-1
votes
1answer
59 views

European Option Technical Exercise

I like to ask a practical question regarding the exercise of European Options: As we know, one may exercise a European option only at maturity $T$. But for example, if the option can be exercised ...
-1
votes
1answer
193 views

Is the market really Normal. Is Implied Volatility Historically Correct?

Ok. So as of 6/10/2014's market close the SPY was 195.6 and the VIX closed at a ridiculous recent low of 10.99. Now because the VIX (IV) is the implied volatility of 1 month contracts on the SPX and ...
-1
votes
1answer
122 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.
-1
votes
1answer
67 views

Calculating the sensitivity of the modified bond duration to changes in the coupon rate

Given that $B=Ce^{-y} + Ce^{-2y}+ (100+C)e^{-3y}$ where B is the bond price, C is the coupon. and It is a 3 years annual coupon bond. I want to find $\frac{dD}{dC}$ where $D$ is the modified ...
-1
votes
3answers
68 views

Standard way to represent trend in an a-dimensional way [closed]

Let us suppose that a factory needs to know when certain products are increasing the profit. This factory produces an huge number of products each with different targets. So the factory need to ...
-1
votes
1answer
77 views

Market Discrepancy in ETFs [closed]

Today Yahoo, Google, CNBC, etc. are all reporting an open for DDM of \$106.95, a close of \$107.69 and a delta on the day of \$2.69. But the arithmetic difference between the open and the close is ...
-1
votes
1answer
155 views

Converting time series returns into euro

I am trying to convert various series of returns into one currency (euro). I saw from aprevious post that soemone suggested using conversion factors, where would I find these? Also, given that the ...
-1
votes
2answers
198 views

What's the first time-integral of price called?

In general I'm wondering about the names of time-derivatives of price. E.g. in physics the first few time-derivatives of position are: f(x) = displacement f'(x) = velocity f''(x) = acceleration ...
-1
votes
1answer
109 views

Regression extensions

I'm trying to find extensions for my regression and obviously would like to use PE, BV and CFO. But I've got monthly data, while all company's fundamentals are semi-annually... Can I deal with it ...
-1
votes
0answers
28 views

Pricing Callable Inverse Floater Swap

Need your quick help on pricing callable inverse floater Swap? VBA code or any paper that covers the methodology in detail Thanks
-1
votes
0answers
34 views

Local volatility computing

I am trying to compute local volatility using dupire formula after interpolating the implied volatility using a cubic spline. Unfortunaly, I get some negative local volatilities. How can I solve this ...
-1
votes
0answers
10 views

How to compensate mutual fund's expense ratio on log return series?

So I have log return series for a mutual fund, and annual expense ratio. How should I compensate expense ratio on top of log return series? The goal is to have an expense ratio adjusted log return so ...
-1
votes
1answer
31 views

Conversion of SPY prices to ES prices

I have a system that I use intraday that works great on SPY. Due to the extra leverage available plus other benefits I am thinking about trading the system using ES. Is there a conversion factor ...
-1
votes
2answers
57 views

Why aren't there any single owner companies over a billion dollars? [closed]

The biggest companies have multiple owners which dilute the authority and finances of the company. They are either publicly traded companies via selling shares through stock markets, or privatly owned ...
-1
votes
1answer
116 views

In a FX options book, is the sum of P&L equal to the portfolio value?

For a portfolio containing FX options, would the sum of P&L for each option be the portfolio value?
-1
votes
1answer
76 views

Replicate by Arbitrage price of a forward

Given market(Mid): 1- USD Swap market (fixed for float). Float leg pays 3MLibor quarterly, act360. Fixed Leg pays annually, act360. Market is trading mid at 1.125%. 2- TIIE market. Fixed for ...
-1
votes
1answer
82 views

conservative approach payoff table

With the conservative approach, we choose the decision which maximises minimum payoff. I was wondering which decision is chosen if 2 decisions have equal minimum payoff (which is the maximum)? ...
-1
votes
1answer
83 views

Math basics of Equally-weighted Risk contributions

i'm writing my BA Thesis about "Equally-weighted Risk contributions". Can anyone recommend math books for further understanding of Risk contributions?
-1
votes
1answer
78 views

how to calculate avarage variance and avarage covariance

I would like to figure out how to calculate av.variance and av.cov. I know how to calculate portfolio variance( for large ...
-1
votes
1answer
143 views

Were can I find Historical Interest Rate Data?

