1
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2answers
103 views

How can one find an area of research in quantitative finance appropriate to write a masters thesis on? [closed]

I am in the first semester of a MS in mathematics. A requirement for the degree is to write a masters thesis. Here a thesis means writing on a current area of research in finance, but an original ...
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2answers
218 views

Exchange rate model and Martingales

In exchange rate model explanation, "...If under the domestic risk neutral measure $Q_d$, the process $X(t)$ satisfies $\displaystyle \frac{dX(t)}{X(t)}=\sigma dZ_d(t)$ Since $Z_d(t)$ is ...
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1answer
317 views

How to get Geometric Brownian Motion's closed-form solution in Black-Scholes model?

The Black Scholes model assumes the following dynamics for the underlying, well known as the Geometric Brownian Motion: $$dS_t=S_t(\mu dt+\sigma dW_t)$$ Then the solution is given: ...
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1answer
259 views

Stochastic Calculus in Quantitative analysis

I am an aspiring quant that would like to get a head start learning stochastic calculus, which books FROM EXPERIENCE are the most reader friendly?
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3answers
1k views

What does it mean by autocorrelation coefficient near 1?

It is said that the time series has a stochastic trend if the first autocorrelation coefficient will be near 1. Q1) What does it mean by the above statement? Q2) How do we calculate the first ...
1
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1answer
72 views

Get discount factors with limited knowledge?

I am facing the problem of just having this information: 6% coupon bond with 2.5 years to maturity, traded at a 100% clean price 4% coupon bond with 1.5 years to maturity, traded at a 98% clean price ...
1
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4answers
390 views

Trader's identity in a limit book

In a limit book like NASDAQ ITCH, can liquidity suppliers know the demand-side identity of a trader prior or after a trade? Knowing this will help me with my theoretical model that I am trying to ...
1
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1answer
355 views

VaR Calculation - Covariance matrix is not positive semidefinite

This is a basic question. I have three assets, equally weighted, and all the mutual covariances are -1. Then, the covariance matrix looks like - ...
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2answers
148 views

Reasoning behind multiple names for the equivalent risk measures AVaR/ETL/ES/CVaR

Doe's any one know the history behind, or background of the multiple naming conventions for the equivalent risk functions. Different quant authors prefer using different names, does any one know why? ...
1
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2answers
519 views

Order and position management in (semi-)automated trading system

A simple and lazy approach to implementing an order and position management (OPM) component in a (semi-)automated trading system: leave most OPM to counter party (broker/exchange). Even then funds ...
1
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1answer
1k views

Calculating portfolio allocation beta with different asset classes?

I'd like to calculate portfolio allocation beta on a portfolio that has different asset classes. The portfolio may be made up of: ...
1
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2answers
783 views

Whats the equation to calculate the area under the curve of a normal distribution, given an upper and lower standard deviation?

Lets say I want to find out the area under the graph of normal distribution curve, between X1=standard deviation of -0.5 and X2 = standard deviation of 0.5. Is there a formula for this? Case study: ...
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1answer
23 views

Does an Interest Rate Swap has a Vega component?

I am a bit confused on how you calculate vega for Interest Rate Swap. One argument is that IR Swap is a combination of fixed rate bond and floating rate bond. Since a bond has no vega component, IR ...
1
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3answers
114 views

How to pull an exhaustive list of securities traded globally, on bloomberg?

I need to extract an exhaustive list of securities with CUSIPs and ISINs on bloomberg. This data needs to be on a global level. Can someone help with the formulae on bloomberg please? Cheers, G
1
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1answer
37 views

Geometric Returns values less than -100%

I am trying to find the geometric return for semi-annual log-returns in Excel. However, I do not know how to handle values less than -100%.... ...
1
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2answers
74 views

Who determine Sport rate curve (Yield Curve)

My study was in a Mathematical modelling, we studied much about theory, equations, how to resolve equation, how to implement, but we don't understand well where these equations come from. My ...
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2answers
648 views

How can I export intraday frequency data from Bloomberg and (how) is this procedure different than for lower frequencies?

For a research project, I would like to work with some intraday asset prices. I have already successfully exported the corresponding data at daily frequency, using the Excel API, but somehow this ...
1
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3answers
101 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. ...
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1answer
127 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?
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4answers
73 views

Data provider for daily futures settlement prices

Is there a data provider that has historical daily settlement prices for download? I'm interested in a provider that spans multiple exchanges.
1
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2answers
59 views

How to calculate burnrate?

Wikipedia says Burn rate is a synonymous term for negative cash flow but I neither agree nor believe that is formalized. A company could need turnaround from losses ...
1
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1answer
105 views

reference question about portfolio optimization

I know the "classical" modern portfolio theory. However I have quite a lot of different sources. It seems that there is not a book which cover this topic in a rigorous way: theory application ...
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2answers
78 views

How To Account For Inflation Over Historical Data

I believe inflation is greatly affecting my sample data, even when using percent-changes for movements. I have read this post, which recommends the formula ((Current-Base Year CPI) * Price) / ...
1
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2answers
116 views

How to price long dated options most efficiently?

hi question is how to price a long dated option most computationally efficiently? With European, you use Black Shoals (yes assumption constant vol/rates...etc) but it's a simple algebraic formula. ...
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2answers
671 views

Calculate volatility from call option price

Given call option price, what is the simplest formula to get the volatility value ? Test Data: ...
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1answer
118 views

What are the equation that gives hurst exponent of value >0.7 and <0.3?

