1
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0answers
15 views

Ibrokers: reqMktData extremely slow when adding tickers

I am trying to snap prices in R for the latest price for a list of stocks (around 150). When I snap them for 2 stocks, it's almost instantaneous: ...
1
vote
0answers
24 views

Log returns and GARCH models

I try to model currency rates volatility using GARCH models through the RUGARCH package in R. Starting from the observed currency rate series, I compute the log-return through: ...
1
vote
0answers
30 views

Jensen's alpha with timing activities

Why is Jensen’s Alpha not an appropriate measure of performance anymore, if the fund manager is a perfect market timer as stated for example in the Treynor-Mazuy-model or the Henriksson-Merton-model?
1
vote
0answers
63 views

Financial risk and Matlab

What toolbox are more suitable for a risk analyst. I found this: Optimization toolbox Global optimization toolbox Econometrics toolbox Financial toolbox Statistics toolbox And also I have as a ...
1
vote
0answers
46 views

Risk measures, Risk Management and Financial Risk Area

I'm currently searching material about market risk and I learned about coherent risk measures, VaR, CVaR (or expected shortfall), volatility. All that because I have to make a Financial Risk Area for ...
1
vote
0answers
29 views

How to compare market values with model values after calibration?

After calibration the G2++ model for interest (with swaption volatilities), I want to statistically test the quality of the calibration by comparing market to model values. What is the best way to ...
1
vote
0answers
21 views

Sharpe Ratio for loans

I am trying to calculate the sharpe ratio for a set of loans. These loans have already matured and I know if they were good or not: grades are the different grades of the loans. interest rate is the ...
1
vote
0answers
65 views

Review of Excel Stock Simulator

I am currently a senior in high school and I built a stock simulator using knowledge gained from a semester of AP Statistics. I was wondering if someone could tell me if my simulation is ...
1
vote
0answers
32 views

suitable benchmark to use for Sharpe ratio of power trading strategy

I have a algo which is trading a certain power contract. For calculating the Sharpe ration what would be a suitable benchmark to use?
1
vote
0answers
45 views

Opposite of hard to borrow?

If market participants are certain a stock will suffer a huge decline, the shares will become hard to borrow and an interest fee will be applied to borrow the stock. This interest fee eliminates the ...
1
vote
0answers
21 views

How to prepare data for superior predictive ability (SPA) test?

Can anyone please let me know how to prepare data to compute superior predictive ability (SPA) test in R? I am working on forecasting volatility in stock markets, the context is, I used ...
1
vote
0answers
41 views

Adjusting for your own orders in future backtests

I was asked this question in an interview and despite thinking about it for a while, I haven't been able to come up with a good answer. Suppose you have a strategy you are running where at certain ...
1
vote
0answers
29 views

Total demand under logit model

The setting is simple, i.e. formula for demand of service/product is linear $$ d = \alpha - \beta p $$ where $ \alpha $ is maximum demand, $ \beta $ is some coefficient, and $ p $ is price. There ...
1
vote
0answers
14 views

Estimating Number of “Day Trades” from Total Volume of Commodity Futures Contract

Looking at futures data I am trying to calculate/estimate the number of "day trades", i.e. positions that were initiated and closed during the same day, as distinct from those positions that were ...
1
vote
0answers
20 views

What is the future value of a growing annuity with different periods for payment growth and monthly payments?

How can I modify the formula in this answer so that the frequency of payment growth is also a variable? For example, instead of payments growing by 2% each year I would like them to grow 2% every two ...
1
vote
0answers
38 views

Optional Sampling Theorem Application

Let x, y > 0. Defint eh first passage time of a Brownian motion $W_t$ as $\tau_a$ = min{t $\ge$ 0: $W_t$ = a}. I need to show that E[$e^{-u\tau_x}$$1_{\tau_x < \tau_{-y}}$] = ...
1
vote
0answers
52 views