Where can I find American historical Savings Account interest (Bank) rates? If you can, please attach corresponding links.
-1
votes
2answers
1k views

Bloomberg interest rate interpolation

I have question about the linear interpolation of interest rates. I am unable to reconcile the Bloomberg methodology for calculating risk-free rate between maturities. In theory it is a straight-line ...
-1
votes
1answer
191 views

interpreting huge jumps

i have been working on this trading system that uses digital filters to generate signals. the system works fine during normal market hours. but it goes haywire when there is news release. i have ...
-1
votes
1answer
100 views

Rate of Return Required on Buying Stocks with Loan

A bank gives a loan $L$ for $m$ months and the monthly interest rate is $i$. The bank requires monthly installments - which I calculate is $I = \frac{L}{m} + Li$. I use this loan to buy ...
-1
votes
1answer
188 views

Can Beneish's model for detecting earnings manipulation be applied to companies in the UK?

As I understand it this model derived from data for US companies. Is it valid to apply the model as is to UK companies or does it require any modifications? Description of the model: ...
-1
votes
1answer
557 views

Calculating arbitrage- S&P 500 stocks vs S&P 500 Index future?

How exactly would I go about investigating whether the S&P 500 stocks were currently over-valued compared with the price of the S&P 500 Index futures contract? Is it just a case of taking each ...
-1
votes
1answer
2k views

Can end-to-day trading be profitable? If not, why? [closed]

Many academics argue that end-to-day trading, where you go long or short before opening and sell your security at the end of the day, is not profitable. Various explanations are given for this ...
-1
votes
1answer
47 views

Implicit relation between risk and reward

I want to differentiate w.r.t. $\sigma^2$ the following equation $u'(Y)\mu$ + $\frac{u''(Y)}{2}$$(\sigma^2 + \mu^2) = 0$ where we can consider $\mu$(reward) as an implicit function of $\sigma^2$(risk) ...
-2
votes
2answers
527 views

How to get/estimate ask/bid price for backtesting for OHLC data? [closed]

As you know, most of the EOD data available have only OHLC price. I used to do back-testing using the Close price as both bid and ask. however, in real world, the bid and ask spread is huge and the ...
-2
votes
2answers
294 views

BS and delta hedging questions

I have two related questions concerning Black Scholes and delta hedging. I thought about this two questions, but I could not come up with an answer, so maybe you guys & girls can help me: If an ...
-2
votes
1answer
574 views

Tutorial for working with tick data? [closed]

Can you recommend a good tutorial for working with tick data for the purpose of algorithmic trading? Is the data normally stored in a database and only bits are read into memory at a time? Is there ...
-2
votes
1answer
328 views

How could HFT help increase liquidity? [duplicate]

I have ready in several websites that HFT can help increase market liquidity, although this is contested in some articles. I am not familiar with the concept of market liquidity. What is the basis of ...
-2
votes
1answer
153 views

Managing Bloomberg logins in a campus library [closed]

In a campus library or other public place, typically many people share the same PC with the Bloomberg terminal software. Is there a way to prevent users from creating new logins? Is there a way to ...
-2
votes
1answer
149 views

Different stocks with the same stock code [closed]

Is it possible to have different stocks with the same stock code on different stock exchanges.
-2
votes
2answers
60 views

Martiglale and Brownian Motion [closed]

Stock market has been model as a random walk with a drift. Since it has a drift(bigger than zero) it is not a "Brownian Motion" but it still a Martingale? Is Stock market a Brownian Motion? Is it a ...
-2
votes
1answer
57 views

