1
vote
1answer
189 views

source for yahoo finance equities volume traded

I am looking at some academic studies regarding volume of stock traded. Yahoo Finance is used as the data source for volume. Does anyone know where the volume figure comes from? Is it a compilation ...
1
vote
1answer
188 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, ...
1
vote
1answer
116 views

Building predictive model for closing price using only previous days data

I am trying to determine which quantitative model to try and build a predictive model for the next day's closing price for all the S&P stocks based on their bar for that particular day. However, I ...
0
votes
2answers
589 views

Orderbook Arbitrage

The order-books of trading exchanges are often hidden as so-called "Dark Pools". The measure was taken to avoid apparent market manipulation strategies executed by traders back then. Which such ...
0
votes
4answers
292 views

What is the Benefit of holding a short option?

i am new to corporate finance and ask myself why a investor is interested in being short on a Option? The only he can win is a premium but he can loose much more. I understand with being a short I can ...
0
votes
3answers
532 views

Why C is still in use especially in area of numerical optimization (instead of C++)? [closed]

Why C is still in use especially in area of numerical optimization (instead of C++) ? C and C++ aren't fully compatible so mayby you know some differances that make the difference ?
0
votes
2answers
2k views

Open source alternative to excel for investment and portfolio calculations [closed]

I am a Linux user, and taking an investment and portfolio management course that uses excel. I was wondering if there are open source alternatives to excel for optimal portfolio calculations? If yes, ...
0
votes
1answer
134 views

Am I reading this correctly? probability way too small with BS model

For a stock trading at $27, $28 strike, 0% interest, 15% annual vol, and one day until expiration there is about a 1 in 17000 chance of it being exercised? $d_2 = ...
0
votes
5answers
107 views

What can I use to measure of diversification?

I have to come up with a measure of diversification for trade (this can tie in closely to diversification as regards portfolios). Are there any well known measures of portfolio diversification?
0
votes
1answer
210 views

Exotic option pricing

I'm trying to price an option with payoff $\max\{a\cdot S_t - K,0\}$ where $a$ is a known constant. Ideally I'm looking for a closed form, continuous-time solution. Where should I begin?
0
votes
2answers
202 views

Getting the next price of a GBM with reversion

Here is the "twin" question of Getting the next price of a GBM (Geometric Brownian Motion) but for GBM with reversion As in that case, I'd like to write a formula for the next price, as function of: ...
0
votes
3answers
265 views

Profit estimation with a dice: 10 dollars for 6, -1 dollar for anything else

I recently found the following question: What is your profit estimate throwing a dice in the long run if you get 10 dollars for each time you hit 6 and lose 1 dollar for any other number? I tried to ...
0
votes
3answers
49 views

How to interpret negative log return more than -100%? [closed]

I'm doing some analysis on log returns and I notice that returns can exceed 100%. For example, if a security's close price \$1 today and \$10 yesterday, the log return is $ln(1) - ln(10) = -230\%$! ...
0
votes
1answer
70 views
0
votes
2answers
208 views

How to learn QuantLib-python at first?

In my project, I have to get the delta of up and out call option (with vol surface). I found out that QuantLib might help me on that. Since my main language is python and I don't know well about C++, ...
0
votes
1answer
53 views

Where to get price data on Credit Default Swaps?

I trust market-driven CDS more than credit ratings. Where can one get the CDS of corporate bonds of major companies? Are there any good internet links? If charts on the historical end-of-day prices ...
0
votes
1answer
69 views

AmericanOptionImpliedVolatility - root not bracketed issue in QuantLib/R

I'm trying to compute an implied volatility -- I am trying to match real data I see in Yahoo finance which shows an IV of about 27%. My call in 'R' for the same params returns a root not bracketed ...
0
votes
3answers
93 views

Why Jumps in Option Pricing models?

The Bates model adds a Jump process to the Underlying. I understand this may represent observed time series more realistically, but why would one care about this in option pricing? The option price ...
0
votes
3answers
70 views

How can a share price be different on its open than it was on the previous close?

The changing in price of shares are down to the number of people buying or selling stock. So, if there is a large demand for a stock then the share price will increase, and if there are lots of people ...
0
votes
3answers
300 views

Research methodology of systematic strategies

Can someone please share your research methodology of systematic trading strategies? I feel like I am always using the a same data driven procedures over different underlyings and would like to get ...
0
votes
2answers
222 views

Why gamma for ATM option decreases as volatility increases

Why is the gamma for an at the money option less when volatility increases. Intuitively ,I thought that increasing volatility means more uncertainty,hence the option price will be more sensitive to ...
0
votes
2answers
1k views

Where can I find answers to questions in the book “Paul Wilmott Introduces Quantitative Finance”?

I'm currently answering the exercises at the back of every chapter of the book "Paul Wilmott Introduces Quantitative Finance" and would like to compare my answers to the correct ones. Tried looking ...
0
votes
1answer
123 views

Why systematic divergence between ^VIX and VXX?

Why is there systematic negative divergence between the VIX index and the VXX ETF meant to track it? http://finance.yahoo.com/q/bc?s=%5EVIX&t=5y&l=on&z=l&q=l&c=vxx
0
votes
2answers
162 views

Sharpe Ratio and time spent in loss

Is it possible to express, given an annualized Sharpe Ratio value, what is an expected maximum/average time spent in a draw-down or something in this manner? E.g. with SR of 10, you'd expect to spend ...
0
votes
1answer
135 views

First Exit Time Based Volatility

I'm hoping that someone could help better explain why $\sigma$ (equation 2.19) must be multiplied by $\frac{4n}{4n + 1}$. Obviously all the math is there. Perhaps someone can make this easier to ...
0
votes
2answers
418 views

Volatility Scaling

Since the VIX is an annualized volatility, to convert it into other frequencies we must divide by the square root of time. So to convert a VIX of 15 into daily volatility, we would need to divide $$ ...
0
votes
1answer
112 views

What is the meaning of the discounted process defined from the interest rate process?

