2
votes
1answer
141 views
+50
Malliavin Calculus
From a quant point of view, how would you explain Malliavin calculus in few words ? I have the level to take these courses, but won't be able to do it next year, so I want to know what I am missing.
...
0
votes
1answer
12 views
Approximating a function with trignometric polynomials
Let’s say I have a function, which is a time series of data points, I am trying to find a polynomial of fixed sine's and cosines that bests approximate the data points. I know Chebyshev Approximation ...
6
votes
8answers
6k views
Strategy of Renaissance Technologies Medallion fund: Holy Grail or next Madoff?
Renaissance Technologies Medallion fund is one of the most successful hedge funds - ever! Yet it is very secretive.
Do you have information on the strategy used that is not yet mentioned in the ...
1
vote
1answer
27 views
Heston - How important are the initial guess in calibration and if it is very important, what would be a good way to get initial guess?
So I have been trying to implement a simple Heston calibration using crude MC with 10k scenarios and 1000 time steps and the best I could get is 3x of the observed implied volatility.
I suspect it ...
3
votes
0answers
5 views
mean variance hedging a paper by Jeanblanc, Mania, Santacroce and Schweizer
I'm reading the following paper about mean variance hedging. For a given random payoff $H\in L^2(\mathcal{F}_T)$ we want to minimize the following:
$$V^H_t(x):=\operatorname{ess}\inf_{\theta\in ...
3
votes
7answers
905 views
Recommendation for a book on CVA/Credit Risk and PD/LGD/EAD modeling?
I need suggestions for some good books on the following topics:
Credit Value Adjustment (CVA) / Credit Risk
Probability of Default / Loss-Given-Default / Exposure-At-Default modeling
Any pointers ...
3
votes
3answers
122 views
Are minimum-risk and minimum-variance portfolios equivalent?
When reading a paper by DeMiguel and Nogales (2007; http://papers.ssrn.com/sol3/papers.cfm?abstract_id=911596), I came across the following formulation:
Comparing the proposed minimum-risk ...
2
votes
0answers
36 views
How to calculate the conditional variance of a time series?
I am reading a paper where the term conditional variance is mentioned, but I am not really sure what is meant by this and how this can be calculated:
Fig. 2 shows the conditional variances of the ...
-2
votes
0answers
15 views
Understanding interest rate [closed]
When a central bank offers a high interest rate (such as Turkey), doesn't it make it go bankrupt? where is this money comes from? isn't that like differed money printing (paying the interest)?
Thank ...
1
vote
1answer
39 views
Is there a name for, or any research on, a system where you try to predict future price by finding a similar price history in the past?
Allow me to explain.
You look back from some period to the present. Say a week ago to now, using a per-minute view. You then crawl through your database of past price data, and you try to find a ...
0
votes
0answers
31 views
Where do “Forex economic calendars” get their data?
Where do all these "Forex economic calendars" get their data from?
http://www.fxstreet.com/fundamental/economic-calendar/
http://www.forexfactory.com/calendar.php
http://www.dailyfx.com/calendar
...
0
votes
0answers
18 views
% Return on backtest with variable positions and notional amounts
I have a 14 year backtest for a systematic strategy that uses a static notional per each position. On any given day I could have multiple positions long and short and notional long and short.
How do ...
3
votes
3answers
115 views
Why Drifts are not in the Black Scholes Formula
This question has puzzled me for a while.
We all know geometric brownian motions have drifts $\mu$:
$dS / S = \mu dt + \sigma dW$
and different stocks have different drifts of $\mu$. Why would ...
3
votes
0answers
58 views
At what volume would you move the price at the opening auction?
At many exchanges the opening price is set using an auction which takes place pre-opening (see here for example). During the auction you are allowed to place orders according to certain rules (you ...
1
vote
1answer
36 views
why banks shall keep short term gap position low?
I'm reading "Insights for Bank Directors" (http://www.stlouisfed.org/col/director/reference_view.htm), a good introduction to commercial banks, based on a virtual bank "Insight".
