# All Questions

22 views

### I want to solve follow queston [on hold]

Suppose that $X$ is reachable using the portfolio $h$. Suppose furthermore that, at some time $t$, it is possible to buy $X$ at a price cheaper than (or to sell it at a price higher than) $V_t^h$ . ...
16 views

### How do you organize this Roman occasions? [closed]

Carthage was destroyed by the Romans. The capital moved to Byzantium was started. f. Carthage was destroyed by the Romans. c. Roma put in place a decentralized government. The capital moved to ...
40 views

### Fix protocol and Bars

I am newbie in fix protocol. I would like to know how I can work with bars (candles) in the fix protocol? I mean subscription to bars from client-side and what type of message I can use to send bars ...
46 views

### Magrabe Exchange Option: not equal drifts

I need to calculate the price of exchange option between 2 assets $S_1$ and $S_2$ The formula is given here Wiki: Magrabe formula or here Quant Stack Exchange. In the derivation of the formula it is ...
45 views

### Option greeks: sensitivity to 1% move

In a Black&Scholes framework how can I compute the following sensitivities: to 1% move in the underlying price to 1% move in implied volatility I would like the greeks to tell me how many ...
30 views

### Question about “short” in this sentence

I was reading an article by David Stockman from (http://davidstockmanscontracorner.com/take-cover-now-they-dont-ring-a-bell-at-the-top/). He uses the word "short" in a way I'm unfamiliar with. If you ...
37 views

### Stock Price Evolution Equation Clarifications [closed]

What is the dimension of Δt? Is it second [s]? What are the expected return and the expected volatility? How can I calculate them for any given stock? Should I use the return and volatility values for ...
84 views

### What is the most amount of money the consumer would be willing to pay to play take this gamble?

Suppose a consumer has log-utility over wealth, defined by $u(W) = \ln(W)$. Suppose this consumer has $100$, and is considering taking a gamble in which the consumer flips a coin, and gets $20$ she ...
69 views

### Who is in debt when a bank investments in commercial paper? [closed]

If a company issues commercial paper and the bookkeeper, bank A, receives a buy order from bank B, in which bank B creates credit to buy the commercial paper, does the company has a credit in bank B ...
225 views

### Where to get access to an inexpensive or free hedge fund/CTA DB?

Basically, the question is in the title. For some similar data: EDHEC provides some data and one can also get the Mutual Funds data from the Yahoo Finance:is there anything else out there? Thanks, ...
1k views

### Is there a piratebay for data(bases)? (here, talking about historical financial data) [closed]

I would like to, for example, access (and later, upload), for example, historical financial data for the S&P500. If a piratebay for databases existed, maybe we could freely share information that ...
765 views

### Market Data For Project

I'm looking to find a service that will allow me to download historical data on stocks, bonds, options, futures, indices, etc and also to pick up new files either on a daily or weekly basis. I've been ...
227 views

### If I am very fast (less than 10 microseconds latency) what would be the first strategy to execute? [closed]

Let's assume I found the holy grail of low-latency trading (which I didn't). For educational purposes, what would be the first strategy I would direct my trading code?
531 views

### What software should I use for forex arbitrage?

These are my requirements: Speed of lookup & update Speed of crunching large numbers and combinations The exchanges I want to connect to will mostly provide json feeds to their orderbooks & ...
88 views

### Why is there no closed-form equation for XIRR?

Everything I have read about XIRR (e.g., as calculated in Excel) says that there is no closed-form equation and it must be calculated by iterated approximation. Could someone give a brief ...
142 views

### Methods for distributing cash into allocation

Are there any methods/techniques that cover distributing cash into a specific percent of a portfolio asset class while gaining the best average price? As a simple example, a portfolio starts with ...
285 views

### Convert returns into an index? [closed]

What's the right way to take a series of returns and convert it into a continuous index? Let's say I want to show the performance of a strategy starting from 1, and adding on returns so that I get an ...
513 views

### Why do we need derivatives? [closed]

I read somewhere that derivatives are the biggest weapons of financial destruction. Why do we need derivatives? If exploiting risk-proneness of people to make profit is the goal, why don't we stop ...
107 views

