# All Questions

234 views

### Is creating constrained random portfolios a hard problem?

Creating random portfolios with weights $x_i$ can be thought of as sampling from the surface of a simplex given by $$Ex = f$$ and $$Ax \le b$$ Where $E$ and $A$ are constraint matrices for equality ...
139 views

### When did volatilities start to smile in capital markets?

Glimpsing through literature, I read that volatilities in the equity market started to display a smile after the crash in 1987. But when did volatilities start to smile in capital markets?
319 views

### Are there any other standard rates term structure decomposition than PCA?

PCA is sometimes used to estimate components in the rates term structure. Are there any other standard method discussed in the literature or used in practice, what are their advantages and ...
372 views

### Applicability of PCA to get historical volatilities to calibrate interest rates trees

My question in short is as follows: can I take main principal component of historical covariance matrix and use it as historical volatilities when fitting a binomial tree? Here's more detailed ...
361 views

### Market making in thinly traded assets

Could anyone suggest some literature or have any practical advice for marking a market in thinly traded assets with the following characteristics: 0-10 trades per day. Open limit-order book with 0-5 ...
1k views

### Why use a column database for tick/bar data?

I often hear that column-oriented databases are the best choice method for storing time series data in finance applications. Especially by people selling expensive column-oriented databases. Yet, at ...
488 views

### Back office processing for FX trades

Can someone provide (or point me to) a summary of back office processing nuances specific to FX trading? For example, I know that there are several FX-specific risks that must be managed. They include ...
86 views

### Cross validation of a garch model

Suppose I divide a time series into 10 sequential time windows, where each window contains 1000 data points. I want to do test 5 different garch models using cross validation. So for each model, I ...
639 views

### Commerical delayed stock quote feed that is redistributable?

I'm looking for a commercial delayed quote feed that will allow us to distribute delayed US stock market quotes to the public (ie. that will allow us to display US delayed quotes on the Internet). We ...
78 views

### Calibrating Hull-White using volatility data

I would like to calibrate Hull-White model using volatility data.I am using [Park (2004)] paper as a reference. He suggests to minimize the following objective function: where the first term is ...
109 views

### Pricing options under restricted domain

How would I price an option when the underlying security is unable to trade above a certain price? I assumed this would be as simple as restricting the limits of integration of the PDF to B (the ...
105 views

### selecting test data for neural networks

I have been working on a neural network based on certain technical indicators. As people familiar with neural networks would know after developing a hypothesis, the developer is also supposed to ...
305 views

### Open source equity/bond index data

I have been using the tseries package of R (get.hist.quote) to get historical quotes for various indices from yahoo finance. I am interested in DAX, VDAX, EB.REXX ...
155 views

### How is the default probability implied from market implied CDS spreads for CVA/DVA calculation?

From point 38 on P.17 the default probability can be implied from market implied CDS spreads. "Macro Surface" method is mentioned, but I cannot get any clue of what it is? Where do I get the acedemic ...
153 views

### Smoothing Term Curve

Assume that we have current month term curve and the curves from the two previous months. The current curve may be shifted from the average of the previous two curve by some value (a parallel shift). ...
56 views

### Volatility calculation for intra-day cash-or-nothing call binary option

Firstly, I do not have a quant finance background. This is new to me, and I imagine that this is a basic question for this group. I am calculating the price of a binary/digital option with ...
69 views

### List of 2008 NACE Rev 2 codes

Am looking for a simple list of the NACE 2008 rev 2 codes (The European classifications for economic sectors). The official publication is here, but is there an easily accessible list of the actual ...
97 views

### Closed form european option prices for a variance gamma process with a randomly distributed drift, volatility, and variance rate

Does an option pricing model with a closed form European option price exist that takes into account randomly distributed drift, volatility, and variance rate? I prefer a modification to the variance ...
190 views

### Robust Returns-Based Style Analysis

Sharpe's Return-Based Style Analysis is an interesting theory but flawed in practice when working with long-short funds or funds that are changing strategies over shorter periods of time due to the ...
446 views

### Ordering of CME Level 2 FIX Market data?

The following link contains a file containing CME Level 2 FIX Market/Orderbook data for Corn futures: ftp://ftp.cmegroup.com/datamine_sample_data/md/mdff_cbt_20130714-20130715_7813_0.zip However, ...
63 views

### right benchmark for an incompletely diversified international portfolio (for a CAPM): MSCI World or MSCI ACWI IMI?

I want to calculate annual excess returns on portfolios using monthly returns for a CAPM (for the assets in the portfolio as well as for the benchmark), in order to have more information on the ...
148 views

### Are Papers and Funds reporting Monthly drawdowns using daily granularity?

I'm curious as to how many academic studies and industry white papers are actually using daily data to report intramonth drawdowns; specifically, when the papers are often reporting monthly signals, ...
27 views

