# All Questions

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### Define the order of GARCH(m.s)

I know that if the order of Arch(m) is over 3, we should use GARCH and GARCH(1,1) was proved to be the best. But was GARCH(1,1) proved to be available for any country's stock market? My result show ...
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### 30 Day Federal Funds Futures settlement price

A question regarding this futures: http://www.cmegroup.com/trading/interest-rates/stir/30-day-federal-fund.html It says that settlement price = 100 - [average of effective federal fund rate for ...
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### Is it possible to find / estimate the volatility surface of non-listed index options?

I have 3 QNET options (european, 2 puts, 1 call, all same expiry, different strikes) that the broker is pricing clearly off a volatility surface. Bloomberg only carries historical volatility and I ...
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### What is Estimation Risk - VAR Backtest

Simple Question. Can someone explain please: What is Estimation Risk in Value at Risk Backtesting
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### OTC Market Data

I am currently doing research on the OTC Markets (OTCQB, OTCQX). As far as I know, the only data available is end of day. The research will require tick level data. This leads me to two questions: ...
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### Correlation: Use Price or Return? Return doesn't make sense [closed]

I am trying to find the correlation between the returns of two indices over a long period of time (10 years+) . Should I be using the index daily price level or the index daily total return? Most ...
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### HJM framework problem - showing that HJM drift condition implies that $b(z)=b+βz$ and $(ρ)^2=α$

Hi I am looking for some general clarification to Heath–Jarrow–Morton framework. I am analyzing a problem where the forward rate is modeled as $$f(t,T)=e^{\beta(T-t)} Z_t+h(T-t) \tag{1}$$ for some ...
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### Expected Value of Products of Processes

Suppose I have two processes. $A_t = A_0 \exp((a-\frac{1}{2}\sigma_A^2)t+\sigma_A W_t^A$ $B_t = B_0 \exp((b-\frac{1}{2}\sigma_B^2)t+\sigma_B W_t^B$ I would like to calculate $E[A_s B_t]$ where s &...
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### “Expectation” of a FX Forward

I have an FX process $X_t = X_0 \exp((r_d-r_f)t+ \sigma W_t)$. Now clearly $E[X_t] = F_{0,t}^X$. i.e. a forward contract of the process $X$ starting at time 0 and maturing at time $t$. What if I ...
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### How do companies forecast revenue and earning estimates for a quarter or year in advance?

I'm sure there are models and they have low and high estimates. But how to do they decide on the percentage growth? A bit of art + science?
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### Compound interest calculator solving for time with deposits [closed]

I am attempting to solve a compound interest calculation for time given Principal = 100 Time(years) = t Rate(per year) = 8% Deposit(per month) = 5 Total = 300 I ...
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I am thoroughly reading my first academic literature and I have found myself overwhelmed by terms that have been generalised in my studies. The extract is from "The Beauty Contest and Short-Term ...
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### How to compute the foreign exchange volatility within a portfolio

Suppose I have a portfolio of 5 assets. Assets 1 and 2 have foreign exchange exposures and therefore foreign exchange volatility. How can I calculate the marginal contribution to the total portfolio ...
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### Getting quote stream via fix-api 4.3

I'm new to FIX api,so far i did following (on QUICKFIX) logged on to quote-session subscribed to market data sent "single-message" quote-request for an instrument (EUR/USD for example) ...
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### Having Difficulty With Sharpe Ratio and Optimal Portfolio

I have begun by using such equations as: By finding the $Rp$ and $\sigma p$ with the weighted values, and then I followed the equation using a value of $.02$ for the fixed asset, $rf$, but this ...
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### Where can I get json currency data feeds every millisecond?

I have been looking for free or paid json data feeds on currencies for long. I have come across: currencylayer.com Oanda XE The problem is that I really need millisecond based updates. Can ...
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### Rate of Options decay

I know "Time decay accelerates on nearing expiry". But I want to know the rate of acceleration. How curvy is the theta curve? Answers could be like, Provided IV is stable, in a 3-month contract,...
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### what data sources are useful for obtaining financial statement data of listed companies NYSE and NASDAQ?

Exactly, I need balance sheet, income statement, cash flow statement, stock market, bankruptcy situation, fraud situation and corporate governance data of companies in USA. Thanks beforehand,
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### How to calculate the NPV (Net present Value) in this question? [closed]

A company pays £1,200,000 to purchase a property. The company pays £30,000 at the end of each of the next six months to renovate the property. At the end of the eighth month the company sells the ...
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### Put call parity: when are the premiums the same?

Please explain why put call parity could be compared to the payoff of a long forward contract. ie. $C_E-P_E=V_X(0)$ where $C_E,P_E$ are the call/put premiums and $V_X(0)$ is the value of a long ...
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### What exactly do I sell when I sell a futures contract I have previously bought?

Suppose I buy a futures contract and later, before expiry date, I sell it out. Is something physically exchanged between myself and the buyer, e.g. a paper certificate specifying the contract's ...
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### Concept Question Regarding Short Rate Model

I have a conceptual question that needs help. Does anyone know whether the short rate model generate discount rate or forward rate?
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### How to implement momentum strategy using R

I am trying to see if momentum strategy has a profitability in a bond market. I have a bond dataset which is a panel data and it is monthly. It looks something like the table below. For each month ...
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### Forecasting sales from balance sheet data

I have got a database with balance sheet and income statement data of 150.000 firms for the period 1995-2014. I need to get a good forecast of each firm's sales. As exogenous variables I can use the ...
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### Reference request: Quantitative Trading Strategies [closed]

I intend to thoroughly prepare for an internship that I will start in a couple of months, and therefore wanted to clarify what topics I need to study and some recommended references for them. The ...
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### Rblpapi / bdh - how to download prices for all weekdays - regardless if it is a bank holiday

Using bdh(), I am trying to download historic weekday prices regardless if the weekday is a holiday or not. The default does not return weekday bank holidays. The ...
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### Bid and Ask Data for european stocks

I am working on something to analyze European stocks and I need some historical data on bid and ask prices. Ideally I would like something like CRSP database for US stocks. Is there some similar ...