-2
votes
0answers
39 views
Quality of GAINDATA timestamps
Does anyone have a view on the quality of the timestamping of GAINCAPITAL's free historical data.
There is non-FX data there and I wonder if the timestamps are in sync?
@chrisaycock
1
vote
0answers
9 views
Interpretation and consequences of the Nyblom test in the rugarch package?
I fitted a garch model using rugarch of the r package and I got the following output:
...
1
vote
1answer
30 views
Different results between Box-Ljung test and ARCHLM test?
I fitted a garch model using the rugarch package. The output (extract) is as follows:
Now I have trouble interpreting the results of Q-Statistics?
First of all to test the mean equation, we look at ...
3
votes
0answers
41 views
Is Unexpected Loss ever used in Basel II?
In Basel II, EL is useful. It's calculated as
$$EL = PD \cdot EAD \cdot LGD $$
in advance IRB (internal rate-based approach),
Correlation
$$R = 0.12 \frac{1 – e^{-50 \cdot PD}}{1 – e^{-50}}
+ 0.24 ...
2
votes
1answer
52 views
When the Inverse Correlation between the SPX and VIX breaks down
As we all know the S&P and its implied vol, the VIX, generally move in opposite direction. To a large extent, the correlations makes sense. IV is one of the main drivers of the price of options, ...
2
votes
0answers
28 views
Optimal mortgage rate strategy
When buying a mortgage, you can choose to "lock in" a rate at any point within 60 days of your closing date. Once locked in, you can't revert.
This makes it a secretary problem - in the traditional ...
13
votes
11answers
3k views
Which brokers offer a .NET stock trading API?
I'm trying to make up my mind and choose a broker, however much of my choice depends on the trading API offered.
I'm definitely not interested in FIX solutions and I'd very much like a .NET ...
4
votes
1answer
62 views
Is my VaR calculation correct?
I want to use a ARMA-GARCH process to calculate the value at risk.
I use the rugarch package of R.
First of all, I specify my model:
...
0
votes
1answer
64 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
...
2
votes
1answer
45 views
Desired portfolio volume
I am working on a toy model, in part of which an investor has to decide (based on some utility theory) how much money to invest in a given portfolio. For simplicity, assume that the portfolio is ...
6
votes
7answers
2k views
Option trading API other than Interactive Brokers
I'm looking for an options broker that provides an execution API.
I'd like to ideally test on a papertrading version of it before connecting to a real execution engine. I know IB offers that, but they ...
2
votes
3answers
431 views
Which brokers offer a Python stock trading API?
I would like to automate my trading strategies.
My strategies are not high-frequency and are written in Python.
I have a trading account in Interactive Brokers, and I know some non-official Python ...
2
votes
0answers
33 views
Confused about APARCH not a APGARCH?
I am wondering about the apARCH model:
As you can see here, it clearly has both terms which a garch model has. The aparch volatilit equation is given by
And the standard garch volatility equation is ...
1
vote
0answers
67 views
Market Exposure and Hedging
Normally the Market exposure associated with your stock/portfolio is your delta for that stock/ portfolio. Basic idea of hedging involved here is buying/selling respective futures depending upon ...
4
votes
0answers
68 views
How to prove that markets are incomplete under the Stochastic Volatility model?
Has anyone ever formally proved that Markets are incomplete under the stochastic volatility model?
I know that if there are more random sources than traded assets, then the market is incomplete but ...
5
votes
2answers
147 views
Best tool to generate cashflow diagrams
I often have to generate cashflow diagrams.
I was wondering if anyone has a good tool to generate them in either $\LaTeX$ or a picture?
0
votes
0answers
40 views
R Outputs from Johansen test. Linear combination still not stationary?
I am trying to see if house price is cointegrated with interest rate, per capita income and rental vacancy rate and got the following output from ca.jo in R:
...
1
vote
1answer
88 views
Add transaction costs to prediction
An algorithm predicts price movement by some certainty and it invests proportional to the confidence level. Predictions range from -1 to +1, -1 meaning sell for a value of ...
