1
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0answers
34 views

Why do leveraged and inverse leveraged WTI ETNs have this price relationship?

UWTI: 3x leveraged exposure to WTI DWTI: 3x leveraged inverse exposure to WTI The inverse relationship between these two symbols seems to trend toward the origin on a log-log plot (using log base ...
1
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0answers
32 views

excel yearfrac 30u/360 across feb month end

Why are both of these formulas returning 1? One of them should be 3. =YEARFRAC(DATE(2015,2,27),DATE(2015,2,28),0)*360 =YEARFRAC(DATE(2015,2,28),DATE(2015,3,1),0)*360 Based on every description of ...
1
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0answers
24 views

Calculate minimum IV increase to offset theta

How would one calculate the minimum implied volatility increase necessary to offset theta decay? IV is typically a percentage, while theta is a dollar value. In theory I think I could look at what ...
1
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0answers
24 views

EDGX, EDGA, Nasdaq and Bats-Z Pricing in 2011

I'm trying to find the fee and rebate structure of these 4 exchanges during year 2011, in the specific, I'm interested in the cost of posting a hidden Limit Order, in the cost of removing a visible ...
1
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0answers
39 views

Hedge volatility decreases

My particular options positions are typically a long delta, and long vega. Decreases in implied volatility, or specifically the VIX, can drastically alter the profitability of my position. Is there a ...
1
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0answers
57 views

How can I do a dynamic GARCH model using extended Kalman filter in R?

Today I was reading an article quoted here, in this article is proposed an adaptive (dynamic) Garch model. How can I do it in R? The use of extended Kalman filter or particle filter is indifferent. I ...
1
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0answers
31 views

About OpenMAMA, OpenMAMDA and OpenMDM

In the Linux Foundation are hosted the OpenMAMA and OpenMAMDA (found in that link too) projects and I'm wondering if has someone worked with those projects and if he/she could give me a more detailed ...
1
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0answers
27 views

Charting order depth over time periods

I do a lot of analysis on order flow, tape reading, as it gives insight into what market participants want, or may be willing to do. In comparison, price charts show what happened, and technical ...
1
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0answers
57 views

modeling regime switching for Correlation matrix

I am trying to estimate covariance in multiple time series. However, I want to do this using a regime-switching framework. So, I start with fitting a GARCH(1,1) model and then de-volatalize the ...
1
vote
0answers
52 views

How to measure interest rate risk of an equity?

What is the best method to measure interest rate risk of an equity? For example: I am looking to determine the change in price based on a change in yield. I currently have a position in XLU and ...
1
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0answers
43 views

Investing in all assets with positive expected return and allowing for positive correlation

How does the answer to this question Risk minimization by investing in all assets with positive expected return change if assets can be positively correlated (but not perfectly) and short sales are ...
1
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0answers
68 views

Tangent portfolio weights without short sales?

Consider a mean-variance investor in a world with a risk-free asset. Let $R_f>0$ be the return of the risk-free asset, $\mathbb{E}(R_i)>R_f$ the expected return of the risky asset $i$ and ...
1
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0answers
43 views

MLE estimate of normal distribution

Probably a naive question. I am quoting this from Greene's econometrics book: "The occasional statement that the properties of the MLE are only optimal in large samples is not true, however. It can ...
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0answers
28 views

Finding relative price strength as defined in CANSLIM stock picking methodology

I am wondering if there is any website that provides relative price strength as is defined in CAN SLIM stock picking methodology. For the CAN SLIM difinition I am looking at this article: ...
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0answers
59 views

Conversion stock symbols Google Finance vs. Reuters

I'm working on a project that will fetch data from Google Finance and Reuters. In order to avoid keeping two separate lists of stock symbols, I'm looking for some kind of conversion or database or API ...
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0answers
46 views

How to calculate global exposure via commitment approach for FX swaps?

