-3
votes
2answers
653 views

What software should I use for forex arbitrage?

These are my requirements: Speed of lookup & update Speed of crunching large numbers and combinations The exchanges I want to connect to will mostly provide json feeds to their orderbooks & ...
-3
votes
1answer
90 views

Why is there no closed-form equation for XIRR?

Everything I have read about XIRR (e.g., as calculated in Excel) says that there is no closed-form equation and it must be calculated by iterated approximation. Could someone give a brief ...
-3
votes
1answer
142 views

Methods for distributing cash into allocation

Are there any methods/techniques that cover distributing cash into a specific percent of a portfolio asset class while gaining the best average price? As a simple example, a portfolio starts with ...
-3
votes
1answer
294 views

Convert returns into an index? [closed]

What's the right way to take a series of returns and convert it into a continuous index? Let's say I want to show the performance of a strategy starting from 1, and adding on returns so that I get an ...
-3
votes
1answer
542 views

Why do we need derivatives? [closed]

I read somewhere that derivatives are the biggest weapons of financial destruction. Why do we need derivatives? If exploiting risk-proneness of people to make profit is the goal, why don't we stop ...
-3
votes
1answer
113 views

How can foreign investment have a negative figure?

Just looking at http://www.tradingeconomics.com/japan/foreign-bond-investment Wondering how can foreign bond investment be negative? You can have 0 investment, you can have positive investment, but ...
-3
votes
1answer
79 views

Total number of currency transactions [closed]

All of the Forex volume/transactions are always reported in total dollar amount. I am interested in the number of individual trades. Where can I find this? Granularity doesn't matter, ...
-3
votes
1answer
444 views

Getting started with Forex Trading [closed]

I have $2000 that I can risk losing. I'd like to get started with Forex Trading. Is there some place where I can open an account, get free API access, and write basic programs to play with the data? ...
-3
votes
1answer
483 views

Trading Strategies and Portfolio Constructions based on Cross Sectional Regression? [closed]

I often see trading strategies and portfolio construction that are based on cross-sectional regression. For example, I often see regressing some numbers against some factors. I was wondering how ...
-3
votes
1answer
60 views

How do you calculate P&L based on trade history? [on hold]

Given a series of trades Symbol,Quantity,Price,Side SPY,100,127,Buy SPY,87,125,Sell SPY,109,115,Sell SPY,122,95,Sell SPY,66,89,Buy SPY,101,175,Sell How do you ...
-3
votes
1answer
39 views

Long-Term Government Bond Yields

On the Federal Reserve of St. Louis FRED website we can find the 10-year government bond yields: https://research.stlouisfed.org/fred2/data/IRLTLT01USM156N.txt. I chose monthly frequency and percent ...
-3
votes
1answer
35 views

Zero coupon bonds [closed]

Assume the zero-coupon bonds from 1 year to 4 years are all available, and the current 1-year, 2-year, 3-year and 4-year spot rates are 4%, 5%, 6% and 7% accordingly. Interest rates are annually ...
-3
votes
1answer
165 views

What's the disadvantage of ARMA-GARCH model?

I want to ask why ARMA-GARCH is more and more popolar, and what's the advantage of this model.
-3
votes
1answer
415 views

Interest only loan formula [closed]

Forgive me I am not good at economics, I have following values. amount I want to lend. the current bank interest rate. the amount of years the loan will be for Please tell me the formula to ...
-3
votes
1answer
83 views

if technical analysis rules for predict stock prices is unique for all cases, why should we learn neural networks? [closed]

Is there any neural network out of the box tool that was already learned all technical rules by feeding many stock trading data?
-4
votes
1answer
2k views

Is there a piratebay for data(bases)? (here, talking about historical financial data) [closed]

I would like to, for example, access (and later, upload), for example, historical financial data for the S&P500. If a piratebay for databases existed, maybe we could freely share information that ...
-4
votes
1answer
218 views

inflation > interest rate? [closed]

Currently, the federal reserve interest rate is 0-0.25%, and the inflation is 2-3%. Does this contradict the no-arbitrage principle? (The arbitrage being: borrow money at 0.25% and invest it in the ...
-4
votes
2answers
212 views

