic General Equilibrium Modeling" and there is mentioned about ...
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193 views

Pricing with collateral

I have been confused about many things concerning the princing of securities with collateral. We can prove that today's price of a security( fully collateralized and within the same currency) is the ...
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70 views

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15 views

Having trouble finding PPI for commodity using NAICS code

Is there a way to find the Producer price index for a commodity during two different years by using the NAICS code of the commodity. For example, I know the NAICS code for cast iron steel bearings ...
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32 views

How do i test the significance of Sharpe ratio of a strategy using bootstrap

How do i test the significance of Sharpe ratio of a strategy whether it is any different from another strategy ?? How do i get a p-value out of it ? What should be the H0 in the hypothesis testing ? ...
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65 views

Credit Spread, Transition Matrix

Consider a credit rating system consisting of three credit states, A, B and D (default) with the following annual credit transition probability: T = [0.7 0.2 0.1;0.2 0.5 0.3; 0 0 1]. For a company ...
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79 views

Given future price probability distribution, what is a strategy that maximizes return?

Say I know the price probability distribution, e.g., lognormal(p,s), of a stock X at a future time ...
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86 views

Mock/practice trading for options (delta/gamma hedging etc.)

I know there are some sites for practicing equity investing. But could you provide me with suggestions concerning options trading etc. I read Natenbergs book on Options and want to test things like ...
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32 views

evaluating portfolio performance without knowing the amount held on cash accounts

I would like to evaluate the performance of a portfolio mananger. I know his trades, and the initial portfolio holdings. I do not know, however the amount held on his cash account. That is, I ...
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30 views

Discount rate, convertible debt and the effect of time

The way I understand it is that there are three main parameters to a convertible debt investment. An investment amount A discount rate A trigger event Now under most of the examples I have seen, ...
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36 views

How do I determine what is a separate objective in a multi-objective portfolio optimization?

Is there a general rule to determining when to separate objectives when developing a multi-objective portfolio optimization? For example, one might start with a standard portfolio optimization of ...
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36 views

Econometrics - Granger Causality

Suppose we have two time series, if one has autocorrelations and the other is non stationary how do we test whether they Granger cause a returns series?
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48 views

What is the algorithm for the Fama-Bliss instrument selection?

Fama-Bliss discount bonds are defined through a straight forward calculation (Famma, Bliss 1987). For the purposes of a project I need to derive forward rates, yields &c. for periods not included ...
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51 views

The Public Market Equivalent measure in private equity

What are the advantages and disadvantages of the Public Market Equivalent measure in private equity? Why is it that the volatility of the cash flows do not matter? This topic has been discussed in a ...
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50 views

regarding Basel III IRB method for credit risk

Would the exposures between standard method and internal rating based method for credit risk under Basel III remain same?I could not find any documents for IRB approach under Basel III. Is it still ...
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56 views

Zakamouline Optimal Hedging of Options with Transaction Costs

I've read that the Zakamouline method suggests the best optimal hedging of options when taking transaction costs into account. I've read the article but am having difficulty understanding it well ...
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50 views

Fitting a sigmoid function to incomplete, structured, data

I have an incomplete data set that looks like this: and I believe that it will continue to form a sigmoid-like shape. How can fit a sigmoid curve to this data given my assumption about what the ...
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26 views

How do bond futures affect effective rate when used to hedge a bond's duration?

I'm trying to wrap my head around what happens to the net interest received when an invester goes short a bond future to fully hedge the duration of his long position in an actual bond. Does it ...
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60 views

What is the best way to describe latency?

What are good ways of describe observed tick data latency with a view to flagging when something is systematically wrong? For example, we would want to discount outlier ticks so that we do not alert ...
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144 views

Position Sizing For Ratio Pairs Trade

Ok, let's say I'm trading a spread of two stocks, X & Y, The spread is calculated as a ratio (Spread = X / Y). I use rolling stats to calculate the mean, standard deviation and hence the z-score ...
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53 views

Clarifying the way in counting number of weeks for calculating historical weekly volatility in Bloomberg

I would like to confirm the way to counting number of weeks for calculating historical weekly volatility in Bloomberg. Given an option with issue date from 14/1/2014 to 13/1/2019, is the proper way to ...
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63 views

Approximating the PDE price of an option with a binomial model

I'm trying to replicate, with a binomial model, the price of an option obtained with a PDE. It doesn't really work, so I was wondering, if there are some caveats when doing that. The PDE model use a ...
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118 views

MonteCarlo simulation of stock prices using milstein scheme with dividend yield?

While performing a montecarlo simulation of stock prices using the milstein scheme is it possible to take into account the dividend yield into the simulation itself somehow, if we are given a ...
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64 views

A doubt about Evans and Jovanovic (1989) economic model for entrepreneurs with credit constraints

[I already posted this question on the math forum of stackexchange and I was advised that I should post this question here] In Evans and Jovanovic (1989) you will find a model for entrepreneurs with ...
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34 views

Weak convergence of Lookback payoff with correction term

In this article on the Multilevel Monte Carlo method on page 8, http://people.maths.ox.ac.uk/gilesm/files/mcqmc06.pdf, Giles uses a correction term to improve the weak convergence rate of the lookback ...
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97 views

Quantitative fraud detection techniques

I am trying to develop a short equity strategy that dedicates some, currently arbitrary, percentage of short capital to potential frauds. I am aware of Benford's Law, but this is not my specialty. ...

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