0
votes
1answer
66 views

Futures vs. spot for currencies - who is the leader

What is known about interrelation between the currency (say EURUSD) spot prices vs. futures on the the same currencies (traded at Chicago CME) ? I mean what is typical situation - the main price ...
0
votes
1answer
39 views

Understanding how to calculate Accrued Interest of Bonds

When calculating the accrued Interest of Treasury Bonds, how does one set the settlement date? And, is it possible for certain bonds that there are no coupon payments before the settlement date and ...
0
votes
1answer
46 views

Calculating Accrued Interest of Bonds

I am trying to calculate the accrued interest for a set of Treasury Bonds. I am comparing the answer from the code below with that for the 1st Bond(row) over here. In the link the AI is ...
0
votes
1answer
21 views

Correct Theoretical Discount Factors from Nelson-Siegel-Svensson?

I am calculating the theoretical discount factors associated with a bond that has 30 months to maturity from today with the parameters below obtained from here using the Nelson-Siegel-Svensson Model. ...
0
votes
1answer
40 views

Given cash flows, what is the interest rate of the following contract? [on hold]

I am presented with an investment opportunity where I am given #481,000 on day 1. Thereafter, every 10 days, I am required to give back #50,000 every for 100 days (10 * 50000 = 500000). How do I ...
0
votes
1answer
36 views

Difference between Closing Price, Last traded price and Settlement Price for option contracts?

What is the difference between Closing price, Last traded price and settlement price ? I got the difference between Closing Price and Settlement price from previous post : The difference between ...
0
votes
1answer
27 views

Constructing NS-Svensson parameters with zero coupon AND coupon bonds

I am in the process of calculating sovereign zero coupon yield curves using the NS-Svensson parameter for a number of countries. Due to data constraints, I would like to use the information from price ...
0
votes
2answers
26 views

how to convert notional to nominal of bond future to ctd bond

I want to know if you can easily convert a notional of a bond futures contract into the nominal of the ctd bond if you have the conversion factor. For example you have 1000 notional of a futures ...
0
votes
1answer
50 views

Calculating discount factors using Nelson Siegel Svensson model

I am trying to understand how to calculate the discount factors $disc(TTM)$ mentioned on Page 9 of this pdf. When I'm calculating the discount factors, mentioned each bond has its own cash flow and ...
0
votes
1answer
34 views

Transforming coupon bond returns to ZC bond returns

I am interested in aggregated Amihud ratios measures over bond groups. For a large panel data set with daily bond prices and volumes I have calculated already Amihud ratios per ISIN/day. Naive ...
0
votes
1answer
27 views

Term to Maturity when calculating discount function

I am just trying to understand what TTM (Term to Maturity) means in Page 8 of this PDF when calculating the discount function. Is it just the vector representing the difference between the time to ...
0
votes
2answers
48 views

Correlation Between 2 Portfolios

I have a set of assets, n. I'm trying to find the correlation between 2 portfolios, say x and y, where x is nested in, or, a sub-set of y. That is, x is a portfolio based on a sub-set of n, while y is ...
0
votes
1answer
127 views

Understanding how to obtain Nelson Siegel Svensson parameters

I am trying to determine the parameters for the Nelson Siegel Svensson model and am solving a Non- Linear Optimization problem to do this. I am using the procedure presented in this paper. The way I ...
0
votes
1answer
57 views

What is some book that is complete and easy but hard enough to serve as prerequisite for asset pricing and portfolio choice theory?

What is some book that is complete and easy but hard enough to serve as prerequisite for asset pricing and portfolio choice theory by kerry back? I wonder how come a beginning graduate textbook is so ...
0
votes
2answers
64 views

How to get list of all symbols in fred database?

I am trying to query every single series in the fred database using r. I have checked out both the quantmod and fImport packages, and they work fine, though it seems that quantmod fits my use a bit ...
0
votes
1answer
36 views

What P&L netting should one use when a strategy has trades in two different geographic locations?

