0
votes
0answers
89 views

Identifiability for Time Invariant State Space Models

Kevin Murphy's Kalman Filter toolbox (for Matlab) contains an example where it's the fact that the state space system in not identifiable causes problems. I include the example in it's entirety but ...
0
votes
1answer
170 views

Girsanov theorem in CMS convexity derivation

I am going through the derivation of CMS convexity from the notes of Lesniewski There is a transformation from $T_p$ forward measure to annuity measure $Q$ as $$ ...
0
votes
0answers
31 views

Are there any Spanish language resources for getting quotes?

In English, there is MetaTrader from http://www.metaquotes.net. Is there any similar platform or program available in Spanish for backtracking and running your trading algorithms? How about ...
0
votes
0answers
93 views

Liquidity Coverage Ratio: Proposed changes by US Fed, OCC and FDIC

With its latest report on the impact of the Liquidity Coverage Ratio the EBA has stated: "Incentives for regulatory arbitrage could be minimised if central bank operations were treated ...
0
votes
0answers
36 views

The list of all UCITs IV funds tickers

I am looking for the list of tickers for all the UCITs IV complaint funds. Could there be such a list? Thanks,
0
votes
0answers
57 views

Is it possible to graph the option price with respect to the greeks

Is it possible to graph a European option's price as a function of say, its delta? I've been wondering this since, for example, for a call, the option price is given by $$Se^{-q*t}\Phi (d_1) - ...
0
votes
0answers
20 views

A model of macroeconomic phase

I have been pointed towards econometric models of the state, or phase, of the general economy. What I mean more specifically is that we can think of the economy as being ruled by a few models or data ...
0
votes
0answers
97 views

Good stochastic volatility model

Im fiddling with estimation of stochastic volatility models and have build up a somewhat flexible framework using indirect inference. I would like to try and throw a lot of different continuous time ...
0
votes
0answers
60 views

At what point does it make sense to start using a system?

This is an issue I've been struggling with for quite a while, and haven't found a satisfactory answer yet. The basic problem is this: Lets say you set up a black box system which gives you anywhere ...
0
votes
0answers
52 views

How to the compute the formula of Kendall's tau (please see this formula)

I am trying to compute the kendall's tau, but when facing the formula below, I don't know why the second line is this. Could anybody help me to interpret the reason to me? Thanks very much!
0
votes
1answer
115 views

Forex Fundamental Data Sources [duplicate]

What are the best sources to find free Forex historical Fundamental Data in a .csv format?
0
votes
0answers
12 views

Russell 2000 P/E Ratio [duplicate]

Can someone please provide me with a source where I can find the the historical time series for the Russell 2000 PE ratio? Ideally, I'd like to have both the prices (easy to find) and the earnings for ...
0
votes
0answers
75 views

Volatility clustering but (G)ARCH not good fit

I'm looking at a time series that appears to be white noise. The ACF/PACF are in the test bounds. Applying the Ljung-Box test for various (maximum) lags gives me high p-values (i. e. I cannot reject ...
0
votes
0answers
50 views

Transform the American cash-or-nothing call into a linear complementarity problem for the diffusion equation

Transform the American cash-or-nothing call into a linear complementarity problem for the diffusion equation and show that the transformed payoff is g(x,τ) = be^[(1/2)((k+1)^2)τ+(1/2)(k−1)x]H(x),  ...
0
votes
0answers
50 views

Why is that maximizing stock value, under uncertainty, is a better option than maximizing profits?

I've been trying to access the papers that state that kind of problem, but most of them need payment for access and I am on a student budget. I know that maximizing profits=maximizing stock value in ...
0
votes
1answer
79 views

Need weighted global stock index data (components / weights)

To implement a portfolio generator, I require a set of suitable stocks. Ideally it would use the components of the MSCI World Index and use the index weights for the probability of picking a stock ...
0
votes
0answers
320 views

Convexity of Portfolio Containing Eurodollar Future and Forward Rate Agreement

Assume an individual is a buyer, i.e., long, of one Forward Rate Agreement and a seller, i.e., short, of one Eurodollar Futures contract. Does the collective portfolio have positive or negative ...
0
votes
0answers
50 views

