-1
votes
2answers
196 views

What's the first time-integral of price called?

In general I'm wondering about the names of time-derivatives of price. E.g. in physics the first few time-derivatives of position are: f(x) = displacement f'(x) = velocity f''(x) = acceleration ...
-1
votes
1answer
108 views

Regression extensions

I'm trying to find extensions for my regression and obviously would like to use PE, BV and CFO. But I've got monthly data, while all company's fundamentals are semi-annually... Can I deal with it ...
-1
votes
0answers
34 views

Is the Altman Z-Score broken?

When I try to predict future returns with with the Altman Z score, it fails. That would likely not be the case if it predicted bankruptcy well (e.g. the Piotroski F score). It seems to predict ...
-1
votes
2answers
54 views

Why aren't there any single owner companies over a billion dollars? [closed]

The biggest companies have multiple owners which dilute the authority and finances of the company. They are either publicly traded companies via selling shares through stock markets, or privatly owned ...
-1
votes
0answers
23 views

building a portfolio without knowing the initial capital

Lets say I have the trades made by trader X on multiple stocks and I want to aggregate them into a portfolio to compute the portfolio return over time. For instance, I know that X bought 10 shares of ...
-1
votes
0answers
34 views

API for paper trading service

I have recently created an HFT algorithm and before attaching it to a real trading service I would like to test with paper money. The API for the paper trading would need to be compatible with C++ and ...
-1
votes
0answers
14 views

Calculate herfindahl of pcs

I would like to calculate the herfindahl of principal components of a cap weighted portfolio. Not sure how to do that if anyone could provide some guidance that would be great. Thanks for your help
-1
votes
0answers
28 views

RESTful trading API

Looking for providers or software layers of a RESTful trading api. I would like to read option chain data (amongst other things), do some calculations server side, and send orders back to the broker ...
-1
votes
0answers
24 views

How should I achieve cross-hedging?

I am Airliner.I want to protect my business from price volatility of jet fuel cost.Jet fuel is not traded in futures market but Crude oil is traded in futures market. I have daily spot prices of jet ...
-1
votes
1answer
112 views

In a FX options book, is the sum of P&L equal to the portfolio value?

For a portfolio containing FX options, would the sum of P&L for each option be the portfolio value?
-1
votes
1answer
67 views

Replicate by Arbitrage price of a forward

Given market(Mid): 1- USD Swap market (fixed for float). Float leg pays 3MLibor quarterly, act360. Fixed Leg pays annually, act360. Market is trading mid at 1.125%. 2- TIIE market. Fixed for ...
-1
votes
1answer
75 views

conservative approach payoff table

With the conservative approach, we choose the decision which maximises minimum payoff. I was wondering which decision is chosen if 2 decisions have equal minimum payoff (which is the maximum)? ...
-1
votes
1answer
79 views

Math basics of Equally-weighted Risk contributions

i'm writing my BA Thesis about "Equally-weighted Risk contributions". Can anyone recommend math books for further understanding of Risk contributions?
-1
votes
1answer
74 views

how to calculate avarage variance and avarage covariance

I would like to figure out how to calculate av.variance and av.cov. I know how to calculate portfolio variance( for large ...
-1
votes
1answer
114 views

Were can I find Historical Interest Rate Data?

Where can I find American historical Savings Account interest (Bank) rates? If you can, please attach corresponding links.
-1
votes
2answers
1k views

Bloomberg interest rate interpolation

I have question about the linear interpolation of interest rates. I am unable to reconcile the Bloomberg methodology for calculating risk-free rate between maturities. In theory it is a straight-line ...
-1
votes
1answer
191 views

interpreting huge jumps

i have been working on this trading system that uses digital filters to generate signals. the system works fine during normal market hours. but it goes haywire when there is news release. i have ...
-1
votes
1answer
100 views

Rate of Return Required on Buying Stocks with Loan

A bank gives a loan $L$ for $m$ months and the monthly interest rate is $i$. The bank requires monthly installments - which I calculate is $I = \frac{L}{m} + Li$. I use this loan to buy ...
-1
votes
1answer
180 views

Can Beneish's model for detecting earnings manipulation be applied to companies in the UK?

As I understand it this model derived from data for US companies. Is it valid to apply the model as is to UK companies or does it require any modifications? Description of the model: ...
-1
votes
1answer
515 views

Calculating arbitrage- S&P 500 stocks vs S&P 500 Index future?

How exactly would I go about investigating whether the S&P 500 stocks were currently over-valued compared with the price of the S&P 500 Index futures contract? Is it just a case of taking each ...
-1
votes
1answer
1k views

Can end-to-day trading be profitable? If not, why? [closed]

Many academics argue that end-to-day trading, where you go long or short before opening and sell your security at the end of the day, is not profitable. Various explanations are given for this ...
-1
votes
1answer
43 views

Implicit relation between risk and reward

I want to differentiate w.r.t. $\sigma^2$ the following equation $u'(Y)\mu$ + $\frac{u''(Y)}{2}$$(\sigma^2 + \mu^2) = 0$ where we can consider $\mu$(reward) as an implicit function of $\sigma^2$(risk) ...
-2
votes
2answers
493 views

How to get/estimate ask/bid price for backtesting for OHLC data? [closed]

As you know, most of the EOD data available have only OHLC price. I used to do back-testing using the Close price as both bid and ask. however, in real world, the bid and ask spread is huge and the ...
-2
votes
2answers
291 views