0
votes
0answers
36 views
Exact value of mean reversion rate knowing terminal value of the process
Let you have the following mean reverting process:
$\text{d}x_{t}=a(\theta-x_{t})\text{d}t$,
where the diffusion term is absent, that is this process is not stochastic.
Let you know the value of ...
6
votes
4answers
485 views
Threshold calculation for buying a mean-reverting asset
I am trying to figure-out an optimal policy for buying a unit when its price follows a mean-reverting price process (Ornstein–Uhlenbeck), when I have a finite time deadline for buying the unit.
I ...
3
votes
0answers
61 views
Is it random walk?
I would like to ask a question about random walk. Campbell, Lo & Mackinlay defined the random walk, in the following way (RW3):
$$
cov[f(r_{t}),g(r_{t+k})]=0,\qquad k\neq0
$$
for all $f(\cdot)$ ...
-3
votes
0answers
54 views
Why was SSF and Futures on Stocks Banned in US Until Recently [closed]
I have heard that Futures on Stocks were not allowed in US until recently. What is the rationale behind this?
5
votes
3answers
435 views
How to use Itô's formula to deduce that a stochastic process is a martingale?
I'm working through different books about financial mathematics and solving some problems I get stuck.
Suppose you define an arbitrary stochastic process, for example
$ X_t := W_t^8-8t $ where $ W_t ...
1
vote
1answer
49 views
What are the differences between CFD and SSF?
What are the intricate differences between SSF and CFD?
The similarities are that both take into account interest and settled daily thus looks more or less the same pima facie.
3
votes
1answer
103 views
Covariance of brownian motion and its time average
It's a question pertaining to the correlation of a log asset process (following BM) and its time average, to put it into form, if
$$X(t)=\mu t+\sigma W(t)$$
then
$$ ...
2
votes
0answers
56 views
Overnight Index Swaps
Just a very quick general question regarding the OIS market. Is it common place on termsheets to state a PV Notional and additionally a FV notional, if so what is the purpose of this and does market ...
-4
votes
0answers
26 views
Quantitative Finance in Asset Allocation [closed]
I want to study on this topic "Quantitative Finance in Asset Allocation" who can guide me further? (introduce me some perfect books)
Thank you.
-5
votes
1answer
69 views
Compute a time series of daily volatilities in R [closed]
I want to use the ewma algorithm to compute a time series of daily volatilities. My $\lambda=0.97$. The start volatility is from the first $50$ returns. I want to take a vector of returns, a decay ...
3
votes
1answer
119 views
Profiting from price discrepancies between stock exchanges
Here is an interesting video by Nanex: http://www.youtube.com/watch?&v=rB5jJuMP84E
Perhaps some of you have already seen something similar. It is an animation of the order routing. It shows 1/2 ...
-4
votes
0answers
82 views
Basic Trading Strategies based on mean-reversion / momentum [closed]
Can anyone give me some basic trading strategies which based on the theory of mean-reversion (like the bollinger band strategy)? Also, is there any basic trading strategy based on momentum trading? ...
3
votes
1answer
69 views
pricing of heat rate-linked derivative
It's a simplified model.
Suppose $U_t$ is a random variables subject to Lognormal($x_1$, $z_1^2$)distribution. $V_t$ is a random variables subject to Lognormal($x_2$, $z_2^2$)distribution. Suppose ...
0
votes
1answer
96 views
Grokking Stochastic Oscillator for Stocks
In software, I'm trying to implement the Stochastic Oscillator (see here), and I'd like to figure out a few things.
Let's say I use standard inputs 14, 3 and 3. If my 14 is for intraday ticks, what ...
4
votes
1answer
92 views
characterization of coherent risk measures
Suppose we are given a coherent risk measure $\rho:L^0\to\mathbb{R}$. Our probability space is taken finite, i.e. $\Omega:=\{\omega_1,\dots,\omega_n\}$ and carrying a probability measure $P$. With ...
2
votes
2answers
111 views
Quadratic variation quesiton
Here I have this question
(i) state Ito's formula
(ii) hence or otherwise show that
$\int^t_0B_s dB_s = \dfrac{1}{2}B^2_t -\dfrac{1}{2} t$
(iii) define the quadratic variation $Q(t)$ of Brownian ...
