# All Questions

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### Bank Reconciliation HW Question [closed]

I'm not sure if this is the right Stack Exchange for this question. If it isn't I apologize. I have an Accounting project I've been working on. It's a bank reconciliation using data provided. ...
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### Engle Granger test returns a 0 in matlab, while correlation factor is .80+. Am I doing something wrong?

Engle Granger test is giving me a ans = 0. The correlation factor is: 0.8+ Does this imply the No cointegration hypothesis is true? i.e. as per my understanding that there is cointegration? I am ...
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### Significance of Data

The following is a result I get from a pair trading model. I am trying to figure out the significance of the below but failing. Can someone help me out i.e. a resource or possibly an explanation on ...
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### Java Implied Volatility Solving

After using RQuantLib and RCaller from Java I am desiring a bit more speed on my implied volatility calculations (for anyone who has used this knows it is quite slow). I need to price a large number ...
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### How to augment lpsolve R optimization solution to run on a hadoop cluster? [closed]

I posted this question initially on stackexchange.com...posting it here as that was suggested to me on stackexchange website I am using R lpsolve package to optimize my transportation model. My code ...
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### What are the theta and vega of a forward starting plain vanilla european option with no dividend?

I am reading through Hull's book asking myself this question to understand exotics. I currently believe that theta should equal 0 until the forward start time, $t_*$, if the call pays no dividends. ...
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### list of ADR's by volume or market cap

I'm looking for a list of ADR's (for a simulation) that I can screen by either market cap or volume? If anyone knows of a free way to get such a list it would be much appreciated. Thanks. Chase CB
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### What open source trading platform are available

I would like to compile a list of open source trading platforms. Something that would give an overview and comparison of different architectures and approaches.
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### Debt vs. Equity?

What determines whether an investment should be made using debt vs. equity? For example, startups are often financed with equity, while mortgages are always financed using debt. What characteristics ...
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### Avoiding negative spread in pairs trading

I'm constructing money-neutral spread by this formula: Spread = log(P1) - log(P2), where P1 and P2 is prices of two instruments But sometimes spread can get into ...
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### modelling with Meixner process

I failed to evaluate the integral of v(x)e^x over real numbers (i.e, from -infinite to +infinite) with respect to dx where v(x)=2d exp(2(pi+b)x/a)/abs(x)(1-exp(2pi.x/a)) for x<0 and v(x)=2d ...
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### Are power contracts traded on any stock market?

Are power contracts traded on any stock markets ? What about OTC markets ? I ask about the derivatives where payoff is some exponential function of difference between strike and spot price.
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### Developing an Android App. Need free volatility data [duplicate]

I'm currently developing an android app that requires volatility data. Any idea where can I get it for free? I tried Yahoo Finance API and they don't seem to have volatility data. Thanks
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### EMM in incomplete markets

The simply put question is as follows: do we need to restrict ourselves to EMM exclusively when pricing European contingent claims (=option payoffs) even if markets are incomplete? In particular, a ...
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### Trading spot volatility

I am reading a paper that very briefly talks about some volatility arbitrage strategies. It's so brief that I do not exactly understand how it works. It says one of the strategy is based on "short ...
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### Bloomberg ticks is difference from Reuter ticks?

when I using Bloomberg excel plugins to retrieve the ticks and compare with Reuter RDF data, for some UK equity stocks in same days, the number of ticks and sum of total value is difference, why will ...
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What is $1 Gamma and what is 1% Gamma? please describe the difference? I understand Gamma but cant make the diff between the two. 1answer 43 views ### Pricing an american style option on a bond future what is the good way to pricing american option on bond future? From bonk fixed income securities 3rd by Tuckman, I understand how to pricing European option on bond future, but I still have no clue ... 0answers 22 views ### How to calculate tail exposure on a multi-product position Let's say I have a position vector across five products: Positions <- c(40,-45,20,-32,17) How can I determine the "tail" exposure if my PCA model gives me the following loadings for the first ... 0answers 31 views ### What are some different methods for calculating hedge ratios for multiple leg spreads? I am looking for many different ways of doing this, and I want to compare the results I get among the different choices. I am going to be using close-to-close change data. Thanks. 0answers 36 views ### Incorporating a stochastic correlation structure into a multi-factor model I am considering extending a multi-factor fixed income stochastic model (e.g. LIBOR-Market) to use stochastic correlation matrices instead of determinstic ones. For pricing instruments with short ... 0answers 46 views ### Log returns vs. prices I am currently working on a stat arb that is giving me a little bit of trouble. I'm under the impression that most stat arbs are going to use prices such that we can choose a ratio N such that: Price ... 1answer 63 views ### Why is that a risk averse consumer buys the optimum insurance when there is actuarially fair insurance? I think I understand the fact that when marginal utilities of the same function are equal (a consequence of the actuarially fair insurance), the independent variables in it must be equal -- right? But ... 0answers 65 views ### Is there a Newey West like correction for overlapping data correlation estimates? I already posted a related question a while ago but was unsure if I should post within the same question. I want to estimate mulitperiod asset return correlations and test if there are significant ... 0answers 31 views ### How to determine the equiy interest of target company if there is circular ownership? I would like to ask is there any way to determine the equity interest of target company if there is circular ownership. For example, suppose company A owns 50% of company B, company B owns 100% of ... 0answers 119 views ### Backtesting with fundamentals Recently I've read some books about quantative approach to fundamental investing: - What works on Wall Street - James O'Shaughnessy - Quantitative Value - Wesley Gray, Tobias Carlisle - Quantitative ... 0answers 22 views ### Forward Yield curve for an arbitrary company Let say I am analyzing a company XYZ. Credit rating for this company is BB. Now I need to have the 6-month forward Yield curve for this company. Can somebody help me how to find this information from ... 1answer 90 views ### List of financial derivatives Ito's Lemma does not apply According to Ito's Lemma there is no restriction on the continuity of the stochastic process. The restrictions are on the continuity of the pay-off so that second derivatives with respect to ... 0answers 44 views ### Detrending before cointegration When checking for co-integration , is it necessary to detrend the time series? What is the best way to go about it? 0answers 42 views ### How to setup quantlib I installed the quantlib using vc11 but couldn't make it work. I did everything as the tutorial said https://quantcorner.wordpress.com/2012/11/13/installing-quantlib-for-vc11-windows/ And the ... 0answers 36 views ### Log returns vs Relativizing to Portfolio size of$1

