All Questions

2k views

Library of basic indicators

I am looking to start developing a trend following strategy and have been looking to do something in either C# or Java and wondered if there was a library or framework out there that would make ...
185 views

Is historical information on the counts of trades in single stocks, futures, options etc. available somewhere for download or purchase? If not, which ways can you think of to gather it?
616 views

Encyclopedia of Statistical Tests

I am aware of: Encyclopedia of Chart Patterns, Encyclopedia of Technical Analysis. Question I'm wondering if there's something similar, but in the form of: "Encyclopedia of Statistical Backtesting ...
237 views

normalized accumulation distribution

I am looking for a way to take an accumulation/distribution indicator and normalize it so I can compare a bunch of stocks with stock prices that have no relationship with each other. EDIT: This ...
278 views

409 views

What is the instantaneous P&L of a Variance Swap?

What is the instantaneous P&L of a variance swap. Is it $(\sigma^{2}_{t}-\sigma^{2}_{implied})dt$?
428 views

Does amortization of bond start accumulating on trade date or settlement date?

I am sorry if this is not appropriate here. We are building a wealth management system and I really would like to know whether amortization of bond start accumulating on trade date or settlement date ...
845 views

Modelling VIX Futures for risk management

I would like to model VIX futures. The aim is not pricing but risk management. Thus I want to get risk measures like volatility right and be able to accurately calculate correlations when the VIX ...
549 views

Evaluating forecasting algorithm

I am trying to evaluate a forecasting algorithm for stock price prediction. However, the performance of the algorithm may be very much tied to the trading strategy. Is there a systematic way for ...
332 views

mortgage prepayment model

I am trying to develop my own MBS prepayment model. I am confused by the terms SMM and CPR. Are they estimates/models in themselves or are they ACTUAL data for the MBS pool. where can I find actual ...
546 views

Portfolio Greek Exposure Equations

What are the calculations for calculating greek exposures in a portfolio of equities and equity options? I think I have them but I want to be sure. Are these correct (for vanilla options)? ...
1k views

SP500 sector weights - how do they change?

The weights of the nine S&P equity sector indexes vary over time. One can find measures of them in a number of different formats: S&P 500 Sector SPDRs - historical sector weights Here's ...
105 views

Textbook / Reports on Alphanomics

Look at ACCT 340 @ http://www.gsb.stanford.edu/research/courses/acctg.html I've read some of the research papers written by the Professor, and the material is very interesting. However, I'm looking ...
154 views

How can I estimate the parameters of an option value model of retirement?

I am modelling an option value model of retirement, see for instance Stock and Wise (1990). I am however not sure to which class of problems this model falls into and hence which optimization method I ...
270 views

Can Hurst exponent be used to characterize nonlinear dependence in time series?

It appears to me that the answer is no, because Hurst exponent measures persistence in terms of autocorrelation, which is a linear measure. So even if a time series of asset returns is driven by ...
664 views

How to compute interest rate futures spread ratio?

I am confused on how to compute the spread ratio. For example, this is example I came across with my broker - Consider 2 contracts Bobl and Euribor. The DV01 of Bobl i 44.8 and Euribor is 25. To ...
366 views

I'm an aspiring computer scientist who want to move into algorithmic trading at some point. At the moment I'm mostly focusing on courses in machine learning/data analysis etc. but I've noticed that ...
148 views

Historical data on short rates

I would like to backtest a short-equity strategy. I'm looking for historical data on the availability of shares and cost to short certain stocks. Does anyone know of such data being available ...
118 views

Observed market price for the August-Greece-paid bonds where the NPV of the bond or of an option?

The bonds which Greece has paid had been valued by market as junk once, just before there payment. Given that the observed market value is the net present value of the instrument, why were they so ...
760 views

Computing FX forward delivery dates

I'm looking for a precise definition of how FX outright delivery dates are computed. Chapter 1 of the book 'Foreign Exchange Option Pricing: A Practitioners Guide' (this chapter can be found here) ...
346 views

Question on OptionMetrics: “Strike Price times 1000” differs too much from Index price

I have a question regarding the strike price that is given on OptionMetrics. My goal is to primarily retrieve options prices of a specific maturity with strike prices that are 20% in-the-money, ...
341 views

NYSE Early Close Rules (July 4th and Dec. 25th)

Does the NYSE provide a list of rules for determining when to close at 1:00 for a holiday? I have found a list of upcoming half-days here but I would like to know the rules so that I don't have to ...
2k views

Interpolating FX forward points

When computing an FX forward rate for an expiry that is not explicitly quoted, it seems to me that a reasonable way to do it is log-linear interpolation of the two nearest outright forward rates, ...
4k views

Data source for historical Share Outstanding totals for individual stocks?

Data is normally adjusted for splits/reverse splits, etc. The current shares outstanding is usually available. Is there a data repository that captures the shares outstanding for any point in the ...
837 views

ROC: difference between discrete and continuous?

Using the ROC function in the R package TTR, there is a choice between continuous (the default) and discrete, but with no guidance on which you choose when. In the code the difference is: ...
2k views

How to define the objective function for a custom optimization problem?

I would like to find the allocations that would minimize some user-defined metric (Sortino, minimum drawdown, etc) for a portfolio of assets. How would one go about formulating the objective ...
1k views

VIX = Vega of S&P500 options?

ok, so let assume I can predict the daily change in the VIX itself (in points) every day. what would be the best way to play this with OPTIONS? well, obviously VIX options, but if I can look at the ...
827 views

Multi asset option portfolio risk management (greeks and FX exposure)

I am running an options book containing listed options across multiple products. I trade mostly equity and index related options - with a preference for European expiration products. I trade products ...
378 views

Is there any evidence that an option delta approximates ITM expiry probability?

Several sources (online and offline) that discuss the delta of a listed vanilla option, state that its delta is a (guesstimate?) of the probability of said option expiring ITM (in the BSM framework). ...
661 views

Strategy Risk and Portfolio Allocation Model (copy from nuclear phynance)

Here is a very interesting question that I found at Nuclear Phynance (original author: Strange); I though it is so interesting that it is worthwhile to ask it here: I have $N$ strategies, across a ...
129 views

Brent Crude Data

I am trying to locate historical volatility data (5+ years) for Brent Crude? Does anyone know where I might be able to source such data?
814 views

Can the Heston model be shown to reduce to the original Black Scholes model if appropriate parameters are chosen?

Summary For Heston model parameters that render the variance process constant, the solution should revert to plain Black-Scholes. Closed from solutions to the Heston model don't seem to do this, even ...
417 views

Benfords law and quantitative finance

Benford's law has been applied in various ways for detecting fraud (e.g. elections or accounting). But what are the most useful applications of Benford in quantitative finance? Are there any? I have ...
419 views

Backtesting VaR model violation independence

I am interested in hearing about the practitioner state of the art for testing the time independence of a VaR model (i.e. that VaR violations are independent in time). There are a number of tests in ...