It talks about Gap ...
4
votes
2answers
1k views
using quantlib function in my c++ program
I want to include the QuantLib function for option greeks calculations in my own C++ code.
My question is: can I just include those functions? I don't want to use the rest of their stuff.
I obviously ...
1
vote
0answers
26 views
Heston MC Simulations - Speed up in Matlab
At the moment I am running a Quad Core Xeon PC with 12GB of RAM doing crude MC with 10k scenarios and 1000 time steps. And using fminsearch for calibration, and it takes about half an hour to an hour ...
6
votes
1answer
82 views
Why using 3 months forward to hedge fx risk on a fund of funds portfolio?
In my previous job, a fund of funds, they used 3 months forward FX contracts (renewed every 3 months) to protect their portfolio against currency risk.
If I do understand why forwards are useful for ...
2
votes
0answers
44 views
Multi Fractals Models
From a quant point of view, how would you explain Multi Fractals Models in few words ? I have the level to take these courses, but won't be able to do it next year, so I want to know what I am ...
-4
votes
0answers
29 views
Forward contract question [closed]
Ok one last question today.
We consider a contract BF with payoff
$$BF_T = \max\lbrace S_T, F_S(0,T)\rbrace - K_0$$.
The parameter $K_0 \gt 0$ is fixed in such a way that, under no arbitrage, the ...
-4
votes
0answers
22 views
Collar Option - question about payoffs [closed]
Perhaps the question on Black Scholes of Collar options covers this question. But I ask the folllowing three anyway.
Let define a Collar Option, with maturity T and parameters $L_2 \gt L_1 \gt 0$, ...
4
votes
3answers
108 views
How to calculate the implied volatility using the binomial options pricing model
I want to calculate IV for american options with dividends. So far I have found algorithms to calculate the option price given a volatility.
Please can you point me to paper or implementation (R, ...
0
votes
0answers
69 views
Evidence of long run manipulation by a large player?
Clearly, it doesn't even take a large player in terms of percentage of total inventory relative to total underlying as in the case of the flash crash to push around a market in the short run, but I ...
0
votes
0answers
29 views
Continuous futures time series
Hi I did go through the previous posts on this topic but still confused. I am basically researching on some ideas and need continuous time futures data. At any point in time I basically have three ...
5
votes
2answers
319 views
Problems with dealing with GARCH models and intra-day data
Short question would be "Which type of model from GARCH family is most suitable for modeling 5-minute data returns ?" but I've added some story to it.
Long time ago I was preparing my thesis, one ...
-5
votes
0answers
43 views
Asymmetric pay-off function [closed]
Does the calculation of variance and standard deviation in, say, a coin flip assume a symmetric pay-off function? If the pay-off function is asymmetric, is standard deviation a meaningful measure of ...
1
vote
1answer
140 views
Volatility Estimation
Let say I ran two strategies and got its weights at each rebalance and equity curves. I would like to combine these systems to get the performance if I were to trade them concurrently from a portfolio ...
0
votes
1answer
139 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 ...
2
votes
0answers
92 views
Is it possible to model general wrong way risk via concentration risk?
General wrong way risk is defined as due to a positive correlation between the level of exposure and the default probability of the counterparty due to general market factors. (Specific wrong way risk ...
2
votes
1answer
84 views
Block Bootstrapping Relative Returns
I want to run a block bootstrap on the relative returns, but I'm not sure if subtracting the mean is important.
A bootstrap sequence is a synthetic sequence generated using the original sequence. If ...
17
votes
8answers
6k views
How should I store tick data?
How should I store tick data? For example, if I have an IB trading account, how should I download and store the tick data directly to my computer? Which software should I use?
0
votes
4answers
1k views
What are the common trading systems for hedge fund automated trading?
Is there any common trading system that is implemented by hedge fund, especially for equity or forex automated trading? I know some big names like Sungard and Bloomberg. Is there any other choices ...
1
vote
4answers
300 views
How much does a Grid Computing software cost?
