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0answers
8 views

NZX market depth data

Can someone point into the right direction for NZX market depth data specifically for individuals? I have tried many vendors but seem to be coming up with "institution-only" responses.
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0answers
18 views

coefficient of determination of an autocorrelation

Ok this is a very quick question, the Coefficient of Determination (power(R;2)) of a simple Pearson Correlation value (r) can be interpreted as the percentage of the total variation in Y that can be ...
0
votes
0answers
17 views

Overstating Interest Rates?

I'm fact checking my analysis, so there's only one possible answer in that I'm either right or way out in left field (wrong). A friend of mine mentioned this bitcoin lending site and I looked at it ...
0
votes
0answers
24 views

Poor investment preformance in early years impacting on final fund value

I am currently doing some work on the performance of funds across different models of the economy. I am trying to find some work that looks at the impact of poor/lower returns at the early years of ...
0
votes
0answers
36 views

Is there a limit to the number of Spot rates than can be calculated from Par Yields

I am just trying to calculate Spot Rates from Par yields. I find that the code below gives very similar spot rates for the data here, yet if I increase the size of the ...
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votes
0answers
14 views

how to get free data tin future (3M, 15M) and stock tin monthly since 1990-2015? [duplicate]

please help me. I need information how to get free data tin future (3M, 15M) and stock tin monthly since 1990-2015. thank you for your help best regards Adis Imam M
0
votes
1answer
35 views

Interpreting and scaling of Realized Variance with sample data

I have some question about realized variance(RV) and I have some sample prices below to work with. You can run the R code below to build a vector of log returns. Three are 78 5-minute buckets in a ...
0
votes
1answer
75 views

Issue with OLS Regression for Nelson Siegel Svensson parameters

I have been working on getting input parameters to the Non-Linear Optimization which gives the Nelson Siegel Svensson model parameters and am carrying out the OLS regression as described in this ...
0
votes
0answers
28 views

Is there a considered floor for variation the 1st principal component must explain?

I am wondering if there is a considered floor to the percentage variation the 1st principal component must explain in general for PCA - ie. any lower and it is not worth doing PCA at all? Is the floor ...
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0answers
23 views

Influencing factors on credit

There was the following question on an exam: Which factors are influencing the effective interest rate of a credit? loan amount fees interest rate running time I would have said ...
0
votes
0answers
53 views

Ledoit-Wolf portfolio weights calculation

I am trying to implement the Ledoit-Wolf minimum variance portfolio strategy on a real-world stock dataset. ...
0
votes
1answer
72 views

Derivation using Ito's Lemma of price process

define q(t) as the log price minus a linear trend $$ q(t) = logP(t) - \mu t $$ assume teh log price process = Equation 1: $$ dq(t) = - \Theta q(t) dt + \sigma dW(t) $$ Can you show that the ...
0
votes
0answers
41 views

Estimate volatility in forecast

I have a model with a rolling forecast. In each time step $t$, I predict the price for the next periods, e.g. $\hat{p}(t, t+1)$ and $\hat{p}(t, t+2)$. If I start in $t=0$ and arrive at $t=2$, I ...
0
votes
1answer
52 views

Delta hedging cost of exotic options?

I'm simulating dynamic delta hedging for up-and-out call option. For plain vanilla call options, I heard that the option price is the expected value of the accumulated delta hedging cost. Does it also ...
0
votes
0answers
22 views

calibration of Gaussian two factor short rate model

I am trying to calibrate the gaussian two factor short rate model whose dynamics is given by r(t)=x(t)+y(t)+phi(t) Now to calibrate the model to term structure ...
0
votes
0answers
24 views

Merton Jump Diffusion Model: Influence of lambda

I use Monte Carlo to simulate sample paths of Merton's jump diffusin model. By plotting a histogram of the log returns and using kerneldensity to approximate the density function I try to look at the ...
0
votes
0answers
39 views

How difficult/easy it is to migrate from CME FAST to CME MDP3.0?