How would you calculate global exposure for FX swaps using the commitment approach? In particular, would you take into account both legs? CESR guidelines (CESR/10-788) defines that the exposure for ...
1
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0answers
19 views

Using Forward Equity Returns to Value Stream of Equity Return Cash Flows

Can I value the equity leg of an equity swap using the projected forward equity returns? In other words, for a sequence of times $t_{0}<t_{1}<\ldots<t_{n}$, where $t_{0}$ begins a brand new ...
1
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0answers
28 views

Please recommend a book regarding Monte Carlo simulation in OAS

I couldn't find a book that explains in details how to use Monte Carlo Simulation to generate a number of interest rate scenarios. And then based on the interest rate scenarios, how to calculate the ...
1
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0answers
37 views

Reputational Harm

How would you measure the reputational harm incurred on an individual by an organization. How is Market Pricing in the expected payout resulting from the law suit by an individual ? The news breaks ...
1
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0answers
39 views

forward curve and cap/floors in nowadays environment

I'm currently trying to get the implied volatility of a vanilla Euro floor with maturity 1Y with data from bloom. I have the price ( which is not supposed to take into account the first floorlet ...
1
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0answers
34 views

Bayes Stein Porfolio Implementation

From this paper from Jorion. Has anyone implemented this? How is the Covariance matrix estimated? It needs to estimate also the conditional distribution of the returns? Best
1
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0answers
85 views

Differential of stochastic term

Question 1: How does one come up with the equation in the red box below? It looks like some kind product rule, but I'm not sure how to apply Ito's lemma here. Bjork doesn't seem to explain it ...
1
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0answers
33 views

Use of Black-Scholes Model on Guaranteed Fund Investment

I am stuck with a revision question at home on Black-Scholes pricing model. The question is on a fund manager selling one unit of the fund to a customer for S(0) at time 0 and then guaranteeing at ...
1
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0answers
67 views

Method to combine trading signals to achieve higher sharpe

There are a few thread with the question of methods to combine different trading signals/strategies. But is there any method that can ensure that by combining two signals, we can achieve a better ...
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0answers
50 views

Here is an approach for measuring Data Snooping; is it new?

I came up with an approach for measuring data snooping, or overfitting. My question is whether this approach was published and expanded-on already, or is it new? My approach relies on the observation ...
1
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0answers
80 views

How to hedge a long stock with the corresponding volatility ETF

Let us say I want to establish a market neutral position. So if I buy 50 shares of stock (SPY) and I want to delta hedge, I sell an ATM covered call. So that brings the position delta to 0. Now, I ...
1
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0answers
49 views

How to value a Binary Option using market data?

Is there a way to calculate the price of a binary option (i.e., an option that pays out 1 dollar when the stock price hits $x$ amount) using market call/put option prices, forward prices, etc. for a ...
1
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0answers
33 views

How to estimate constrained a constrained VAR(1) with MATLAB?

Suppose I want to estimate the following VAR(1) model: $$ Y_t = \mu + \Phi Y_{t-1} + \varepsilon_t $$ where $Y_t=(y_{1t}, y_{2t},…,y_{kt})'$, $\mu=(\mu_1,…,\mu_{k})’$ and $\Phi$ a matrix of ...
1
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0answers
26 views

Why the growth of the American Economy is going to cause the Fed to raise interest rates?

Due the growth of the American economy the Fed have published that interest rates are likely to increase. Why is that the response of the Fed?
1
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0answers
54 views

Time-Varying Copulas (GAUSS)

Could anyone suggest me how to begin with Time-varying Copulas or Stochastic Copulas? I'm looking for the GAUSS code, however it seems there are only MATLAB code available over the internet. I'm ...
1
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0answers
11 views

Annuity Duration Based on Closed Derivative is half of Effective Duration?

I am analyzing an annuity with a stub. I calculate the effective duration as (P(-10bps) - P(+10bps))/(2*Principal * (.001)) I then take the derivative of the standard annuity formula discounted by ...
1
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0answers
33 views

How to apply the chain rule for partial derivatives to transformations?

I'm currently working to solve the Black-Scholes model partial differential equation (it's a model for a.o. stock option prices). The Black-Scholes equation for a calloption C(S,t) is given by $ ...
1
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0answers
39 views

Comparing cost of two alternative given their distribution

I have distribution for cost of two alternative through Monte Carlo simulation. The distributions are not normal. Given the benefit of the two alternatives is the same but ungiven, I want to choose ...
1
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0answers
38 views

On a source for a mean-variance portfolio optimization result

In the context of a mean_variance framework consider an optimizing investor who chooses at time $T$ portfolio weights $w$ so as to maximize the quadratic objective function: $$U(w) = E[R_p] - ...
1
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0answers
43 views

