0
votes
2answers
166 views

Estimate weekly, yearly quantities from finite samples

I'd like to estimate from a daily prices serie $P_t$ with $N$ observations a quantity such as the variance of the weekly returns. I will use $\ln\left(\frac{P_{T+5}}{P_T}\right)$ assuming 5 days in a ...
0
votes
1answer
126 views

Calculating company-level market capitalisations from share quantities and values

I want to calculate company-level market cap values for stock exchanges listed by Bloomberg. I gather this can be calculated as the product of share price and the total of shares in circulation. But ...
0
votes
2answers
96 views

Intangible assets as underlying for Futures contracts

How is it possible for a Futures contract to have an intangible underlying? For example, to my knowledge, there exist Futures that have interest rates as their underlying, come delivery date, how is ...
0
votes
1answer
213 views

Price difference between bond cash and futures

I used to trade German and US govt. bond futures and I am now having trouble understanding the price difference of these markets against the cash market. For example, the 10 year german government ...
0
votes
1answer
191 views

Cloning Return Streams

How would one go about cloning/replicating returns of a hedge fund or a strategy. That is given a return series of the object to be clone, is it possible to decompose return and reconstruct another ...
0
votes
1answer
627 views

Why is delta-hedging of ATM options near expiry difficult to do? [closed]

Can someone explain to me why the delta-hedging of ATM options near expiry is difficult?
0
votes
1answer
382 views

Does an option's price “ratio” with the underlying security price?

I'm trying to understand option pricing better. Let's say security ABC is \$40, and a 38 PUT option with 40% implied volatility (and 90 days till expiration) is priced at X. If security ABC then ...
0
votes
2answers
1k views

Ultra-High Frequency Trading Help [closed]

Im putting together an Ultra-High Frequency desk and need to answer the following questions for ordering some rack servers to process about 2 GB of data per second. If anyone has worked at a HFT desk ...
0
votes
3answers
45 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
74 views

Open interest and short selling

Open interest of SPY: https://finance.yahoo.com/q/op?s=SPY+Options If someone sell short a contract the open interest adds up or down? The open interest on yahoo finance is a reliable Information of ...
0
votes
1answer
61 views

Price of call/put is convex in $K$ (strike price)

Let $\lambda\in(0,1)$. Then $$C(T, \lambda K_1 + (1 - \lambda)K_2, S, t) \leq \lambda C(T, K_1, S, t) + (1 - \lambda)C(T, K_2, S, t)$$ $T$ - the maturity $K_1$,$K_2$ - Strike prices $S$ - stock ...
0
votes
1answer
44 views

What is the source of the money in a leverage transaction?

An example: I have 1000 dollars, the leverage is 10x, and one stock is 10$. In casual situation I could buy 100 stocks, because I have 1000 dollars, but if I use the leverage I can buy 1000 stocks. I ...
0
votes
1answer
65 views

Log daily returns of multiple securities for multiple time period in R

I have dataset containing daily closing prices of 5413 companies from 2000 to 2014. I want to calculate daily log returns for the stocks as according to dates as log(Price today/Price yesterday). I ...
0
votes
1answer
97 views

How to estimate today's closing price?

I'm working on interday trading algorithm and I have a basic question: How can I estimate today's closing price? I need it to predict tomorrow closing price. Should I use the price few moments before ...
0
votes
1answer
58 views

What is the current state of microstructure/order book analysis?

I know it's a broad question, but I'm curious as to the current state of microstructure analysis, specifically whether there's anything 'actionable' that people have discovered. Would also be ...
0
votes
1answer
35 views

Why is the forward rate used for the underlying in Black's model?

Why is the forward rate suitable for being used as the underlying in Black's model? Thanks
0
votes
2answers
25 views

Why debit and credit impact differently on different type of accounts?

Here is a table that I found in one of the accounting book: ...
0
votes
1answer
65 views

Duration vs. Convexity Contradiction

A lower coupon bond exhibits higher duration, which means higher price volatility with changing YTM. A lower coupon bond also exhibits higher convexity. However, with higher convexity, bond prices ...
0
votes
3answers
112 views
0
votes
1answer
71 views

Quantlib bootstraping fails on 5y swap

I'm trying to build a euro swap curve with real up to date data. I should say that examples provided in github work fine. as soon as I add the 5y swap, I got the following error : ...
0
votes
1answer
35 views

Why does the credit exposure of a forward increase with time

According to Gregory, the most obvious driving force behind credit exposure is future uncertainty. He characterizes the credit exposure of a forward contract as increasing with time; where exposure is ...
0
votes
1answer
59 views

Can a large OpenInt of calls cause a stock to go down?

I read forum post from another site. Which stated... ...
0
votes
1answer
69 views

Multiplying by the Square Root of Twelve to calculate annual standard deviation

I failed to see the mathematics truism. Can someone care to elaborate.
0
votes
1answer
76 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
2answers
101 views

Legitimate input parameters for Nelson Siegel Svensson model

I had previously asked this question and have come to better understand the answer with regards to setting the input parameters for the Non-Linear Optimization problem that provides the NSS ...
0
votes
1answer
177 views

Setting input parameters for Nelson Siegel Svensson model

I am trying to determine the parameters for the Nelson Siegel Svensson model and am solving a Non-Linear Optimization problem to do this. I am trying to solve: $$ \min_\theta{\sum{(p_i - \hat ...
0
votes
1answer
35 views

European option and American option are equivalent in this case?