Has anyone gone through this migration? Just wanted to have an idea of the amount of effort required.
0
votes
1answer
52 views

FORECASTING Model AR(1) in an Autoregressive Form The Pi´s Parameters

Ive been implementing a little exercise to obtain the first 2 forecasting points of an AR(1) process. And i want to have the forecasting ponts using the three forms: Im folowing this pdf ...
0
votes
1answer
31 views

Compound Discounting(?)

I am a programmer interning at a small contract furniture company. This company receives multiple discounts from the manufacturers, and I am trying to calculate the end discount. For example, the ...
0
votes
1answer
58 views

About the boundary conditions of the Black-Scholes-Merton PDE

I have a question about the solution of the Black-Scholes PDE for the European call option when I read the book Stochastic Calculus for Finance II of Steven E.Shreve. Let $c(t,x)$ be the value of the ...
0
votes
3answers
130 views

Understanding $N(d_1)$ and how to use the stock itself as the numeraire?

Assume the stock price follows a geometric Brownian motion Then in Black-Scholes pricing model, $N(d_2)$ is the risk-neutral probability that the option expires in-the-money. However, it is said that ...
0
votes
1answer
79 views

Asset pricing - Technology

I am working a bit on this paper, which is about Long-run risk through Consumption Smoothing. In equation (8) and (9) the authors define the stochastic process for the technology as: $Z_t = exp(\mu ...
0
votes
1answer
95 views

Numerical Solutions for PIDE

I want to solve an exotic options of PIDE by Numerical Methods.I just focus on the integral part of PIDE and want to underestand some tips on numerical solution of how to numerically solve it. Exactly ...
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votes
0answers
14 views

Consumption Based Asset Pricing

I am working on some consumption based asset pricing models. I am modelling consumption growth in several different ways. An obvious one is to model consumption growth as an AR(1) process: $g_{t+1} = ...
0
votes
0answers
43 views

Issues with +100 symbols in Quantstrat, Erratic Trades

I've tested my code against individual symbols and very small groups of symbols. I'm finding the more symbols I add the fewer trades I get. For instance, if I just include the first five symbols, all ...
0
votes
0answers
53 views

Forecast of ARMA-GARCH model in R

I managed to forecast a GARCH model yesterday and run a Monte Carlo simulation on R. Nevertheless, I can't do the same with an ARMA-GARCH. I tested 4 different method but without achieving an ...
0
votes
0answers
13 views

What are commercial impact models and transaction cost analysis models out there for simulation?

I have heard that ITG, LiquidMetrix, MarkIT and TradingScreen has good Transaction Cost Analysis (TCA) research. I wonder which firm one would choose to have an impact model formula inside his ...
0
votes
0answers
21 views

Optimize Kelly Criterion in these circumstances for Binary Options

For simple bets with two outcomes, one involving losing the entire amount bet, and the other involving winning the bet amount multiplied by the payoff odds, the Kelly bet is: f* is the fraction of ...
0
votes
0answers
17 views

Where to download Earnings Conference Call transcripts?

Is there any places (like EDGAR) that I can download Earnings Conference Call transcripts in bulk? Thanks.
0
votes
0answers
33 views

Settlement/Spot/(bid ask spread) ratio

Are there any studies on the average difference or ratio between Settlement (execution price) and the Spot price dependant on lot size. I'm looking for a function such as ...
0
votes
0answers
87 views

Monte Carlo, convexity and Risk-Neutral ZCB Pricing

I've built a simplistic Excel monte carlo model to price a zero-coupon bond, but it came up with a slightly unepxected result so I wanted to confirm whether my maths is just a little rusty or my model ...
0
votes
0answers
36 views

Performance analysis for a changing portfolio

I am trying to do a performance analysis of an investment in five different funds (A to E). I am investing a fixed amount at each fund (say 10m in A, 20m in B, 10m in C, 20m in D, 10m in E) but the ...
0
votes
1answer
17 views

Intrepreting the Capital Market Line plot

I am looking at plots of the Security Market (SML) line and Capital market line (CML). The X axis is the beta for the SML and Standard deviation for CML; the y axis is labeled with excess return. ...
0
votes
0answers
26 views

Programmer new to the quant world - learning material request [duplicate]

So I am a programmer in Uni and was looking for all types of resources to learn about quantitative analysis techniques from: Podcasts. Videos. Tutorials. Books. Lectures. Examples. All of these ...
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votes
0answers
37 views

Broker or source of intraday futures data for a python API?