BS and delta hedging questions

I have two related questions concerning Black Scholes and delta hedging. I thought about this two questions, but I could not come up with an answer, so maybe you guys & girls can help me: If an ...
-2
votes
1answer
547 views

Tutorial for working with tick data? [closed]

Can you recommend a good tutorial for working with tick data for the purpose of algorithmic trading? Is the data normally stored in a database and only bits are read into memory at a time? Is there ...
-2
votes
1answer
311 views

How could HFT help increase liquidity? [duplicate]

I have ready in several websites that HFT can help increase market liquidity, although this is contested in some articles. I am not familiar with the concept of market liquidity. What is the basis of ...
-2
votes
1answer
149 views

Managing Bloomberg logins in a campus library [closed]

In a campus library or other public place, typically many people share the same PC with the Bloomberg terminal software. Is there a way to prevent users from creating new logins? Is there a way to ...
-2
votes
1answer
148 views

Different stocks with the same stock code [closed]

Is it possible to have different stocks with the same stock code on different stock exchanges.
-2
votes
1answer
623 views

Is it possible to “steal” financial data on publicly traded companies off the internet? Legally, I mean, what is the truth about “data” as a property

What constitutes "stealing" when it comes to publicly posted financial data? I think there are three instances of this that we can individually vet: a.) you physically broke into a location or ...
-2
votes
2answers
55 views

Martiglale and Brownian Motion [closed]

Stock market has been model as a random walk with a drift. Since it has a drift(bigger than zero) it is not a "Brownian Motion" but it still a Martingale? Is Stock market a Brownian Motion? Is it a ...
-2
votes
1answer
55 views

Two assets with the same mean and standard deviation - Would there be any benefit? [closed]

If I have two assets in a portfolio with the same standard deviation and mean and the correlation between the assets is 0, theoretically could there be a situation where it would be beneficial to ...
-2
votes
1answer
49 views

What does “percent of change” mean? [closed]

Whenever a price is changed, you can find the percent of increase or the percent of decrease by using the following formula: $$\frac{\text{percent of change}}{100}=\frac{\text{change in ...
-2
votes
1answer
337 views

Order book depth views preferences: order-by-order vs. total aggregated volume by price levels

Which is best? Or is it irrelevant? Hi! Considering Level 2 Data (Market Depth), I want to understand the advantages to have all the order book on an order-by-order basis (or tick-by-tick basis) ...
-2
votes
1answer
343 views

How to look for fractals/harmonics patterns in time series?

I want to build trading systems based on two things: 1)Fractal Theory 2)Harmonics Pattern I have read the book : The Misbehavior of Markets: A Fractal View of Financial Turbulence By Mandelbrot ...
-2
votes
1answer
106 views

Proxy for a trigonometric angle function [closed]

You can't calculate an actual/real angle with the sine function with discrete market data. I need a substitute value for inputs that require an angle value. If you're only calculating the angle ...
-2
votes
1answer
29 views

Finding historical data monthly data [duplicate]

Where can I find historical data for WTI Price, gold price, CRB index for my research work? Is there any website from where I can download these data?
-2
votes
1answer
85 views

Modified or Macauley Duration in python

are there any existing python modules that can calculate Modified and/or Macauley Duration of a bond.
-2
votes
1answer
321 views

Interest Rate Swaps on Mortgages [closed]

Is it possible to get interest rate swaps on mortgages? If not, why not? Are there models that describe this? Any direction would be great.
-2
votes
1answer
173 views

DCF Zero Coupon Bond

Using a 30/360 day count what is the exact formula to discount this single zero coupon bond? ...
-2
votes
1answer
380 views

How to test the efficiency of Exponential Moving Averages as a trading startegy? [closed]

I would like to know how I can test the efficiency of Exponential Moving Averages when it comes to forex trading. Can i have any papers that point to the efficiency of this strategy? Thank you. :)
-2
votes
1answer
315 views

How to get a Quant Job [closed]

At the end of the academic year I will graduate with a Computer Science degree (hopefully) and I would like to peruse a career in quantitative finance. What is the dest way of doing this? Is it worth ...
-2
votes
2answers
215 views

How do I calculate expectancy from a past series of trades in my trading account? [closed]

Expectancy is defined as "How much money gained for every $1 risked". What is the expectancy for this particular series of trades? Risked €1, won €2 Risked €2, won €1 Risked €3, won €6 Risked €3, ...
-2
votes
0answers
20 views

Credit Risk question

Consider two 7% (annual) coupon corporate bonds, each with one year to maturity. Both are expected to default with 20% probability. Investors demand an expected return of 4.5% on both bonds. The only ...
-2
votes
0answers
36 views

How much does Axioma risk model cost?

does anyone know the pricing scheme of Axioma's risk models? I heard that they are much cheaper than Barra, which can easily go above $100k per year per country/region. PM is welcomed. thanks
-2
votes
0answers
48 views

Need help in interpreting the Johansen co integration test

I got the following result for 10 markets Johansen cointegration in R as follows in the trace statistic, up to r<=9 is significant at 5% level. So what should be the cointegration interpretation? ...
-2
votes
1answer
41 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 ...
-2
votes
1answer
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 ...
-2
votes
2answers
48 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 ...
-2
votes
1answer
31 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 ...
-2
votes
0answers
40 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 ...

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