Stationarity tests in the frequency domain for regression

Strict stationarity is the strongest form of stationarity. It means that the joint statistical distribution of any collection of the time series variates never depends on time. So, the mean, variance ...
1
vote
0answers
25 views

Price 3m libor autocap with LMM calibrated on 1y swaption data

I need to calculate a price of an autocap contract which is An autocap is similar to a cap, but at most γ ≤ β caplets can be exercised, and they have to be automatically exercised when in the ...
1
vote
0answers
81 views

Black Scholes - how to calculate delta with a vol skew

I am trying to calculate the delta of an option at different strike prices where the underlying has a pronounced implied volatility skew in order to correctly hedge an options strategy. Researching ...
1
vote
0answers
36 views

Model-independent dynamic portfolio optimization techniques

For a problem where we need to optimize the portfolio based on the data, going for Markowitz MPT has the following advantage: we only have to estimate mean and covariance to find optimal weights. I'd ...
1
vote
0answers
68 views

Provide a bond pricing differential equation and invoke Feynman-Kac

Grateful for any assistance. Consider the process: $dZ=r(t)Z\,dt$ , where $r(t)$ is stochastic and $Z=Z(r,t;T)$ is a zero coupon bond. Provide a bond pricing differential equation and invoke ...
1
vote
0answers
85 views

PDE and Black Scholes problem

Consider Black Scholes problem $\frac{\partial V}{\partial t} + \frac{\sigma^2 S^2}{2}\frac{\partial^2V}{\partial S^2} + rS\frac{\partial V}{\partial S} -rV = 0$ with boundary condition $V(S,T)=f(S)$, ...
1
vote
0answers
35 views

Is it important to equalize the minimum price fluctuation in pairs trading?

For example, suppose we were trading a strategy which buys one Brent contract and sells one Gasoil contract. The minimum price fluctuation for a Brent contract is \$10, and the minimum price ...
1
vote
0answers
52 views

PerformanceAnalytics and Annual Charting

I have seen a charts that look's like Is it possible to do something like this with PerformanceAnalytics or is there any other package for doing this? Thanks in advance
1
vote
0answers
39 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
0answers
75 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 ...
1
vote
0answers
44 views

How to map shocks from VAR to news? (Academics)

I am trying to map shocks from VAR to discount-rate and cash-flows news following the paper of Campbell and Vuolteenaho (2004). It is said that news are a linear combination of shocks from VAR at ...
1
vote
0answers
136 views

How to interpret ACF and PACF plots

I just want to check that I am interpreting the ACF and PACF plots correctly: The data corresponds to the errors generated between the actual data points and the estimates generated using an ...
1
vote
0answers
78 views

How to compute for basis adjusted forward rate?

To give you a brief background, I'm valuing a fixed-for-float Interest Rate Swap (IRS) using Bloomberg. I put in a notional amount in (USD) and a assigned 6MO USD LIBOR as the reference index for the ...
1
vote
0answers
50 views

What is Equity Asian Hybrid?

As listed in http://www.vectorrisk.com/Views/Solutions/ProductList.aspx What's an Equity Asian Hybrid? Any references? What is exactly a hybrid product?
1
vote
0answers
91 views

In what kind of stochastic process Ito's lemma is adopted?

I have been told that Ito's lemma serves as the stochastic calculus counterpart of the chain rule. And yet again my tutor mentioned it is not used for all stochastic processes. Is this statement ...
1
vote
0answers
21 views

Collateralized Loan Obligation - reliable source of information

Can someone provide me with some reliable source of information about CLOs? Especially some scientific articles etc. Google or wiki are good for starters and I would like to get some examples, ...
1
vote
0answers
16 views

Standard errors clustered along the time dimension in pooled panel logit model

I'm trying to estimate a logit model on pooled panel data set (unit of observation is firm-year). My dependant variable is default indicator and I have several macro variables as independant ...
1
vote
0answers
40 views

how to find CVaR/AVaR for triangular fuzzy no

While going through different methods of risk measure i came across AVaR/CVaR, while i was calculating AVaR/CVaR in credibilistic environment using VaR, i got stuck in the calculations eg. For ...
1
vote
0answers
37 views