Sketching payoff diagrams- Straddle and Butterfly (when t tends to 0)

I want to sketch a straddle and a butterfly payoff diagram when t tends to 0. I have searched and have been able to sketch both a butterfly and straddle diagram but fail to proceed when t tends to 0. ...
0
votes
0answers
401 views

Calculating the VaR from a GARCH(1,1) with Student-t innovations

I'm self-studying several questions on Ruey S. Tsay's teaching page. I'm experiencing some difficulty getting the correct answer for final exam 2013 Problem B Question 3. Given a Student-t GARCH ...
0
votes
0answers
26 views

Nominative financial datas

For a study I am looking for financial datas about trades in double auction markets. It would typically be transaction history containing the name of the participant (buyers and sellers) and the ...
0
votes
0answers
82 views

Stochastic Volatility for Stocks, FTSE

Can someone help me with calculating Stochastic Volatility (of stocks and options) using SAS or R or Matlab please? I am new to SAS and I am trying to use Heston model, White-Hull model or any other ...
0
votes
0answers
61 views

full tick and retail tick data feed difference

Full tick institutional data feed like elektron from reuters, how is it different from retail tick data feed & which charting softwares work with elektron data feed
0
votes
0answers
35 views

Engle Granger test returns a 0 in matlab, while correlation factor is .80+. Am I doing something wrong?

Engle Granger test is giving me a ans = 0. The correlation factor is: 0.8+ Does this imply the No cointegration hypothesis is true? i.e. as per my understanding that there is cointegration? I am ...
0
votes
0answers
39 views

Significance of Data

The following is a result I get from a pair trading model. I am trying to figure out the significance of the below but failing. Can someone help me out i.e. a resource or possibly an explanation on ...
0
votes
0answers
27 views

modelling with Meixner process

I failed to evaluate the integral of v(x)e^x over real numbers (i.e, from -infinite to +infinite) with respect to dx where v(x)=2d exp(2(pi+b)x/a)/abs(x)(1-exp(2pi.x/a)) for x<0 and v(x)=2d ...
0
votes
0answers
1k views

Margin % Bridge - Effect of Price, Cost, Volume

Given sales and profitability data for two time periods, how would I go about calculating the impact of price, cost, volume and mix margin % (bps)? I can do the analysis as a gross margin $ bridge, ...
0
votes
0answers
391 views

Downloading Quotes in CSV format from Yahoo Finance - Beta symbol?

By using http://finance.yahoo.com/d/quotes.csv?s=STOCKNAME&f=I am able to download a CSV file, does anyone know what the symbol for beta is? It should go after ...
0
votes
0answers
62 views

What are some different methods for calculating hedge ratios for multiple leg spreads?

I am looking for many different ways of doing this, and I want to compare the results I get among the different choices. I am going to be using close-to-close change data. Thanks.
0
votes
0answers
56 views

Log returns vs Relativizing to Portfolio size of $1

In a current empirical research project, I am tracking a non-parametric measure of a transaction cost. To this extent, I track this cost in two ways Cost in terms of log returns Cost in terms of ...
0
votes
0answers
63 views

Minimum PD under Basel II retail asset?

I have been told that under Basel II the minimum PD that one can assign to any portfolio/segment classified under the retail asset class is 0.33%. But Google searches return nothing and I can't seem ...
0
votes
0answers
29 views

Approaches to check/validate the output of an optimization algorithm

Let's say we want to optimize the a function $f(x_1,\dots, x_n)$ with $(x_1, \dots , x_n) \in \mathbb{D}^n$. For the sake of simplicity let $\mathbb{D}^n$ be the unit sphere. We chose an optimization ...
0
votes
0answers
32 views

measuring the performance of round-trips on stocks

can you provide me with some ideas to assess the profitability of round-trips? That is when I buy 100 shares of IBM at 10\$ and I resell them two days later at 11\$, how can I measure the profit made? ...
0
votes
0answers
201 views

Copula Value At Risk

Let's suppose I have two asset in my portfolio. I want to compute Copula Value At Risk. Can you help me? This is the code I wrote: ...
0
votes
0answers
138 views

How to calculate modeled asset volatility by industry factor?