Two assets with the same mean and standard deviation - Would there be any benefit? [closed]

If I have two assets in a portfolio with the same standard deviation and mean and the correlation between the assets is 0, theoretically could there be a situation where it would be beneficial to ...
-2
votes
1answer
49 views

What does “percent of change” mean? [closed]

Whenever a price is changed, you can find the percent of increase or the percent of decrease by using the following formula: $$\frac{\text{percent of change}}{100}=\frac{\text{change in ...
-2
votes
1answer
367 views

Order book depth views preferences: order-by-order vs. total aggregated volume by price levels

Which is best? Or is it irrelevant? Hi! Considering Level 2 Data (Market Depth), I want to understand the advantages to have all the order book on an order-by-order basis (or tick-by-tick basis) ...
-2
votes
1answer
358 views

How to look for fractals/harmonics patterns in time series?

I want to build trading systems based on two things: 1)Fractal Theory 2)Harmonics Pattern I have read the book : The Misbehavior of Markets: A Fractal View of Financial Turbulence By Mandelbrot ...
-2
votes
1answer
106 views

Proxy for a trigonometric angle function [closed]

You can't calculate an actual/real angle with the sine function with discrete market data. I need a substitute value for inputs that require an angle value. If you're only calculating the angle ...
-2
votes
1answer
50 views

calculating portfolio volatility [closed]

Given: vector of portfolio weights $W = [w_1 w_1 ]$ correlation matrix $C = \left( \begin{array}{ccc} a & b \\ d & e \end{array} \right) $ standard deviation of the asset returns $S = [s_1 ...
-2
votes
1answer
44 views

Finding historical data monthly data [duplicate]

Where can I find historical data for WTI Price, gold price, CRB index for my research work? Is there any website from where I can download these data?
-2
votes
1answer
108 views

Modified or Macauley Duration in python

are there any existing python modules that can calculate Modified and/or Macauley Duration of a bond.
-2
votes
1answer
378 views

Interest Rate Swaps on Mortgages [closed]

Is it possible to get interest rate swaps on mortgages? If not, why not? Are there models that describe this? Any direction would be great.
-2
votes
1answer
181 views

DCF Zero Coupon Bond

Using a 30/360 day count what is the exact formula to discount this single zero coupon bond? ...
-2
votes
1answer
400 views

How to test the efficiency of Exponential Moving Averages as a trading startegy? [closed]

I would like to know how I can test the efficiency of Exponential Moving Averages when it comes to forex trading. Can i have any papers that point to the efficiency of this strategy? Thank you. :)
-2
votes
1answer
323 views

How to get a Quant Job [closed]

At the end of the academic year I will graduate with a Computer Science degree (hopefully) and I would like to peruse a career in quantitative finance. What is the dest way of doing this? Is it worth ...
-2
votes
2answers
217 views

How do I calculate expectancy from a past series of trades in my trading account? [closed]

Expectancy is defined as "How much money gained for every $1 risked". What is the expectancy for this particular series of trades? Risked €1, won €2 Risked €2, won €1 Risked €3, won €6 Risked €3, ...
-2
votes
0answers
16 views

Any package to run BEKK-GARCH-X models in R [duplicate]

I tried using a package called mgarchBEKK (or mgarch) to estimate a VECM-GARCH model with a BEKK approach. It seems like the package firstly estimates the VECM model, then uses the residuals (Epsilon ...
-2
votes
1answer
45 views

Fix protocol and Bars

I am newbie in fix protocol. I would like to know how I can work with bars (candles) in the fix protocol? I mean subscription to bars from client-side and what type of message I can use to send bars ...
-2
votes
1answer
51 views

Magrabe Exchange Option: not equal drifts

I need to calculate the price of exchange option between 2 assets $S_1$ and $S_2$ The formula is given here Wiki: Magrabe formula or here Quant Stack Exchange. In the derivation of the formula it is ...

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