I had been working on algorithm which uses the Hurst Exponent. Once i random walk simulation on matlab, x = cumsum(randm(1000,1)), I was able to get a hurst value close to 0.5. To analyze the use of ...
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1answer
81 views

What is a good index to track short term interest rates?

This is an FX question. I want to track short term (overnight or next best thing) rates for major/em ccys. What's the best way of doing this? Is there an index I can follow? Preferably something ...
1
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1answer
77 views

Pricing a piece of asset whose dividend stream following a Markovian matrix

I'm trying to calculate the result of an simple example on page 326-327, in Harrison and Kreps(1978). It's pricing a piece of asset whose dividend stream is a simple Markovian process. Here's my ...
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2answers
2k views

Sharpe Ratio, annualized monthly returns vs annual returns vs annual rolling returns?

I would like to calculate the Yearly Sharpe Ratio on MSCI World index I have monthly values of the index that falls back up to Jan/1970, hence about: 44 years, 528 months In order to calculate ...
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3answers
470 views

What are some of the best quantitative finance websites? [closed]

Not looking to start a debate. Just want to learn more about the field and am looking for some websites with high quality, informative content.
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2answers
556 views

Finding Probabilities Using The Binomial Model

I was not able to find a similar question when searching, but if I've missed one please feel free to point me to it. Unfortunately the closest example in the textbook was not terribly helpful either. ...
1
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1answer
347 views

How to explain the path dependency in binomial tree model to price options?

I'm new to quantitative finance, so I'm confused with the so-called path dependency in binomial tree model. Originally I thought the path dependency exists because in binomial tree model, we will ...
1
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1answer
202 views

Why is the VIX computed that way?

The VIX as a clear definition as defined in this paper I am interested to know why they came up with this formula. I smell some reasonably complicated explanation here so any pointer to a paper ...
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2answers
212 views

For a interdays trading backtest system, should I put day open, close, high, low, volume separately into array?

I think there are two possible ways: 1. day open, close, high, low, volume separately into array, then I have 5 arrays to work with my calculation 2. Put all of these into one array or linklist to do ...
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1answer
245 views

What is meant by a structural short?

What is meant by a structural short in this context: "First lesson: Valuation shorts are pretty difficult. Look for structural shorts instead." Link
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2answers
348 views

Valuation of a Sinking Bond Fund

What would the schedule of payments be for a bond with a sinking fund? I know how to price a bond but how does the sinking fund play into it? ...
1
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3answers
655 views

Data sources for financials of global equities

I looked through the master list of data sources but could not find any data sources for financial data of global equities. An example would be the balance sheet of, say, ...
1
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1answer
581 views

LIBOR Rates available in CSV, XML etc

Is there a website that offers current LIBOR rates for all tenors for free in machine readable formats?
1
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2answers
638 views

Relationship between European, American options volatility

Suppose, if the price of a European option (say a put) can be shown to be monotone in volatility (say for any maturity), does it follow that American options has to be monotone in volatility? ...
1
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2answers
824 views

Black Scholes Formula for Collar Option

I am wondering if there exists a Black Scholes pricing formula for a collar option?
1
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1answer
392 views

Testing Significance of Correlation

Lets say I have the returns of two stocks(stock1 and stock2). Now without running a regression, I lag one of the variables, calculate the correlation between the two stocks and repeat this process as ...
1
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3answers
391 views

Kolmogorov-Smirnov test

Is Kolmogorov-Smirnov test self-sufficient to prove normal distribution of a time series? And then test efficiency of a market?
1
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3answers
239 views

Sharpe ratio in days with no open positions

Should I include or not the days a strategy has no open positions (thus no returns) in the Sharpe ratio calculation?
1
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2answers
4k views

Early execise of American Call on Non-Dividend paying stock.

Let us consider an American call option with strike price K and the time to maturity be T. Assume that the underlying stock does not pay any dividend. Let the price of this call option is C$^a$ today ...
1
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2answers
324 views

Choosing attributes for SVM classification?

Let's assume I am classifying every trading day as a 1 or a 0. Exactly what I am classifying doesn't matter, but for the sake of this question let's say I am predicting direction of price change. So, ...
1
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2answers
730 views

Data feed API that uses REST?

Is there a data feed provider that has a REST (http) API? Preferably real-time and historical, at least for US equities.
1
vote
1answer
156 views

transaction size and liquidity in simulation of US stocks

i am developing a simulation trading in US stocks. i have 1 transaction a day per stock, assumed for simplicity to be executed at the daily closing price. in order to determine a reasonable maximal ...
1
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1answer
299 views

What are the pros and cons of applying for a patent on a financial model or trading system?

I've never understood the purpose of patents in the financial industry. What would be the pros and cons of applying for a patent on some financial model or trading system? What would be the ...
1
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1answer
268 views

Risk Neutral Probability and invariant measure

Is a risk-neutral probability a special case of an invariant measure?
1
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2answers
409 views

What is the minimum history data size to get an accurate EMA/ MACD for latest history point

Currently, I have history data for 10 years. Most of the time, I only interested in getting EMA/ MACD for the last history point (means yesterday point). Instead of using entire 10 years history, I ...

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