# All Questions

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### Is there any theoretical work to find an optimum size for the size of horizon in finite-horizon optimization or control?

we learn a lot about finite and infinite horizon control in dynamic programming. but I was wondering if we want to minimize the cost per time(discrete time) is there any work to find the optimum size ...
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### Return volatility or Price Volatility [duplicate]

Which is a better method to calculate volatility - Price variance or return variace or is it subjective to the use of volatility figure?
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### How to decide if the ARCH coefficient is necessary in the GJR-GARCH model?

I did some analysis for CAC 40, the French market benchmark, for the period 2005-2014, and I tried to fit the data with a GJR(1,1) model in MATLAB. Then some warning showed Lower bound ...
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### Analyst vs firm claims on beta and return

The excercise and it's solution: Sunshine Mutual Fund is boasting that its expected return is much higher than the market portfolio. While the expected return of Sunshine’s portfolio is 14%, the ...
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### bandwith portfolio rebalancing in python

I want to calculate a bandwith rebalancing machanism for a portfolio of two assets. As soon as the performance of one ov the assets gets bigger or smaller than the other one + a defined tolerance ...
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### Diebold-Mariano test

I am trying to use the Diebold-Mariano test but it doesnt work for some reason. Here is my code: dm.test(maegarch14,maeegarch14,h=126) where ...
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### Calculate the realised volatility from a time series

Does anybody know how to calculate the realised volatility from a series for a certain time frame? For example, I am looking at 5 days, 21 days, 63 days, 126 days and 253 days. thanks
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### Do I need simulink to model the risks of an option portfolio

I wish to buy Matlab Home and learn to model the risks of a derivatives portfolio and then stress test it. So I am guessing I will need : Stochastic calculus Linear algebra Stats/Probability Some ML ...
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### Online database of ETF & Mutual Fund Fees?

Is there any online data source of ETF and/or mutual fund fees? Free or paid is fine, although hopefully there's something out there cheaper than Bloomberg
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### SEC 10-Q/K Filings

I am working on some research that requires parsing of SEC 10 K/Q filings. We have built a parser that will parse the raw txt SEC filing that usually contains many blocks of unencoded files (html, ...
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### Realized Volatility: errors correlation

When using Realized Volatility (sum of squared intraday returns) to estimate volatility, following the model: $$r_t = \sigma_t \epsilon_t$$ where $\sigma^2_t$ is the volatility at time $t$ and ...
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### Underlying mechanics of paired class shares ETFs

I came across an interesting pair of VIX ETPs, VXUP and VXDN. This new product referred to as "paired class shares" ETFs are quite different from traditional ETPs. Some interesting highlights from the ...
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I'm reading Uwe Wystup's "FX Options and Structured Products" to understand Vanna-Volga pricing, which, in his book Chapter $\S3.1$ is called "The Trader's Rule of Thumb". I generally got the idea ...
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### How to calculate beta against a multi-asset benchmark

Lets say that I have a benchmark, $BM$ that consists of 3 assets- 30% asset $A$, 30% asset $B$ and 40% asset $C$. Now, lets further assume I am trying to construct a portfolio that uses $BM$ as its ...
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### Leveraged ETFs Holding Period; Compare LETF with DITM

Why the "standard recommendation" is that LETFs are only for short periods (< 1 day) while their performance charts indicate that the leveraging is retained once the period EXCEEDs several days? ...
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### How does a stop loss affect the P/L of a trader

In his book 'Dynamic Hedging', Nassim Taleb writes: Problem: A trader is given a stop loss of 100,000 in any given month (he would have to close his books and go home until the end of the month). ...
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### johansen cointegration test eviews interpreation

I am not sure whether i am interpreting the cointegration test correct. This is the test result : Because of the probability of the test i understand that my series are cointegrated of order 2. ...
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### How do you calculate the asset drift rate in the Merton model? (used in N(-d2))

Can I replace it with the internal rentability rate? I only have the financial statements and some market data, but I can't find the expected returns anywhere. The goal is to calculate the probability ...
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### Compare performance buy-and-hold strategies after stock-split

QUESTION: How should I analyze the statistical significance of the difference between two buy-and-hold strategies (or the relative performance) when the samples are not independent? Background: I ...
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### How to create a basket of currency pairs with the lowest correlation in R?