Interpretation of Correlation Matrix

I have past data which is in vector form. The information shows the probabilities of a AAA rated company to migrate to another credit rating. So for example, (x1, x2, x3) has the probabilities of ...
1
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0answers
32 views

Convolution of inverse gaussian and power law distributions

I am trying to understand how the first passage time density of Brownian motion with drift is modified by the presence of waiting times that are distributed as a power law In other words, what is the ...
1
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0answers
55 views

Straddle neutral strategy

What does it mean to implement a delta-neutral strategy for straddle ? A straddle consists in buying a call and a put simultaneously, at the same date, on same underlying, with same maturity and ...
1
vote
0answers
31 views

Stock prices and probability

Lets say that the current price of a security is £245 , $\mu =5%$ and $\sigma=32%$ Assume that the natural logarithm of $\frac{S_{t +\delta t}}{S_t}$ is approximately normally distributed with mean ...
1
vote
0answers
57 views

Why random walk Metropolis Hasting algorithm works bad on GARCH(1,1) parameters estimation

I am trying to estimate the parameters of the GARCH(1,1) model with MCMC method, firstly, I read the paper: http://mpra.ub.uni-muenchen.de/12985/1/MPRA_paper_12985.pdf Metropolis Hasting method is ...
1
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0answers
64 views

Volatility Surface Constituents, do's and dont's

Recently I have been working a lot with implied volatility and volatility surfaces. The basic idea is easy to follow: 1) Gather market prices of options at different (Strike,Expiry) 2) Calculate ...
1
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0answers
41 views

Convertible bonds market data

My question is twofold. First, what are the key informations used to describe a convertible bond market ? I'm thinking about market size, conversion rate, appropriate index, ... Second, where to ...
1
vote
0answers
26 views

Multi-objective optimization: Where to find qualified examples for portfolio management?

I am looking for qualified examples of multi-objective optimization applied to a portfolio management situation in non-normal markets. Where can I find one or more examples of such a multi-objective ...
1
vote
0answers
15 views

Non-overlapping ranges of HCNN' observables and of state transition function

In the artcicle Forecasting and Trading the High-Low Range of Stocks and ETFs with Neural Networks HCNN is used for forecasting of nine time-series, namely: returns of the lows returns of the highs ...
1
vote
0answers
32 views

What is the the correct treatment while short for the cash in lieu of a reverse split?

Long case: Assume I am Long 50 shares and there is a 2 for 3 reverse split. Let's denote the quantity of stock by x Prior to the split Portfolio is $-cash_0$ $+50x$ I am then at $-cash_0 +33x ...
1
vote
0answers
62 views

Fixed Income risk attribution in the historical simulation of a sovereign bond portfolio

We use historical simulation for risk analysis. I.e. for each bond there is a repricing of the form $$ P_j = PV(\text{yield curve in scenario } j), $$ where the yield curve is the zero rates curve of ...
1
vote
0answers
39 views

Should I use a correlation coefficient formula or a multiple regression formula?

I have an assignment dealing with the stock market and I'm a little lost. My instructions are to come up a method to create a score for a stock then compare the score against what the stock actually ...
1
vote
0answers
60 views

Value of an option to exchange an asset for another

I'm working out the examples in the paper "Changes of Numeraire, Changes of Probability Measure and Option Pricing", corollary 3. An option of exchanging asset 2 against asset 1 at time T, its time-0 ...
1
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0answers
94 views

Normalized price process $Z(t)=\frac{\Pi(t)}{B(t)}$

If an interest rate model with the following $P$-dynamics for the short rate. $$dr(t)=\mu(t,r(t))dt+\sigma(t,r(t))d\bar{W}(t)$$ Now consider a $T$-claim of the form $\chi = \Phi(r(T))$ with ...
1
vote
0answers
94 views

Stochastic Volatility CIR estimation

would anyone have a code (pref. Matlab or R) for any type of estimation (QML, GMM) not using option prices of a stochastic volatility model driven by a CIR process described below? \begin{equation} ...
1
vote
0answers
69 views

Get: Historic S&P500 Market Cap

I need the market cap of the S&P500 components on 2.6.2013. It should be easily downloadable via Bloomberg, but I dont have this databank. E.g. you could use ...

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