# All Questions

3answers
777 views

### Pairs trading: Question on non-negative profits, size of the positions and trading signals

I'm trying to backtest Pairs Trading but have become a bit confused on the different methods of selecting pairs, how to look for trading signals and what size of the positions to take in the assets. ...
3answers
469 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 ...
2answers
373 views

### Change of measure discrete time

Suppose I have a random walk $X_{n+1} = X_n+A_n$ where $A_n$ is an iid sequence, $\mathsf EA_n = A>0$. How to construct a martingale measure for this case?
2answers
173 views

### Large (5K-10K) non positive definite (particularly near singular) covariance matrices and treatments for Cholesky decomposition

I have a very large covariance matrix (around 10000x10000) of returns, which is constructed using a sample size of 1000 for 10000 variables. My goal is to perform a (good-looking) Cholesky ...
2answers
159 views

### Block Bootstrapping Relative Returns

I want to run a block bootstrap on the relative returns, but I'm not sure if subtracting the mean is important. A bootstrap sequence is a synthetic sequence generated using the original sequence. If ...
2answers
166 views

### Library for interactive financial charts

For my recent project I am looking to build a software capable of visualizing financial charts in a dynamically and interactive matter. The workflow is as follows: I gather data from my data ...
2answers
123 views

### What Forex Services support the ForexConnect API?

I need API access to get ForEx tickers and order books for currency pairs. From what I can tell there is a .Net API called ForexConnect which I can use to get this data. Now where can I get this data ...
2answers
279 views

### Calculate Average Price, Cost, (Un)Realized P&L of a position based on executed trades

We have built an algorithmic trading software and need to calculate the following parameters for each position in our portfolio. Average Price Cost Realized Profit & Loss Unrealized Profit & ...
2answers
823 views

### How to detect and adjust for stock splits?

I am using a large daily data panel for over 250 companies and over several years. I am concerned about adjusting for stock splits. Is there any program in SAS to detect stock splits? How do I adjust ...
1answer
115 views

### When did volatilities start to smile in capital markets?

Glimpsing through literature, I read that volatilities in the equity market started to display a smile after the crash in 1987. But when did volatilities start to smile in capital markets?
1answer
289 views

### Is the price of European put option monotone in volatility if we replace BM in Black-Scholes with a general Levy process?

Under the Black-Scholes model, we have the European put option is $\mathbb{E} [e^{-rt}(K-S_t)]$, where we take $\log(S_t)=X_t$ and $dX_t= \sigma dW_t - \dfrac{1}{2}\sigma^2 dt + rdt$. Here the option ...
1answer
308 views

### Applicability of PCA to get historical volatilities to calibrate interest rates trees

My question in short is as follows: can I take main principal component of historical covariance matrix and use it as historical volatilities when fitting a binomial tree? Here's more detailed ...
1answer
324 views

### Market making in thinly traded assets

Could anyone suggest some literature or have any practical advice for marking a market in thinly traded assets with the following characteristics: 0-10 trades per day. Open limit-order book with 0-5 ...
1answer
74 views

### Extrapolating implied volatilities to small time

Could anyone please direct me to literature or methods for extrapolating the implied volatility surface towards small expiry? I'm looking to price very short time to expiry binary options (e.g. 5 ...
1answer
246 views

### Are there any other standard rates term structure decomposition than PCA?

PCA is sometimes used to estimate components in the rates term structure. Are there any other standard method discussed in the literature or used in practice, what are their advantages and ...
1answer
1k views

### Why use a column database for tick/bar data?

I often hear that column-oriented databases are the best choice method for storing time series data in finance applications. Especially by people selling expensive column-oriented databases. Yet, at ...
1answer
123 views

### Liquidity diversification

The liquidity diversification can be measured by the liquidity score, defined here as the ratio between the pure market P&L CVaR and the market+liquidity P&L CVaR. I have tried to reproduce ...
1answer
559 views