This is Question No.11 from 2007 May MFE Exam. For a two-period binomial model for stock prices, you are given: (1) Each period is 6 months. (2) The current price for a nondividend ...
0
votes
1answer
78 views

Binomial pricing model: When the Cox-Ross-Rubinstein assumption is not arbitrage-free

I understand that in an arbitrage-free Binomial model, we assume that $S_{t+1} = S_t \cdot u$ in the event of an up-jump and $S_{t+1} = S_t \cdot d$ in the event of a down-jump. We call $u$ and $d$ ...
0
votes
1answer
90 views

A Difference between Local Vol and Stochastic Vol Models

For the purpose of this question a local vol model is a 1d SDE which specifies the price process and we have a contingent claim that depends on those prices (in general, at multiple times). e.g. ...
0
votes
1answer
217 views

Fama French 3 Factor Data

I have a trading strategy that uses the Fama and French 3 Factor data. It's provided on French's website up until the previous month or so. And indeed, this is a great source of data. The only ...
0
votes
1answer
594 views

Principal Component Analysis and Yield Curves

I've been tasked with researching trading strategies relating PCA to trading fixed income futures instruments. Apparently PCA is frequently used in this area. I'm just looking for some references for ...
0
votes
2answers
2k views

Implied probability from CDS spread

I have two tasks: 1) Given country's CDS spread draw implied probability of default. 2) Given probability of default calculate CDS spread. If possible, refer to any papers. Thank you in advance.
0
votes
2answers
286 views

VIX options historical data

I'm looking at these data: call and put options on VIX. I'm interested in daily quotes (all strikes and maturities) for - at least - 2009/10. Could you list link of possible sources? and possibily ...
0
votes
2answers
2k views

Par Yield Curves vs Zero Curves

Does it make sense to look at par yield curve for German bonds in the current environment? Because low rates mean that a lot of bonds are trading above much above par (even around 150!). I would ...
0
votes
2answers
136 views

Do people actually use VaR in professional settings?

VaR seems like such an obviously flawed metric, I am surprised that it seems to be used so much in the private sector. First, the way it is named and the way it is presented often imply it is the ...
0
votes
1answer
224 views

Level II market data (equities)

I have been playing around with some equities historical market data and I understand that different exchanges have different definitions of what Level II (Limit Order Book) data means. What I'm ...
0
votes
1answer
217 views

Why most of apple stock price since 10years have been gained overnight?

I've been playing with stock data and I've discovered a terrible truth : in 10 years apple stock price passed from roughly 3\$ to 100$. However this gain isn't due to intraday price variation ...
0
votes
1answer
225 views

What data should be used for regression-based model backtesting?

I ran regressions using historical valuation data and now want to backtest the models I came up with. Are there any issues with using the same historical data set for the backtest that I need to be ...
0
votes
2answers
241 views

Can selling put equity options be a good business?

In one of his last books Jack D. Schwager suggested that selling equity puts can be a good business. The puts are like insurance policies against market downturns and there is a natural demand. ...
0
votes
3answers
417 views

How to create a model or formula for evaluating trade opportunities

I want to build a formula to produce a score for a potential trade based on 4 variables, time, return, liquidity of security, and probability of failure. For a set of potential trades I first ...
0
votes
1answer
199 views

Book recommendation for time series analysis

I have been trying to wrap my head around Engel-Granger test and jcitest etc. I have failed thus far. If possible can someone guide me about which books to start with and possibly reach to ...
0
votes
1answer
65 views

Is there any relationship between investment return of a stock, for individual year (Yearly return) and multiple years (Overall annualized return)

currently, I'm calculating the return of a stock, for individual year and multiple years. I tend to answer the following question. Return of a stock for end of year 2010 (Individual year) Return of ...
0
votes
3answers
174 views

Divergence between binomial pricing and monte carlo simulation for vanilla european call?

I notice a divergence in my own code, but it's evident even in public code: http://www.thalesians.com/finance/index.php/Knowledge_Base/Finance/Option_Pricing_in_Python_and_Simple_English Pricing a ...
0
votes
2answers
283 views

Trading days or Calendar days for Compound Annual Growth Rate?

When calculating CAGR for intervals shorter than a year (or intervals that are longer than, but not integer years in length), should you use the 252 trading days or the 365.25 calendar days? The ...
0
votes
2answers
159 views

Why long power and short gas for Merchant power plant

Merchant power plant is one that can be turned on whenever you want. Suppose it is generating electricity from natural gas and we have a spark-spread option. Why is that the person who owns plant is ...
0
votes
1answer
56 views

CAPM as pricing formula

P - price that the asset was purchased. Q - price that it was sold P = Q/(1+r+B(R_m - r)) What is the financial meaning of denominator. Thanks for help.
0
votes
2answers
194 views

Use of geometric mean for average return of several indices

Can anyone give any reference for using the geometric mean to average the returns from several indices? Note, this question is not about the usual use of geometric mean to obtain the average return ...
0
votes
2answers
83 views

Wiener process proof

Can someone prove to me how $dW_t=W_t-W_s$, where $t=s+1$, the difference of the Wiener process eventually equates to $dW_t=z*(dt)^{(1/2)}$ where $z$ is standard normal, $N(0,1)$ in the following ...
0
votes
2answers
103 views

SEC XBRL Context Dates

In SEC XBRL financial filings, why do the date ranges for duration contexts not match the context's quarter? e.g. The markup for the context "D2012Q3" may look like: ...
0
votes
1answer
105 views

decoding this formula about nominal and real return [closed]

I am sorry if the following question is not quantitative finance. I am reading this thing badly written lecture notes, which says $W^r_1 \equiv W_1/P_1^g = (W_0^rP_0^g)(1+R)=/P_1^g$ $(1+R^r)\equiv ...

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