In a current empirical research project, I am tracking a non-parametric measure of a transaction cost. To this extent, I track this cost in two ways Cost in terms of log returns Cost in terms of ...
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### Minimum PD under Basel II retail asset?

I have been told that under Basel II the minimum PD that one can assign to any portfolio/segment classified under the retail asset class is 0.33%. But Google searches return nothing and I can't seem ...
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### Cost dependency quantification

Suppose one wants to estimate the manufacturing costs dependence of the price of a specific raw commodity, are there good quantitative methods for making such estimation? I'm interested in creating a ...
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### Econometrics - Testing

If we have a time series of returns and two time series of indicators, how would we test the use of these indicators if they are autocorrelated or nonstationary (VAR Models dont produce significant ...
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### Tracking delistings on NASDAQ & NYSE

Does anyone know of a webpage (or webpages) of current delistings for NASDAQ & NYSE?
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### Compute the average efficient frontiers with estimated parameters from generated time series

My overall objective is to analyse the impact of error in mean-variance analysis from historical data. I am given the returns and standard deviation for the five assets under consideration, as well as ...
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### Monte Carlo American Option Pricing under GARCH(1,1) volatitliy

I am attempting to price a couple of at-the-money American option using the LSM algorithm and GARCH(1,1) volatility. The LSM code I have works correctly for constant volatility, however, when I switch ...
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### Fitting Egarch Model

I am performing a monte-carlo simulation in MATLAB for the first order EGARCH model in which case I am simulating 100 paths of size 500 assuming Gaussian and Student's-t distributions for the ...
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### Who is the issuer and the counter part of this instrument?

I have the following SWAP contract : T1UH4 which is a 2-Year Deliverable Interest Rate Swap. Product info : ...
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### Volatility Minimum Analysis for Trading

I have been back testing some algorithms against a low volume highly volatile stock. I've found that during low volatile periods the technical indicators are following noise more than real trends. ...
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### Approaches to check/validate the output of an optimization algorithm

Let's say we want to optimize the a function $f(x_1,\dots, x_n)$ with $(x_1, \dots , x_n) \in \mathbb{D}^n$. For the sake of simplicity let $\mathbb{D}^n$ be the unit sphere. We chose an optimization ...
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### measuring the performance of round-trips on stocks

can you provide me with some ideas to assess the profitability of round-trips? That is when I buy 100 shares of IBM at 10\$and I resell them two days later at 11\$, how can I measure the profit made? ...
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### Copula Value At Risk

Let's suppose I have two asset in my portfolio. I want to compute Copula Value At Risk. Can you help me? This is the code I wrote: ...
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### Gibson & Schwartz (1190) - Time series empirical properties and Stochastic Process assumed

Gibson and Scwhartz in their paper "Stochastic convenience yield and the pricing of oil contingent claims" assume a log normal process for the spot price. They later claim to justify this process ...
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### Markit PMI vs ISM PMI

What is the difference between the Markit Manufacturing PMI and the ISM Manufacturing PMI? The monthly number differs a lot, my understanding is that they are trying to indicate the same thing.
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### Rationale behind formula for pivot point calculation

Is there any objective rationale or mathematical reasoning behind the following formula for pivot points and intra day support and resistance levels? What are the underlying assumptions for the ...
Assume we have the following function: $$f(p) = \frac{1}{(1-p)d}\ln\left(\frac{1}{T}\sum_{t=1}^{T}\left[\frac{1+X_t}{1+Y_t} \right]^{1-p} \right)$$ where $d$ is a constant $T$ is a constant $X_t$ ...