### Commerical delayed stock quote feed that is redistributable?

I'm looking for a commercial delayed quote feed that will allow us to distribute delayed US stock market quotes to the public (ie. that will allow us to display US delayed quotes on the Internet). We ...
1answer
114 views

### Smoothing Term Curve

Assume that we have current month term curve and the curves from the two previous months. The current curve may be shifted from the average of the previous two curve by some value (a parallel shift). ...
1answer
4k views

### How to calculate equally weighted market portfolio

There's two studies that test the same thing in different markets (i.e. they apply the identical methodology). They state: 1) "$R_{mt}$ is the equally weighted average stock return in the dual-listed ...
1answer
45 views

### Evaluation volatility with Garch model

I want to forecast the volatility (with Garch) of a canadian stock in 5 months with daily returns. How many data do I have to collect ? Thanks.
1answer
101 views

### interpreting huge jumps

i have been working on this trading system that uses digital filters to generate signals. the system works fine during normal market hours. but it goes haywire when there is news release. i have ...
1answer
158 views

### IB API quotes and speed

The title says it all. I trade futures options exclusively and wanted to see if anyone had insight into the quote speedsrobustness coming into the API. I'm using the Excel DDE right now just building ...
1answer
124 views

### Robust Returns-Based Style Analysis

Sharpe's Return-Based Style Analysis is an interesting theory but flawed in practice when working with long-short funds or funds that are changing strategies over shorter periods of time due to the ...
1answer
319 views

### Ordering of CME Level 2 FIX Market data?

The following link contains a file containing CME Level 2 FIX Market/Orderbook data for Corn futures: ftp://ftp.cmegroup.com/datamine_sample_data/md/mdff_cbt_20130714-20130715_7813_0.zip However, ...
1answer
140 views

### Are Papers and Funds reporting Monthly drawdowns using daily granularity?

I'm curious as to how many academic studies and industry white papers are actually using daily data to report intramonth drawdowns; specifically, when the papers are often reporting monthly signals, ...
1answer
204 views

### Unsystematic/Idiosyncratic/Firm-specific volatility/variance in the market model?

I was asked to use idiosyncratic volatility as a regressor in a cross-sectional regression upon cross-sectional returns as the dependent variable. Returns can be thought of as the raw log stock return ...
1answer
23 views

### Futures TAS order: how it works?

Can anyone explain how TAS (Trade-At-Settlement) order on futures market actually works? Number of people keep saying that it is guaranteed execution on settlement price (or with some offset). How ...
1answer
41 views

1answer
180 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, ...
1answer
51 views

### Can Beneish's model for detecting earnings manipulation be applied to companies in the UK?

As I understand it this model derived from data for US companies. Is it valid to apply the model as is to UK companies or does it require any modifications? Description of the model: ...
1answer
279 views

### Calculating arbitrage- S&P 500 stocks vs S&P 500 Index future?

How exactly would I go about investigating whether the S&P 500 stocks were currently over-valued compared with the price of the S&P 500 Index futures contract? Is it just a case of taking each ...
1answer
77 views

### Converting time series returns into euro

I am trying to convert various series of returns into one currency (euro). I saw from aprevious post that soemone suggested using conversion factors, where would I find these? Also, given that the ...
0answers
130 views

### Looking for FpML best practices

We want start using FpML within our organisation; where message will be sent using FpML. What are best practices to do this ? If anyone who have used Tools as well as; i want to use FpML for ...
0answers
76 views

### combining sharpe ratio with CAPM?

I have used sharpe ratio to build a portfolio, the trouble is some of the asset returns do not meet the CAPM threshold. Would it be reasonable for a portfolio application to not add any assets to the ...
0answers
46 views

### Bloomberg Open Symbology: Pricing Sources for major North American exchanges

I'm trying to figure out how to get a list of symbols out of Bloomberg Open Symbology based on the stock exchange. If Pricing Source symbol for the Toronto Stock Exchange is "CT", would filtering to ...

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