I am looking for a broker that offers a python API for downloading historical intraday data on futures. So far I have only seen Interactive Brokers and Tradestation. Are there some other brokers ...
0
votes
1answer
137 views

Which distribution do I get?

Let's assume the stock moves according to a classic Black-Scholes model, and makes a proportional jump with an unknown proportion. Say, it is either +1% or -3% of the stock value, and we know for sure ...
0
votes
0answers
35 views

What's the risk-neutral expectation of the arithmetic average of stock price?

All Black-Scholes assumptions apply ($y$ is yield): what's $E(A_T), E(A_T^2)$ and $Var(A_T)$ where $A_T=\frac{\int_0^T S_tdt}{T}$ is the continuous-sampling arithmetic average of the stock price ...
0
votes
0answers
31 views

Interpretation of Johansen cointegration test in R

I am using urca package of R for Johansen Cointegration test in 2 stocks datas( A and B. My question is very elementar, but have cause some problems for me. How I interpret the critical values, for ...
0
votes
0answers
25 views

short term trading does it really add value and to whom?

Short term traders who flip their stocks within 5-10 minutes, do they really add value to any one? Text book answer is yes, they help price discovery and provide liquidity. Within that 5 minutes ...
0
votes
0answers
20 views

Risk neutral pricing formula justification in incomplete markets [duplicate]

I'm having trouble understanding how to justify the use of the risk-neutral pricing formula $V(t) = \mathbb{E}^{*}[e^{r(T-t)}H(S_{T})|\mathcal{F}_{t}]$ in models which are characterized by ...
0
votes
0answers
15 views

How was the adj.close for RIG calculated after Transocen - GobalSantafe merge

Yahoo's algorithm for adj.close calculation is pretty clear, as explained in the link. Said that, however, the values for RIG till 2007-11-26 don't follow such rules, as shown here. Indeed, if one ...
0
votes
0answers
14 views

Modeling EOD ETFs price returns together or individually?

Let's say you want to model the next day price returns for a set of US equities large cap ETFs (a relatively homogenous group). Would you model all the ETFs as a single, 15 years data set, or each ETF ...
0
votes
0answers
14 views

negative yield (interest rate) and Option Pricing [duplicate]

If i have negative yield (interest rate) can I still proceed with Standard Black and Scholes or Simple Binomial Model? any Adjustment is required to the model? how does it effect the pricing model in ...
0
votes
0answers
36 views

Values for Heston Model Parameters

Under the Heston model, the stock price and volatility follow the processes \begin{align*} dS & = \mu S dt + \sqrt{V} S dW^1, \\ dV & = \kappa (\theta - V)dt + \sigma \sqrt{V} dW^2, \\ dW^1 ...
0
votes
0answers
23 views

Where I can find the conventions used in building an FX volatility surface?

Here are some conventions used in building the EUR/USD volatility surface. I need to validate these fields: Base Currency: EUR Term Currency: USD Spot Lag: 2bd Interpolation Variable: ...
0
votes
0answers
72 views

Black-Scholes formula with deterministic interest rate and dividend yield

Does any one have the Black-Scholes formula for a European call with time-dependent but deterministic interest rate and dividend yield ?
0
votes
1answer
58 views

American put option and rising interest rate

Will a rise in interest rate always result in a lower price of an American put option?
0
votes
1answer
29 views

Test Log-Normality for LIBOR forward rates under the Libor Market Model

As far as I understand, under the Libor Market Model the forward rates are assumed to have a log-normal distribution. Given that I have constructed my LMM model and now have a matrix of: k different ...
0
votes
0answers
35 views

How to construct a cointegrating vector using more than 2 price series in R?

I use now this code from hier Why does the following data fail my cointegration test? with slightly modification of possibility to load something directly from Dropbox file storage . ...
0
votes
0answers
16 views

Complex yields occur for some sets of cash flows

My question is not inherently related to Matlab but if there is a solution using Matlab that would be great. I have inherited some Matlab code that uses the function bndyield to get the yield of some ...

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