My strategy is designed to buy and sell all assets of a universe and rebalance periodically. It goes either long or short. To limit risk exposure to a single currency I would like the assets in the ...
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### Can Yahoo Finance API work for non-US markets?

I am trying to fetch ticker prices and historical prices for major Asian exchanges (HKSE, SGX etc). I am trying to use yahoo finance API, but it is not returning any data for even SingTel, which is a ...
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### High frequency price forecast model ARMA GARCH or another?

Can you reccomend model for high frequency data (1 second and less) (returns and volatility forecasting)? Most papers use ARMA, GARCH etc in 1 minute and lower time frame. PROBLEM ARMA does not know ...
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### After finding the pair, what next?

Had a question on how do I go about doing pairs trading. I have found some cointegrated stocks. Now the question is what next. From what I understand if two pairs are cointegrated, the distance ...
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### Use of implied vol averages for expected underlying returns

When computing a single implied volatility value for a particular asset for use in cross sectional regression models, using daily end of day data. There are a few methodologies I've seen to used do ...
33 views

### Test for NonLinearity

I am doing a regression, returns of stocks(cross section of stock returns at a given time) against some fundamental factors. And look at the residuals to get a normalized view when trying to rank the ...
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### Choosing an optimal dependent variable, regression/model fitting

When I select a certain target variable and model that with either linear regression or some other technique, say naive bayes, I hope to finally arrive at a model which has statistical significance, ...
167 views

### How can I convert Yahoo Ticker Symbols into ISIN Codes?

I have a list of all Yahoo Ticker Symbols and I want to convert them into ISIN Codes. I have been researching and found out that finance.yahoo in the US does not ...
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### Multinomial Representation Theorem

In the context of pricing models, the Binomial Representation Theorem (BRT) tells us if we have a binomial price process $S$ that is a $\mathbb{Q}$-martingale (MG), and any other $\mathbb{Q}$-MG $M$, ...
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### Volume or Volatility?

I've recently been given a project which came with some documentation. In this documentation is a bullet point that reads: Liquidity Risk in Equity, Credit and Vol I'm unsure as to whether vol is ...
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### Regressing NYSE returns: Lagged intercept term & efficient market hypothesis

By performing the following OLS time series regression, $y_t$ = $\beta_0$ + $\beta_1$*$y_{t-1}$ + $\beta_0$*$y_{t-1}^2$ + $\epsilon$ I cannot reject the null hypothesis that b1=b2=0. However, ...
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### Cointegration and variance of time series

Given that $X_t , Y_t$ are two cointegrated random processes, what can we say about the relationship between variance of the two increments $var(X_{t+h}-X_t)$ , $var(Y_{t+h}-Y_t)$ for a given ...
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### Term Structure and short rates

If I have a term structure/yield curve given by: $$f(t, T) = f(0, T) + σ^2t(T − \frac{t}{2}) + σB_t$$ and want to find the short/spot rate $r_t$, is this simply: f(t,t) = f(0,t) + ...
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### Market risk calculation for Fixed income position

I have come across a somewhat strange formula (atleast to me) for Value at Risk calculation for a Bond position. This typical formula looks like below: PnL = Beta * "Some industry Credit spread" * ...
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### Where do I find a good data model for CDS

Tasked with implementing software that deals with CDS's what is the best place to get the data fields required to properly represent one. Found the definition in FBML but seems somewhat excessive: ...
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### comparison of speech signal processing and financial data

I have read that in speech signal processing analysis when voice is segmented in brief temporary segments the series segments transitions from being non stationary to stationary. My question is if ...
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### Binomial function use in Bezier smoothing

I am using the Bezier method to smooth option volatility curves, which utilised the binomial distribution. Is someone able to clearly explain the interpretation of the binomial distribution in the ...
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### Hypothetical actuary working with a life company

If you are an actuary with a life company, how would you show that your capital assessment complies with the rules of Solvency II (or related regulations) that stipulate the minimum of capital that ...
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### Binomial tree vs trinomial tree in pricing options

Very new to pricing models. Is there a general guideline when to use binomial tree and when trinomial tree is preferred? As far as I know, unlike binomial tree, trinomial tree only gives a range ...
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### use of recurrence quantification analysis for deterministic signal identification and classification

The recurrence quantification analysis (RQA) is a method of nonlinear data analysis which quantifies the number and duration of recurrences of a dynamical system presented by its state space ...