# All Questions

192 views

### How to get permanently growing chart within PCA

I looked onto different questions and answers about application of PCA on this site and found this interesting article : ...
63 views

### Break down XIRR to different segments

Currently, I have the following transactions. ...
395 views

### Excel to Java for Interactive brokers

I have a working excel workbook connected to Interactive brokers DDE API. I am struggling to upgrade to a more robust environment like Java. I tried to change it to ActiveX for Excel but the ...
73 views

### Calculate rate of return of a stock, if there is a buy transaction occurs during the middle of financial year

Currently, I'm implementing a feature of an open source project (https://github.com/yccheok/jstock/issues/7), which requires me to calculate the rate of return of a stock. Let's take the following ...
209 views

### Getting the next price of a GBM (Geometric Brownian Motion)

I am writing a program that creates realizations of a GBM. Starting from an initial price, I get the following price with this formula: ...
213 views

181 views

### Forex trades: what time zone are trade and value dates specified in?

When receiving a value date of D from the counterparty for a trade in NZD/USD, is D assumed to be date D in Auckland date D in New York date D in UTC date D in some arbitrary time zone ? There ...
144 views

### Why does Futures contract credit and debit a position daily, if it has “locked” the price?

I thought I had understood futures contract. But it seems the daily settlements betray my understanding. Futures contract provides price & product safety to involved two parties. E.g. Wheat ...
126 views

### Why is that maximizing stock value, under uncertainty, is a better option than maximizing profits?

I've been trying to access the papers that state that kind of problem, but most of them need payment for access and I am on a student budget. I know that maximizing profits=maximizing stock value in ...
135 views

### Where can I find historical data for volatility estimation?

I'm trying to estimate volatility following Shreve book, so I need observations of $f(t_j,t_j+\tau_k)$ and $f(t_j+\delta,t_j+\tau_k)$, where $t_J<t_{J-1}<\dots<0$ and $\tau_k$ are relative ...
74 views

### Adjusting open, highs and lows for past monthly stock prices?

I'm looking into modelling monthly stock prices and want to start off by using data from Yahoo Finance. I know that the closing prices given there are adjusted for stock splits and dividends, but ...
53 views

### how market makers set the time factor to calculate option greeks on the expiration day?

how market makers set the time factor to calculate option greeks on the expiration day? does they set time equal 1/24or 2/24 when only 1hour or 2hour left? what frequency market makers update new time ...
125 views

### Can one use the Greeks (delta,gamma,theta) to show that the Black-Scholes call formula satisfies the Black-Scholes PDE?

If so, is there a derivation anywhere that shows this? I was told that this could be done in a class but I don't see how it's possible.
197 views

### Close price or adjclose price to calculate volatility?

To calculate volatility, which price in FTSE table is used? When do we use close price for calculating volatility? Do we use adjclose (adjusted close price) for calculating volatility as well? when ...
131 views

### What are the good book to understand economics? [closed]

I am currently studying managerial economics by W. Bruce Allen. The book is good. Are there any good book with quizzes , that makes economics sweeter? Books that relate to real world facts and figure ...
67 views

### PWIQF excercise solution

I am software developer with no previous experience or knowledge in finance and have recently been starting to build my knowledge in this area. I am working through the book: Paul Wilmott Introduces ...
144 views

### Debt vs. Equity?

What determines whether an investment should be made using debt vs. equity? For example, startups are often financed with equity, while mortgages are always financed using debt. What characteristics ...
202 views

### Avoiding negative spread in pairs trading

I'm constructing money-neutral spread by this formula: Spread = log(P1) - log(P2), where P1 and P2 is prices of two instruments But sometimes spread can get into ...
202 views

### hedging with known volatility

Suppose we have a stock $X$ at which trades at 100 dollars. We suppose the stock follows a geometric brownian motion. We know that the interest rate is zero and annual volatility is 10 percent. How ...
202 views

### S&P500 components at specific date [duplicate]

I am trying to reproduce a method presented in a scientific paper. They used the following dataset: daily closing prices of S&P500 stocks (the first 100, alphabetically by ticker, with a full ...
188 views

### How to backtest the VaR model?

I have a sorted historical P&L vector of 250 days and say, I want to calculate the 90% VaR on this distribution. I will look for the 225 element (90% * 250 = 225) and this will be my Value at ...
1k views

### S&P's Sovereign Ratings: Clarification on Definitions and Symbols

Similar to a question I asked earlier on, but I am now looking at S&P's sovereign ratings. Here, as in the case of Moody's, a few things are unclear to me in terms of the definitions used by ...
338 views

### How do I simulate stock prices for a 10 asset portfolio, over a period of 10 years in MATLAB? [closed]

If I have given vectors for return and volatility (i.e. I have two 1x10 vectors), and I assume at first that their correlation is 0 (meaning my covariance-variance matrix is just diagonal), how do I ...
164 views

### Estimate the market maker's price from the posted Bid/Ask and Trade price

If I see a Bid at 181.77 and and Ask at 181.78 for SPY and then immediately see a trade filled at 181.77 on BATS, then what can we conclude about market making activity? i.e At what price did the ...
256 views

### Interpolation on CDS rates

I am just wondering if there is any way we could calculate a CDS Spread (not harzard rate) on a CDS curve. Most of the papers that I have come across so far discuss about interpolating the hazard ...
129 views

### what is considered material information? [closed]

I'm trying to understand what is considered "material" information held by an executive of a company. There is company information that an executive (say insider) will know that a public investor will ...
561 views

### Is there a difference between crossing network and ECN

Is there a difference between a crossing network and an ECN? The wikipedia page for Crossing Network says that ECN is a type of crossing network. But crossing network has the smell of a semi-legal ...
86 views

### How does a cross trade pose a problem to the retail investor

How does a cross trade pose a disadvantage to the retail client. In this explanation It says: ...
168 views

### Expected payoff and weighted average price

Settings Let you're trading a security whose probability to be equal to $S_{T}$ at time $T$ follows a p.d.f. like the ones in the picture below. (That is just an example found with Google images, ...
399 views

### How can I calculate the Cumulant-Generating Function in Matlab?

Let $M(h)$ be the moment-generating function, then the cumulant generating function is given by $$K(h)=\text{ln}M(h)=\\ =\kappa_1h+\frac{1}{2!}h^2\kappa_2+\frac{1}{3!}h^3\kappa_3+\ldots$$ where ...
131 views

### What is the realized volatility's estimation error?

Given an estimation procedure and real data, how would one compute the mean squared error? What value represents the "true" realized volatility in the case of calculating the Mean Squared Error in ...
347 views

### IB with R which package?

I want to implement my models in R and trade according to them with my IB account. Now I am wondering, how I should solve this problem? Do I need to program with C an access ...