11
votes
5answers
675 views
What are the best Journals & Conferences in Quantitative Finance?
What are some of the most prominent journals, conferences and publishing venues in Quantitative Finance research? Where can I find information more information about them? (e.g. impact factor and ...
2
votes
0answers
54 views
How to simulate a Geometric Binomial Process with state/tie dependent increments?
I want to simulate a geometric binomial process with state/time dependent increments.
So the model is given by
\begin{align}R_t=\frac{X_t}{X_{t-1}}\end{align}
\begin{align}P(R_t=u)=p(X_{t-1},t) ...
8
votes
0answers
80 views
rugarch: Joint estimation leads to different results
I want to fit an ARMA-GARCH model to my data using rugarch package in R.
First of all, I look at the acf and pacf:
...
1
vote
0answers
31 views
Is there any reasonable way to short-sell Bitcoin [migrated]
It is not an official currency (yet?) but definitely has a market, and as such, I might be intrested in short-selling some. Are there any reliable, way to bet against it?
1
vote
2answers
307 views
Position management and market-making techniques
Suppose, there is a HF strategy (agent) that is based on order book microstructure, and it is able to make good executions locally. More formally, in average its execution price is better than asset ...
2
votes
0answers
82 views
Error term/Innovation process in ARCH/GARCH processes?
I am wondering about the distribution of the error term/innovation process in a ARCH/GARCH process and its implementation, I am not sure about some points. The basic assumption is
...
6
votes
1answer
171 views
Forecasting using rugarch package
I want to do one step ahead in-sample forecasts. My data can be found here. This is just a data frame with the date as the rownames.
I specify my model and do the fit and show the plots with
...
3
votes
0answers
103 views
Distribution of profit/loss for retail traders in FX
I've heard that 90% of retail investors in FX lose money. I want to analyze this in more detail.
Question: Is there some literature that describes the statistics of profit/loss for retail traders in ...
10
votes
1answer
206 views
+50
State-space representation of Ornstein–Uhlenbeck and CIR processes
I would like to estimate Ornstein–Uhlenbeck process' parameters via Kalman filter.
My process is the following one:
$\text{d}x_{t}=\alpha(\theta-x_{t})\text{d}t+\sigma\text{d}W_{t}$
I'm interested ...
1
vote
1answer
130 views
Yield on Fixed income futures
I am trying to get a simplified model of the DV01 for the US 10YR Note futures but I cant figure out what the current yield is. When I back out the implied interest rate on the current TYM3 futures ...
1
vote
0answers
46 views
mean variance minimizer
I need to use the lagragian multiplier to find the minimal martingale measure from the set of equivalent martingale measures. i formed the lagragian as L = $L(u(t,S(t)),\lambda) = ...
3
votes
2answers
744 views
Pair Trading Index Options
Suppose the trade is between Index Options of two Indices X and Y which are quite similar (but not exactly).
So for the equivalent strikes, one can quote option on Index X and cover in Index Y.
But ...
2
votes
2answers
327 views
How to compute interest rate futures spread ratio?
I am confused on how to compute the spread ratio.
For example, this is example I came across with my broker -
Consider 2 contracts Bobl and Euribor.
The DV01 of Bobl i 44.8 and Euribor is 25. To ...
4
votes
4answers
208 views
how to derive yield curve from interest rate swap?
According to some textbooks, to derive the yield curve, quote
overnight to 1 week: rates from interbank money market deposit,
1 month to 1 year: LIBOR;
1 year to 7 years: Interest Rate Swap;
7 ...
5
votes
2answers
340 views
What is the average stock price under the Bachelier model?
Let's say stock price follows following process:
$$dS(t) = \sigma dW(t)$$
where $W(t)$ is Standard Brownian motion. The initial level for the stock is $S(0)$. Define the average of stock price ...
1
vote
2answers
80 views
RQuantLib, Hoadley and Bloomberg YAS: fixed rate bond pricing differences?
I'm trying to price a fixed rate bond one year from now on.
The bond is the PEUGOT 7 ⅜ 03/06/18, whose ISIN code is FR0011439975. I'm using such a specific example because in this way everyone can ...