So far, I have been performing computations either on my own computer, or using an in-house scheduler that basically chooses a one of the employees' available workstations to run tasks in the ...
-5
votes
0answers
51 views
How and who updates the currency exchange rate? [closed]
I am a newbie in this field. We know that the currency exchange rate is continuously updated. My confusion is about
who updates the currency exchange rate?
how does she/he/it decide the rate? Based ...
-4
votes
0answers
76 views
What are some good HFT open source project? [closed]
Is there any good open sourced HFT projects, either whole system or components, that one should keep tracking?
-5
votes
0answers
46 views
The Next Step after Options Theory [closed]
Ok so I studied the maths of options pricing, Black Scholes, finite difference methods etc. I can comprehend the different trading strategies....So why am I still confused. Basically there is such a ...
2
votes
1answer
58 views
Continuous returns for negative roll-adjusted futures data
I've generated roll adjusted notional futures data by adding a roll adjustment to the settlement price then multiplying by contract multiplier through time. For example, for crude oil CL, on 15 March ...
-4
votes
0answers
49 views
Is it legal to download from NASDAQ.COM? [closed]
I was trying to get massive amount of information(Fundamentals of about 7000 tickers) from www.nasdaq.com. Is it legal to perform it by automatic methods in a short amount of time (~15minutes)? Any ...
4
votes
0answers
66 views
Black-Scholes PDE to heat equation, nonconstant coefficients
Can someone provide me with details or a reference on how to transform the Black-Scholes PDE with nonconstant coefficients (i.e. $r=r\left(S,t\right)$, $\sigma=\sigma\left(S,t\right)$) to the heat ...
1
vote
1answer
149 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 ...
4
votes
3answers
279 views
Data Synchronization
I'm working on market trends. I have daily prices for 33 assets from different markets. I was wondering if there is a way to cancel the effects of different opening/closing times.
I have been told ...
4
votes
1answer
70 views
Futures Contract Fair Values Accuracy
I have recently been tasked to work on fair value derivation for futures on equity indices (non-US). I know that the FVD function in Bloomberg can have a huge discrepancy from markets: where cheap is ...
0
votes
1answer
45 views
Required Rate of Return vs Expected Return
I faced a problem that gives the following information:
market risk premium, and risk free rate is given
You currently have a portfolio of amount of x, beta b1.
Now there is a new investment ...
2
votes
2answers
344 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
0answers
36 views
Best way to test the filter rule for buy and sell signals [closed]
I am a masters student, and for my thesis I am examining the opportunity for profit using technical trading rules in the stock market. I am concentrating on the filter rule which says "A stock should ...
3
votes
1answer
76 views
Volatility Return Distribution/Garch Modeling
For simplicity sake, if stock returns are normally distrusted, would that imply that second moment, variance/volatility, is chi-squared distrusted? If so wouldn't that imply the statistics(employed to ...
3
votes
1answer
76 views
Is the price of European put option monotone in volatility if we replace BM in Black-Scholes with a general Levy process?
Under the Black-Scholes model, we have the European put option is $\mathbb{E} [e^{-rt}(K-S_t)]$, where we take $\log(S_t)=X_t$ and $dX_t= \sigma dW_t - \dfrac{1}{2}\sigma^2 dt + rdt$. Here the option ...
9
votes
1answer
1k views
Easiest and most accessible derivation of Black-Scholes formula
I am preparing a QuantFinance lecture and I am looking for the easiest and most accessible derivation of the Black-Scholes formula (NB: the actual formula, not the differential equation).
My favorite ...
5
votes
1answer
95 views
How to prove that a set is upward directed? (american options)
Let me first introduce some notation. We are working with a filtred probability space $(\Omega,\mathcal{F},\mathbb{F},P)$ over a time period $[0,T]$, where $\mathbb{F}$ satisfies the usual ...
3
votes
2answers
300 views
Usage of Bollinger bands
I looked through several sources on Bollinger bands and I do not see clear recipes of their usage. Wikipedia says "The use of Bollinger Bands varies widely among traders. "
QSE discussion seems also ...