I am familiar with the FIFO methodology of netting buys and sells to obtain a realized P&L and outstanding position. Suppose there's a strategy which runs in two different places A, and B and ...
0
votes
1answer
49 views

Does it make sense to interpret autocorrelation and box test on 5 data points?

I am trying to see if after I trade a stock the price movements at 2, 5, 7, 10, 30 and 60 seconds after exhibit any autocorrelation. Below I have the returns from my trade price to the trade 2,5,7,10 ...
0
votes
1answer
36 views

Should earnings be modelled normally or lognormally?

I am having difficulty deciding whether a company's earnings should be modelled normally or lognormally. If we consider two arguments: (i) The earnings of a company are the returns on the assets of ...
0
votes
3answers
71 views

What's the disadvantage of using linear programming for portfolio optimization?

I am a MFE student and we have project on the Markowitz portfolio optimization problem. i am wondering how much impact there will be, if I use a simpler linear optimizater instead of a quadratic ...
0
votes
1answer
75 views

how do I loop through all the stocks with quantmod and ttr?

I just started with quantmod package. If I want to select stocks based on their recent performance, then I need to loop through all the stocks in, say, NYSE. So I need: get all the stock symbols ...
0
votes
2answers
69 views

Johansen test on two stocks (for pairs trading) yielding annoying results

I hope you can help me with this one. I am using cointegration to discover potential pairs trading opportunities within stocks and more precisely I am utilizing the Johansen trace test for only two ...
0
votes
4answers
86 views

How can one get broker order data?

Is there any chance to get order data from any broker with a label from which account it came from? The accounts can be anonymized, i just need to identify an account's orders sent. Any help will ...
0
votes
1answer
87 views

Implied volatility interview question [closed]

If an implied volatility of an out of the money call option goes to infinity,what happens to the delta of the said call option?
0
votes
1answer
59 views

FX Portfolio Volatility Targeting

If I have 3 different currency trades (ex short EURSEK, short NZDUSD, long USDJPY), how do I size each trade if I wish to allocate risk equally in order to target a 12% portfolio volatility (allowing ...
0
votes
1answer
117 views

Looking for a definition of financial entropy

In Science, Entropy is generally considered to be the irreversibility of stuff. Google defines entropy as: lack of order or predictability; gradual decline into disorder The 'gradual decline in ...
0
votes
1answer
25 views

Residuals in the Ljung box test

does anybody know what type of residuals is used in the Ljung box test in R? raw or standardized? Because basically when I fit a GARCH model using garchFit, the summary() function gives me all the ...
0
votes
1answer
47 views

Apply CAPM using returns on a foreign currency as the market returns

I want to analize Bitcoin returns using the CAPM. I was thinking if it makes sense to compare returns of (BTC/USD) against (EUR/USD), taking the latter as the market returns. However, since EUR is ...
0
votes
1answer
41 views

How do I interpret yield curve data points given by the US Treasury?

Given the Daily US Treasury Yield Curve Rates for a specific date I will fit the curve with the cubic spline method, but first I need to know how to use the data points given by the Treasury. For ...
0
votes
2answers
87 views

Uses of Volatility models

I'm reading about volatility analysis here http://vlab.stern.nyu.edu/doc?topic=mdls. There are many variations of GARCH. My question is: rather than trial-and-error approach, is there any systematic ...
0
votes
1answer
49 views

Difference between Tick data and NASDAQ ITCH VIEW [closed]

Could any one explain the difference
0
votes
1answer
74 views

Compute cross-gamma

I am trying to use delta-gamma method with montecarlo simulations to calculate the VAR of a portfolio consisting in options and equities. To use the method I need to compute a gamma matrix, that has ...
0
votes
2answers
55 views

returns of Bonds and exchange rates

which are the best distributions in order to model the bonds and exchange rate returns distributions. I am searching for a distribution such as the log-normal one of the stocks ( N(m-0.5*v),Sqrt[v])
0
votes
1answer
50 views

Expected Utility and $\log$

I've just started reading about expected utility and utility functions and have the following question. $\textbf{Question:}$ An investor has an initial wealth of 100 and a utility function of the ...
0
votes
1answer
31 views