Cross-Currency Inflation-Linked Swap

I am trying to find any references to cross-currency inflation-linked swaps. Have anyone encountered them and can describe how they work and how they differ from standard year on year inflation swaps? ...
1
vote
0answers
52 views

Rule of Thumb for minimum length of time series for AR(1) estimation

I have a data set of 350 points, I want to estimate the lag 1 auto correlation for different sub-sets of the data. More precisely I want to take non overlapping windows of length 1,2,3....n and ...
1
vote
0answers
40 views

Intensity Function of Stochastic Processes

I'm fitting some financial data to a model based on a stochastic process and evaluating the fit of it by looking at the compensator. However, I cannot understand well what does it mean to take the ...
1
vote
0answers
30 views

Earnings Quality for a large group of stocks

Does anyone have any recommendations for how to track earnings quality for a large number of stocks (500+) on a quarterly basis? I am familiar with the M-Score for detecting earnings manipulation but ...
1
vote
0answers
32 views

Doubt on risk cost criterion

I want to minimize some kind of risk sensitive cost. But, I am confused what cost criterion should I use. I am aware of only expected exponential utility. I want to know what are the other such ...
1
vote
0answers
59 views

CVA formula proof

I'm struggling to prove the CVA formula in this paper. Equation (3) is the result of computing the expectation of formula (1). Could you please show me how to prove that?
1
vote
0answers
117 views

one-step-ahead Stochastic Volatility for 5-minute VWAP prices

I'm trying to run an SV model against prices of Euro/USD. For those not familiar with SV, its a volatility model in which each point gets its own volatility parameter $h_t$ with 3 main parameters that ...
1
vote
0answers
65 views

Asset true price determination, quoted on 2 exchanges

There is a stock that is quoted on 2 exchanges and I'm thinking about ideal (from market micro structure point) method for calculate true value of that asset. Assuming that venue with volume traded ...
1
vote
0answers
37 views

How to value a portfolio of non-mature consumer loans?

I'm looking for the best way to value a portfolio of consumer loans that have NOT reached maturity and for which I do observe the payment/default history to date? I'm working with a large database of ...
1
vote
0answers
96 views

Autoregressive distributed lag models ADL(p,q) howto in preferably matlab (stata/R/python/C# etc)

Could anyone provide me the details of how to determine the lag order of the distributed lags for an ADL(p,q) model in Matlab or another statistical package (and very much preferably in combination ...
1
vote
0answers
38 views

Understanding Price Elasticities in Discrete Choice Models (Derivative)

I'am in the midst of a paper on mutual fund product differentiation by Li and Qiu. Here, the authors model the utility an investor derives from investing in a mutual fund using a Discrete Choice Model ...
1
vote
0answers
41 views

Handling IQFeed events in Matlab

I need to get some specific market data for my studies, and it seems like the most convenient way for me to do this is to use IQFeed data feed and MATLAB. But unfortunately, since I'm not a seasoned ...
1
vote
0answers
110 views

Models for volatility estimation of high frequency data?

I have read on several news articles and research papers, "Contrary to popular belief, high frequency trading reduces volatility in stock markets rather than exacerbates it". Do you know the models ...
1
vote
0answers
42 views

proper choice of risk aversion parameter in the risk-sensitive cost-criterion

Suppose I want to minimize certain risk sensitive cost. Is it a valid question to ask what is the proper (also in which sense) choice of risk aversion parameter in the risk-sensitive cost-criterion ? ...
1
vote
0answers
63 views

Underlying changes impact on implied volatility

What are some valid techniques that can be used to simulate how changes in the underlying are most likely to impact implied volatility along with the skew of all strikes for options with the same ...
1
vote
0answers
146 views

where to find historical option prices?

I have a dataset of options (traded in European exchanges such as NYSE Euronext) and I would like to find their price history. Where to find it? I see that ...

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