### Econometrics - Testing

If we have a time series of returns and two time series of indicators, how would we test the use of these indicators if they are autocorrelated or nonstationary (VAR Models dont produce significant ...
23 views

### Who is the issuer and the counter part of this instrument?

I have the following SWAP contract : T1UH4 which is a 2-Year Deliverable Interest Rate Swap. Product info : ...
53 views

### Why are short expiries associated with more pronounced volatility skews?

I've noticed that for a given strike price, the shorter expiration dates of options have more pronounced volatilities why is that?
170 views

### fair price for a call option

I am struggling with the following: an investor is considering a call option on the shares of XYZ. the strike price is 510p and the option can only be exercised in exactly 2 months time. at the ...
223 views

### Simple EOD computations for tick data

As part of End-Of-Day calculations once a particular market/exchange has closed for all the tickers traded on that market one may typically compute the following properties: OHLC Bid/Ask Price ...
65 views

### Can the equity premium puzzle be explained by volatility-induced financial growth?

Citing the paper Volatility-induced ﬁnancial growth (2007) by Dempster et al.: when asset returns are stationary ergodic, their volatility, together with any ﬁxed-mix trading strategy, generates a ...
184 views

### Where do “Forex economic calendars” get their data?

Where do all these "Forex economic calendars" get their data from? http://www.fxstreet.com/fundamental/economic-calendar/ http://www.forexfactory.com/calendar.php http://www.dailyfx.com/calendar ...
54 views

### % Return on backtest with variable positions and notional amounts

I have a 14 year backtest for a systematic strategy that uses a static notional per each position. On any given day I could have multiple positions long and short and notional long and short. How do ...
73 views

### Continuous futures time series

Hi I did go through the previous posts on this topic but still confused. I am basically researching on some ideas and need continuous time futures data. At any point in time I basically have three ...
102 views

### Exact value of mean reversion rate knowing terminal value of the process

Let you have the following mean reverting process: $\text{d}x_{t}=a(\theta-x_{t})\text{d}t$, where the diffusion term is absent, that is this process is not stochastic. Let you know the value of ...
199 views

### Volatility of a rolling window strategy

What methods can be applied to determine the volatility of strategy using a rolling window? Using normal standard deviation would bias the results as the returns will be highly correlated. Although, ...
66 views

### Mean-variance minimizser

I am working on a project that involves pricing european call options in incomplete markets. Now I need to find a unique measure $Q^*$ such that Q^* = \min_{M_e} E_Q [V(T)-F(w)]^2 = \min_{u} E_Q ...
63 views

### How to Maximise Efficiency With hp12c gold calculator

I would like to calculate the net present value of a loan schedule or an equation of value. e.g. "For an investor receives R1 000 after 2 years, R2 000 after 5 years and R4000 after 7 years, how much ...
54 views

### earnings reports and option pricing

Let's assume that company XYZ reports earnings in a 0% interest rate environment and the option expires shortly after earnings. And there is a 50% chance the earnings are good (an upmove) and 50% bad ...
265 views

I have constructed a mean reverting spread using two indexes. I know they have to be mean reverting, but when plotted side by side they are mean reverting for a little bit and then deviate and head ...
150 views

### Correlation Sensitivity

Suppose I have 2 stocks $S_{1}$ and $S_{2}$: \begin{align} & dS_{1}=rS_{1}dt+\sigma_{1}S_{1}dB_{1}\\ & dS_{2}=rS_{2}dt+\sigma_{2}S_{2}dB_{2}\\ & dB_{1}dB_{2}=\rho dt \end{align} Then I ...
152 views

### How to calculate cf and interest accruals of the swap?

How to calculate to calculate daily interest accruals and cashflows for the full term of the swap, given notional, effective date, maturity date: (total one year), accrual: ACT/360 payment: ...
91 views

### forward- and backward adjusting stockprices

Do you guys know if a paper has been published that discusses forward- and backward adjusted stockprices, and the look ahead bias coming from backward adjusted data?
99 views

### Textbook / Reports on Alphanomics

Look at ACCT 340 @ http://www.gsb.stanford.edu/research/courses/acctg.html I've read some of the research papers written by the Professor, and the material is very interesting. However, I'm looking ...
56 views

### Should portfolio be optimized by marking to the future than marking to market (excluding currencies)?

Observing the negative interest bonds in Switzerland, Denmark, GErmany the value of higher presently (credit-free) outgoing cash flows seems less important than the value of lower future (credit-free) ...
137 views

### Looking for FpML best practices

We want start using FpML within our organisation; where message will be sent using FpML. What are best practices to do this ? If anyone who have used Tools as well as; i want to use FpML for ...
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### How to automate tracking of changes in stock symbols?

A way is to write some code, crawl Yahoo Finance, store the stock names and symbols in a database. Crawl periodically, and if there exists a new symbol, check if there exists the same stock name in ...