### How can foreign investment have a negative figure?

Just looking at http://www.tradingeconomics.com/japan/foreign-bond-investment Wondering how can foreign bond investment be negative? You can have 0 investment, you can have positive investment, but ...
77 views

### Total number of currency transactions [closed]

All of the Forex volume/transactions are always reported in total dollar amount. I am interested in the number of individual trades. Where can I find this? Granularity doesn't matter, ...
420 views

I have $2000 that I can risk losing. I'd like to get started with Forex Trading. Is there some place where I can open an account, get free API access, and write basic programs to play with the data? ... 1answer 474 views ### Trading Strategies and Portfolio Constructions based on Cross Sectional Regression? [closed] I often see trading strategies and portfolio construction that are based on cross-sectional regression. For example, I often see regressing some numbers against some factors. I was wondering how ... 0answers 14 views ### Master thesis in Finance: Any qualitative suggestion on corporate finance cases? Possibly directed against one industry [on hold] Could also be tips on research gaps within corporate finance or portfolio management. 1answer 143 views ### What's the disadvantage of ARMA-GARCH model? I want to ask why ARMA-GARCH is more and more popolar, and what's the advantage of this model. 1answer 347 views ### Interest only loan formula [closed] Forgive me I am not good at economics, I have following values. amount I want to lend. the current bank interest rate. the amount of years the loan will be for Please tell me the formula to ... 1answer 77 views ### if technical analysis rules for predict stock prices is unique for all cases, why should we learn neural networks? [closed] Is there any neural network out of the box tool that was already learned all technical rules by feeding many stock trading data? 1answer 214 views ### inflation > interest rate? [closed] Currently, the federal reserve interest rate is 0-0.25%, and the inflation is 2-3%. Does this contradict the no-arbitrage principle? (The arbitrage being: borrow money at 0.25% and invest it in the ... 2answers 206 views ### How to use mean-variance weights in practice (when going short is allowed)? [closed] I have calculated my optimal portfolio weights following the mean-variance framework where I go$w_1$in the risky asset and$1-w_1$in the risk free rate. I get the following result:$w_1\$ = 1.5, ...
154 views

How I can solve the following Quadratic Programming Problem: Min[X’VX+X’GX] In this case, X is a list of coefficient to be solved for, V is a square matrix of Price returns, and G is a square matrix ...
97 views

### Risk Neutrality Necessary for Dual Delta Calculation?

I have an option chain for a specific expiry date. Then calculate dP/dK numerically for each pair of strikes. My hunch is that this calculation is not risk neutral in the strictest sense of the word ...
386 views

819 views

### Show that convexity of call price as a function of the strike is violated [closed]

European call options with strikes 90, 100 and 110 on the same underlying asset and with the same maturity are trading for 22.50, 18.84 and 13.97 respectively. show that the convexity of the call ...
4k views

### How to annualize log returns? [closed]

I have daily log return from 01.01.2011 to 10.28.2011 and I'd like to compare the total return of that 10 months period (which is of -7.093%) to annual log returns of previous years. I know it's ...
124 views

### Is there an API to perform request about stocks and financial derivatives? [closed]

Is there an API to make a request such as: all the companies which thier P/E ratio is greater than 50 ? I know I can crawl google finance and have it locally on my ...
54 views

### Does YTM represent interest? [closed]

Does a bond's Yield to Maturity represent the amount of interest one gets at maturity even though it's expressed as a percentage? I read that it is a rate of return on a bond at maturity, but what is ...
561 views

### Target daily ROI for a market-making algorithm

I'm designing a market-making algorithm, I was wondering what a decent ROI / day would be to aim for in such a system?
644 views

### How to calculate the weight of the stocks using the linear regression?

I do a simple example with the follow three series(stocks prices): ...
180 views

### How to apply Elliott wave priciple to any Time Series?

I'm strongly interested to computing Elliott Wave to any given Timeseries. Does anybody tried? Is there any phython library to do that? I'm looking for an algorithm taht if I give to it a time ...
371 views

### get live data from national stock exchange [closed]

http://billing.finance.yahoo.com/realtime_quotes/signup?.src=quote&.refer=quote Can i get real time data(from NSE india) using Yahoo finance API after subscribing to their service ?