Assume a money market has interest rate process $R(t)$. In Shreve's Stochastic Calculus for Finance II, formula (5.2.17) on page 215 defines the discounted process as $$ D(t) = e^{-\int_0^t R(s) ds}. ...
0
votes
2answers
528 views

What information do stock exchange colocated servers have access to?

In high frequency and low latency trading, decisions are done on the spot by servers colocated in stock exchanges. This implies that those servers have immediate access to the information they need to ...
0
votes
1answer
1k views

what is the best way to calculate the probability of an equity option ending in the money?

Given historical implied volatility and all other know variables (stock price, option strike price, option expiration date, dividend rate, interest rate) what is the best way to calculate the ...
0
votes
1answer
313 views

British hedge/mutual funds performance comparison website [closed]

Imagine a British investor with $10-100k in her pocket. She wants to see the previous performance of various British and overseas funds to choose the one to invest. And she wants to filter out the ...
0
votes
3answers
49 views

Looking for an algorithm to generate (dummy) share price data

Is there an easy-ish way I can generate "dummy" share price data for the purposes of data visualisation techniques etc.? Essentially I want to have something like the "Adventure Works" of price data. ...
0
votes
1answer
40 views

What is the difference between par delta and zero delta?

I was looking at different methods of calculating delta for Interest Rate Swaps(IRS) and came across the words par delta and zero delta. I am not sure of the difference between the both and when to ...
0
votes
3answers
60 views

Interpretation of portfolio standard deviation

I have computed an efficient frontier using quadratic optimization algorithm for some stock data and then plotted it. However, I have troubles understanding how to interpret standard deviation of ...
0
votes
1answer
88 views

Does the fact that volatility is not constant imply existence of skew?

I had a question regarding the existence of the volatility skew. I've tried researching it a fair bit and I come across a few different explanations: 1. Market participants like buying downside puts ...
0
votes
3answers
62 views

What information should be delivered to the client so they have enough information to manage their exchange rate risks? [closed]

The client can be a CFO or CEO. The information can indicators, charts, graphs, statistics, ratios, etc. I know the VaR is one of them.
0
votes
1answer
149 views

What market making strategies are often used nowadays ?

I am doing a survey of market making strategies, what's the popular market making strategies?
0
votes
2answers
131 views

Difference between Closing Price, Last traded price and Settlement Price for option contracts?

What is the difference between Closing price, Last traded price and settlement price ? I got the difference between Closing Price and Settlement price from previous post : The difference between ...
0
votes
3answers
107 views

To currency hedge or not to currency hedge (ETFs)?

When is it preferable to use a currency hedged ETF over a none currency hedged ETF? There has been studies which have shown over the longer term currency hedging does not make a difference. ...
0
votes
2answers
173 views

What‘s the definition of static arbitrage?

Could someone give the strict definition of static arbitrage? I know what the arbitrage means but have no idea about the term "Static". Thanks in advance!
0
votes
2answers
150 views

What are some examples of non-solvable SDE where Monte Carlo discretization is necessary

Reading Glasserman - "Monte Carlo Methods in Finance" it says in the introduction to Chapter 6 - Discretization Methods, that moste models arising in derivatives pricing can be simulated only ...
0
votes
2answers
179 views

Geometric Variance

If the arithmetic mean is: $ \frac { \Sigma (x_i) }{n}$ and the geometric mean is $ (\prod (1+x_i) ) ^{1/n}$ The arithmetic variance is $ \frac { \Sigma(x_i-\mu)^2 } {n} $ then what is the ...
0
votes
1answer
136 views

“The drift of stock price becomes the risk-free interest rate” under RNP

Assume that the evolution of a stock price is geometric Brownian Motion $$ dS=\mu Sdt+\sigma SdW(t) $$ where $S$ is the stock price at time $t$ (current time). It says in my book that "under the ...
0
votes
2answers
804 views

Bootstrap yield curve with QLNet / Quantlib

I am trying to grasp QLNet (C# version of Quantlib, all the functions of Quantlib have the same name and work the same way, so if you just know Quantlib, you can still help me), especially for pricing ...
0
votes
1answer
64 views

Floating-rate bond

How can I extract expectations about future rates from prices of floating-rate bonds? Please, give reference to any articles, if possible. Thank you in advance.
0
votes
2answers
164 views

Countries and/or exchanges which don't allow algo-trading

I am doing a research paper on the effect of algo-trading on capital markets. In order to do this, I plan to do an OLS comparison of Countries and Exchanges who ban algo-trading platforms and those ...
0
votes
1answer
92 views

Briefly stated, why does the function N(x) appear in the European call option pricing model?

I'm aware of the the mathematical formula for the price of a European call option on a stock however I'd like to think about it in an intuitive way.
0
votes
3answers
154 views

Where can I find a correlation matrix between the revenues of different industries?

I don't need something super complicated, I would just like a quick and dirty way of estimating the correlation coefficients between the revenues of different companies. Information on companies in ...
0
votes
3answers
93 views

Why is it enough to know the expected present value of cash flow in risk-neutral framework to price derivatives?

Wilmott book states that its enough to know the expected present value of all cash flow in risk-neutral framework to price derivatives. As I know, to obtain arbitrage-free market we need our ...
0
votes
4answers
325 views

Intermarket analysis - related time series?

I'm about to embark on training a neural network on daily forex data, with a view to obtaining a predictive network. I'm also interested in using data other than the forex currency pair data itself, ...
0
votes
3answers
78 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 ...

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