Currently I am working with huge data frame which consists of a lot firms. For each firm in my sample I calculated asset volatility ( I am using Merton default probability model, so I have used 2 ...
0
votes
0answers
78 views

What is the arbitrage opportunity in Arrow-Debreu One Period market Model

The one period market model is made of 4 securities(A, B, C, D) and has 4 future states. Assume the market model is complete. and the state prices are (-2, 2, 4, 8). Given that I dont know the payoff ...
0
votes
0answers
44 views

swaps valuation

I am asked to solve the marking to market value(MtM) of a swap, unfortunely i´m having big troubles finding the solution, it´s a 5.5% (vs. LIBOR) 10-year swap, The notional is 500 mio USD and LIBOR ...
0
votes
1answer
82 views

Pricing options with two assets

I'm studying for a test and am stuck on this practice question: With interest rates equal to 0, two different stocks $S_1$ and $S_2$, both valued at \$1 today, can be worth \$2 or \$0.50 at some ...
0
votes
0answers
23 views

How to rightfully balance the share of the organization between departments after variable changes?

This is an abstracted version of the problem I'm facing and I have to tell you first, my question might not be precise and or even correct, so I hope you understand and in that case can improve the ...
0
votes
1answer
86 views

Can we model components in a set of multivariate multi-period time-series data?

There are N data sets in periods occurring weekly/monthly, across a 10-year historical timeline. In each period, five dates are observed (labelled a to e), where a denotes the day the period ...
0
votes
0answers
48 views

Estimate the effect of a buy order on stock price

If a stock is having ask = 100$ for 100 shares Ask size, and I put a buy market order for 1000 shares, is there an approach to estimate that this buy order will move up the stock price by what %? I ...
0
votes
0answers
91 views

Stock Price Question

Can anyone show me how to answer this please? A stock has beta of 2.0 and stock specific daily volatility of 0.04. Suppose that yesterday’s closing price was 95 and today the market goes up by 3%. ...
0
votes
1answer
247 views

Data feed for 10 year government bond yields [duplicate]

I am trying to access a data feed for 10 year sovereign bond yields for countries, say the G20. I have tried world bank and IMF data api sources but to no avail. The data feed is used to update an ...
0
votes
3answers
129 views

How can I determine U.S. market capitalization percent using WFE data?

It seems that I should be able to readily compute U.S. market capitalization percentage of global capitalization using data reported from this page at the World Federation of Exchanges. How can I ...
0
votes
1answer
157 views

Calculating the Sum of Squared Deviations between two Normalized Price Series

How can I calculate the sum of square deviations between two normalized price series according to (Gatev et. co 2006)? My normalized price series of stocks $X$ and $Y$ consist of the cumulative total ...
0
votes
1answer
250 views

Step-by-Step PCA algorithm (checking correctness without math packages)

I would appreciate if someone could correct me if i am wrong in my suggestion. I am using PCA to : find measure of cointegration between selected assets find the eigenvector and its portfolio with ...
0
votes
0answers
40 views

Rational expectation meaning

What does rational expectation (RE) mean in agent-based modeling context? What are the relationships between RE and expectation and outcome?
0
votes
1answer
108 views

Where can I find monthly/weekly historical data for gold and silver [duplicate]

Preferably in monthly or weekly denomination, for at least 20 years. Preferably in Excel format, but csv, or other format is fine too. I try to google but couldn't find anything, maybe I just wasn't ...
0
votes
0answers
44 views

VIX Future risk modeling [duplicate]

I am very new to VIX futures and need to validate the risk model for these instruments. Could someone help me with how i can calculate the volatility on these instruments. Thanks.
0
votes
1answer
57 views

Under an EMM, does there necessarily exist a replicating portfolio?

In general, under an EMM, does there necessarily exist a replicating portfolio for every derivative? I believe the answer to this is false. A simple example is a discrete time, trinomial model. ...
0
votes
0answers
94 views

BS Implied Volatility under Normal returns

If I use theoretical prices under a normal valuation model, and I estimate their implied volatility using BLACK SCHOLES implied volatility, do I'll get corresponding log normal volatility?

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