How to use mean-variance weights in practice (when going short is allowed)? [closed]

I have calculated my optimal portfolio weights following the mean-variance framework where I go $w_1$ in the risky asset and $1-w_1$ in the risk free rate. I get the following result: $w_1$ = 1.5, ...
-4
votes
2answers
154 views

Quadratic Programming Problem

How I can solve the following Quadratic Programming Problem: Min[X’VX+X’GX] In this case, X is a list of coefficient to be solved for, V is a square matrix of Price returns, and G is a square matrix ...
-4
votes
1answer
100 views

Risk Neutrality Necessary for Dual Delta Calculation?

I have an option chain for a specific expiry date. Then calculate dP/dK numerically for each pair of strikes. My hunch is that this calculation is not risk neutral in the strictest sense of the word ...
-4
votes
1answer
447 views

What is (High-Low) and (Open-Close) spread? [closed]

Spread is the difference between Bid and Ask. I'm confused what is High-Low Spread and Open-Close spread?
-4
votes
1answer
889 views

Show that convexity of call price as a function of the strike is violated [closed]

European call options with strikes 90, 100 and 110 on the same underlying asset and with the same maturity are trading for 22.50, 18.84 and 13.97 respectively. show that the convexity of the call ...
-4
votes
1answer
4k views

How to annualize log returns? [closed]

I have daily log return from 01.01.2011 to 10.28.2011 and I'd like to compare the total return of that 10 months period (which is of -7.093%) to annual log returns of previous years. I know it's ...
-4
votes
1answer
27 views

Matlab loop statement is driving me mad [closed]

Can someone please help me out with this loop over here? Matlab simple refuses to consider the for o=k:k-20 statement inside the if statement. :pullingmyhair: ...
-4
votes
1answer
46 views

Can not understand options pricing [closed]

As we are seeing here http://www.theoptionsguide.com/strike-price.aspx Relationship between Strike Price & Call Option Price Relationship between Strike Price & Put Option Price I do not ...
-4
votes
1answer
126 views

Is there an API to perform request about stocks and financial derivatives? [closed]

Is there an API to make a request such as: all the companies which thier P/E ratio is greater than 50 ? I know I can crawl google finance and have it locally on my ...
-4
votes
1answer
56 views

Does YTM represent interest? [closed]

Does a bond's Yield to Maturity represent the amount of interest one gets at maturity even though it's expressed as a percentage? I read that it is a rate of return on a bond at maturity, but what is ...
-4
votes
1answer
577 views

Target daily ROI for a market-making algorithm

I'm designing a market-making algorithm, I was wondering what a decent ROI / day would be to aim for in such a system?
-4
votes
1answer
664 views

How to calculate the weight of the stocks using the linear regression?

I do a simple example with the follow three series(stocks prices): ...
-5
votes
2answers
216 views

How to apply Elliott wave priciple to any Time Series?

I'm strongly interested to computing Elliott Wave to any given Timeseries. Does anybody tried? Is there any phython library to do that? I'm looking for an algorithm taht if I give to it a time ...
-6
votes
1answer
376 views

get live data from national stock exchange [closed]

http://billing.finance.yahoo.com/realtime_quotes/signup?.src=quote&.refer=quote Can i get real time data(from NSE india) using Yahoo finance API after subscribing to their service ?
-6
votes
0answers
20 views

What's the best proffesional forex market data feed out there?

I trade forex latency arbs and find it harder and harder to get a reliable New York market data feed to server my purpose. Reuters and EBS send timesliced updates every 500ms for 5k/month which is ...
-7
votes
4answers
2k views

True or False? An option's price will always be greater than or equal to its intrinsic value

Since if the option's price is lower than its intrinsic value (eg. strike price - current stock price for puts), then an arbitrage opportunity arises from buying the option at bargain and then ...
-7
votes
1answer
710 views

When people say calculate moving average for 30 days include weekends or not? [closed]

This is blowing my mind a little bit, when someone wants to calculate a 30-day moving average of a commodity, do they mean 30 business days, or 30 calendar days? I'm looking for the general ...

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