1
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1answer
34 views

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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1answer
24 views

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 ...
1
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1answer
28 views

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 ...
1
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1answer
38 views

What is Estimation Risk - VAR Backtest

Simple Question. Can someone explain please: What is Estimation Risk in Value at Risk Backtesting
1
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1answer
44 views

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: ...
1
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2answers
69 views

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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1answer
68 views

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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1answer
58 views

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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1answer
60 views

“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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1answer
64 views

Vasicek model problem

I am analyzing a problem where the below is given Vasicek model with risk-neutral dynamics $$dr_t = \kappa (\theta - r_t)dt + \sqrt{r_t} dW_t \quad \quad (1) $$ bond prices $$P(t,T)=e^{A(t,T)-B(t,T)...
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1answer
37 views

Why NYSE is not included in TAQ data for NASDAQ listed companies?

I am using TAQ data to see from which exchanges bids (or asks) are coming. I have got this for AAPL (Apple company, listed in NASDAQ) for a sample day: ...
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1answer
30 views

Is this representation of the put-call parity correct? (Implied dividend estimation)

I am looking at implied dividend yields to be obtained from the put-call parity and have come across the following answer: Implied dividend estimation It states that $$ PV(div) = P - C + (S - K) + K(...
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2answers
36 views

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?
1
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1answer
25 views

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 ...
1
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1answer
68 views

Liquidity Traders

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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3answers
40 views

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 ...
1
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1answer
66 views

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) ...
1
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1answer
42 views

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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3answers
47 views

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 ...
1
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1answer
38 views

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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2answers
74 views

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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1answer
83 views

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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1answer
44 views

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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1answer
40 views

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 ...
1
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1answer
33 views

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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1answer
153 views

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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1answer
89 views

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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1answer
85 views

A simple question on Delta hedging

In the Black and Scholes model, when it is needed to immunize the portfolio from variations in the stock the argument given is the following. If $\alpha_t$ is the amount of invested in the stock, $\...
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1answer
99 views

Second Moment of Stock Process

I have a stock process which I have decided to model as $$S_T=S_t\exp((r-q-\frac{1}{2}\sigma^2)(T-t)+\sigma(W_T-Wt))-D_T$$ where $D_T$ is a cash dividend at time $T$. This dividend is known. I then ...
1
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1answer
73 views

Order flow intensity

I am interested in how to calculate order flow intensity. I got access to high frequency data and can simulate a limit order book. What is the best approach if I want to calculate order flow intensity?...
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2answers
90 views

Modelling callable bonds in a risk model (historical simulation)

What is a best-practice example on how to model callable bonds in a risk model - I focus on historical simulation (HS). For plain-vanilla bonds the input factors for historical simulation could be ...
1
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2answers
66 views

Black-Scholes and Markovian contingent claim

Background information: Proposition 4.1 - For a European Markovian contingent claim, the Black-Scholes price satisfies $$\Theta(\tau,S) = -\frac{\sigma^2 S^2}{2}\Gamma(\tau,S) - rS\Delta(\tau,S) + rV(...
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1answer
69 views

How do I find the standard deviation of a portfolio? [closed]

Compute the expected return $\mu_V$ and standard deviation $\sigma_V$ of a portfolio consisting of three securities with weights $\omega_1=40\%$, $\omega_2=-20\%$, $\omega_3=80\%$, given that the ...
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1answer
39 views

construct portfolio offering risk free profit

Have trouble understanding this question, seems quite open ended. Assume that $S(0)$ is the current rate of exchange for foreign currency. Assume that and $K_n$ and $K_f$ are rates of return on home ...
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1answer
77 views

Clarification of The Market Portfolio

I am currently reading John C. Hulls' "Risk Management and Financial Institutions" and came across the following passage related to the efficient frontier and combinations of risky and risk-free ...
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1answer
54 views

What is the formula for variance in estimating exchange rate?

I was watching this Youtube Video. He used a exchange rates of Euro to Dollar for a few days and apply GARCH(1,1) to get the predicted price. However, I didnt understand variance that he calculates ...
1
vote
3answers
155 views

Appropriate measure of risk if return are not normally distributed

Normally standard deviation of an assets is used as an proxy for the risk in the financial market. In reality distribution of return is more peaked at the center and higher mass in the tail as ...
1
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1answer
153 views

How necessary is real analysis and complex analysis for trading at hedge fund levels?

As the title states, I am basically wanting to know the applications of real/complex analysis in finance. How important are such high levels of math ? I can obviously see how things such as ...
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2answers
224 views

Who Uses American Options?

...in other words, why would a person want to have the right to exercise an option early? What advantage does that really give you? Are Euro-style options not good enough for some people? Who are ...
1
vote
1answer
47 views

How to measure if investors are diversified in a stock market?

My question is related to this question but it is not the same. Consider the US stock market. How can I tell if people trading in this market hold properly diversified portfolios? Is there some ...
1
vote
1answer
147 views

Deriving a 3M libor curve from 6M libor swaps and 3M-6M libor basis swaps

If I had a set of 6M Libor instruments and another set of 3M-6M basis swap instruments, how would I derive the 3M Libor curve? Just bootstrap the 6M curve and the basis curve and add up the zero ...
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vote
1answer
51 views

About the Feller Condition in Heston Calibration

I have noticed when reading (many) articles about Heston Calibration that not all (few actually) do care about the Feller condition. Below is a compilation of calibration results from some different ...
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1answer
62 views

Delta of a Commodity Future

Generally the price of a future is $ F(t,T) = S(t)e^{r(T-t)}, $ and it's delta is: $ \frac{\partial F}{\partial S} = e^{r(T-t)}. $ (As opposed to the delta of a forward which is always one.) In ...
1
vote
1answer
22 views

Calculating the price of a call and put using multinomial trees and risk-neutral probabilities

I am self-studying for an actuarial exam and I encountered this example. The books shows one method of solving using a replicating portfolio, and then shows this solution involving risk-neutral ...
1
vote
2answers
105 views

Question about the martingale property of stochastic integral

Let $W_{t}$ be a Wiener process, and let $$X_{t} = \int^{t}_{0}W_{\tau}d\tau$$ Is $X_{t}$ a martingale? We can rewrite in differential form as $$dX_{t} = W_{t}dt$$ ,which means $X_{t}$ is a diffusion ...
1
vote
1answer
100 views

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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vote
1answer
183 views

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 ...
1
vote
1answer
46 views

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 ...
1
vote
1answer
87 views

Fx Firm market making

I've been doing market making on forex using the last look feature so far. Now we are moving to do on firm making, but I'm kind of lost. To do firm making we need to post resting orders (currenex ...
1
vote
1answer
132 views

Option Chain Implied Volatility Calculation

I have the following EOD options data for the SPY containing IV data for each strike. ...

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