Order Book vs Wallet Updates

Good morning, i am in the middle of developing my own stock exchange system and have implemented limit orders (basics) matching. The system is just a DIY solution for my own purposes and for fun ...
0
votes
2answers
57 views

Calculating units in a cross currency short trade

If I have a forex account with a broker and a balance of 100 USD, and I'd like to short EUR/JPY, how many units can I short? How is this calculated? Which currency pair do I use to translate between ...
0
votes
1answer
113 views

Gamma derivation from the expectation

I am trying to derive Gamma from the expectation principle (differentiating under expectation sign). I understand these steps $\frac{d^2 C}{d x^2} = e^{-r\tau} \mathbb{E} [ \frac{\partial}{\partial ...
0
votes
1answer
43 views

probability that the stock price is below the strike price

How can I prove that under the risk-neutral probability: $\mathbb{P}[S_{t}<K]=-\frac{\partial{C}}{\partial{K}}(K,T)$ where $S_{t}$ is the stock price, K is the strike price, C is the call ...
0
votes
1answer
42 views

Random walks and using the reflection principle

Consider exercise 5.5 from Shreve volume 1: For part (I), I understand how you can use reflection to show that $P(M_n^*\geq m, M_n=b)=P(M_n=2m-b)$. However, it seems to me that this latter ...
0
votes
1answer
53 views

Is it likely that banks would become clients of algotrading companies? [closed]

Algotrading is growing, while banks don't currently have the HR to continually develop sophisticated algorithms on their own. Is it likely that banks (and governments) would become clients of ...
0
votes
1answer
51 views

Good book about replicating portfolios

I want to know if anybody can suggest me a good textbook which explains in detail and in an understandable way how to create replicating portfolios of financial instruments like options "cash or ...
0
votes
1answer
252 views

IbPy download historical price data

How can i download historical price data from interactive brokers using IbPy and python?
0
votes
1answer
24 views

A problem involving random walks from Shreve

Problem 5.4i in Shreve examines a symmetric random walk. Let $\tau_2 $ be the first time that the random walk reaches 2. For $\alpha\in (0, 1) $, we are given that $$E [\alpha ^ {\tau_2}] =\sum_{k = ...
0
votes
1answer
35 views

Replication of the portfolio in single step binomial model

I would be grateful if anyone would comment how to construct this: Assume $S_{i}^k$ is a stock price at time level $i$ and at price level $k$. Assume option is written on $S$ with a a payoff ...
0
votes
1answer
40 views

Portfolio of Assets

The following represents a model for an economy. At time $t=0$, four assets have the value $X_1= £5$, $X_2=£5$, $X_3=£10$ and $X_4=£4$. Three possible states of the world exist ($\alpha_1$, ...
0
votes
1answer
50 views

Order routing: correlation of having same exchange for buy and sell

I am not familiar with the technicalities of order routing so my main sources of information as of now is the sec gov trade execution info and an explanation of how SOR works. Question 1: Let's ...
0
votes
3answers
43 views

Small question about normalization

Lets assume I want to normalize some stock data ( prices or log prices) to compare for different types of correlation for example. And here is the question how should I normalize: a) by subtracting ...
0
votes
1answer
57 views

Symbols for options on gold futures

I have a historical data set containing only options on gold futures. If I print out a unique list of option symbols I get: ...
0
votes
1answer
302 views

How to get positions of your portfolio from Interactive Brokers with python ibPy?

I am using ibpy to get the positions of my portfolio. I understand that I can do: ...
0
votes
2answers
107 views

How do I find the entity identifier using BSYM?

I am new to BSYM and would like to do an entity-level search (as described here (towards bottom of document). For instance, a search for "APPLE INC" brings up 266 pages. Which one is for the entity? ...
0
votes
2answers
176 views

Put-Call relationship for Option on Forward

The forward price of a forward contract maturing at time T on an asset with price St at time t is, $$ F=S_te^{(r-q)(T-t)} $$ where $r$ is the risk free rate and $q$ is the continuous dividend rate ...

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