0
votes
1answer
81 views

EM for conditional Gaussian model

Let $$X_1\sim N(\mu_{X_1},\sigma_{X_2}^2)$$ $$X_2\sim N(\mu_{X_2}, \sigma_{X_2}^2)$$ where $\mu_{X_2}=c+aX_1$. Also, I have data $D$ (with missing values on $X_1,X_2$). How can I update/estimate the ...
6
votes
1answer
1k views

How to calculate the JdK RS-Ratio

Anyone have a clue how to calculate the JdK RS-Ratio? Let's say I want to compare the Relative strength for these: EWA iShares MSCI Australia Index Fund EWC iShares MSCI Canada Index Fund EWD ...
1
vote
1answer
120 views

Monetary Policy and the Yield Curve PART TWO

The Fed has a number of tools/targets with which they manage monetary policy. I'm looking to refine a concise summary of them and looking for guidance/correction/validation. Think I understand these ...
0
votes
0answers
5 views

Matlab Neural Network data organization

I'm trying to train a NARX network using time series data. I've got 80 sets of data I'd like to train the network with. For clarification, one set of data comprises of 6 financial indicators of X ...
1
vote
0answers
6 views

Determining discount factors for non-standard maturities

Let's say we'd like to find a par rate for a 1 month forward starting 20-year interest rate swap. In this case, we'd need to discount cash flows for the payment periods shifted +1 month from standard ...
1
vote
1answer
13 views

Intraday stock prices API

I am looking for an API to request intraday data for the London stock exchange. I have seen products like eSignal but this seems to include a lot more than the simple data as XML or JSON and is fairly ...
189
votes
26answers
125k views

What data sources are available online?

What sources of financial and economic data are available online? Which ones are free or cheap? What has your experience been like with these data sources?
1
vote
0answers
17 views

VAR FPCA analysis paper replication

I've been trying to replicate the following publication: toronto.edu/sjaimung/papers/VAR-FPCA.pdf but I havent been able to get the same results estimating the $\beta_{k}$ parameters. First, I got ...
0
votes
0answers
13 views

Calculate the 0.50 Beta of an Index

I am trying to come up with a benchmark 0.50 Beta S&P 500 Index. I have 1 year time series data of 500 constituents of the S&P 500 Index. Using the standard stock beta calculation method, ...
4
votes
1answer
61 views

Where can I get two to four years worth of historic data news for companies included in DJ and S&P?

Where can I get two to four years worth of historic data news for companies included in DJ and S&P? I mean not just prices historic data but also news. Preferably for free and in CSV or any ...
-1
votes
0answers
10 views

Options order “logs” - how is it named? And is it somewhere online? [duplicate]

I try to find somewhere "logs" of options orders. I mean - when which order was posted for which option and what size. AFAIK, it is named "ticker tape" for stocks; or level-2.. But is there such ...
1
vote
2answers
22 views

How can you find change in working capital and capital expenditures without a balance sheet?

I'm working with the following information trying to work through a valuation exercise and I'm absolutely stuck. How can I find ∆WC and CAPX with this information?
2
votes
1answer
41 views

Implied Vol in Different Payoffs

Let's say I have a black box stock price model I run Monte Carlo on to estimate European call prices. For a given strike $K$ and expiration $T$, I then back out the Black-Scholes implied volatility $\...
0
votes
1answer
27 views

How to price a reversion?

A reversion is the right to exclusive possession of a property after a specified date (‘reversion date’). Assume no ground rent is payable. Its complement is a leasehold, the right to exclusive ...
2
votes
2answers
43 views

How to take care of newly auctioned yield/price in fixed income data

This is a financial data cleaning question. I have raw price and yield data for US cash treasury across the curve. In the time-series there are jumps on the day after the treasury auction results come ...
3
votes
5answers
840 views

Why are Quantquote historical trades different vom ActiveTick historical trades

I bought quantquote.com historical data of AAPL on second basis. To comapre I also got activetick.com For activetick I used the historical trading API. If you look at around 15:13:53 you see that ...
1
vote
1answer
84 views

Close form solution for Geometric Brownian Motion

I have a very fundamental problem, please help me out. I am little confused with the derivation for the close form solution for the Geometric Brownian Motion, from the very fundamental stock model: $$\...
2
votes
1answer
53 views

Time series of European sovereign credit ratings by the Big Three?

I would need time series, from 2000 to 2015 (if possible) of sovereign credit ratings by Moody's, S&P and Fitch. Could you suggest me a source or provide me such a dataset? Thank you very much!
6
votes
4answers
187 views

How do you check your option calculations?

I'm implementing a bunch of different algorithms to price options/find Greeks: finite difference, Monte Carlo, binomial... I'm not really sure how to check my calculations. I tried using QuantLib to ...
4
votes
2answers
76 views

What is the effect of mean-reversion on an upper barrier knock-out call option?

Consider a mean-reverting normal model for an underlying $dX^{(1)}_t=-\kappa X^{(1)}_tdt+\sigma^{(1)} dW^{(1)}_t$, for fixed time-independent constants, $\kappa$ (mean-reversion) and $\sigma^{(1)}$ (...
0
votes
0answers
11 views

volatility of a mid curve option

Question: When checking the volatility surface for, let's say, a swaption, where the the option expires in 1Y and the underlying starts in 1Y and ends in 5Y, one would check the volatility surface ...
1
vote
1answer
36 views

Stratonovich Integral and Ito's lemma

Let $(\Omega, \mathcal{F},\mathbb{P},\{\mathcal{F}\}_t)$ be a filtered- probability space and $W_t$ be standard Wiener process. I want to show stratonovich integral of $W_t$, i.e $\int_{0}^{t} W_s ○ ...
0
votes
3answers
53 views

Skewed Student t distribution MLE and Simulation

I have Financial LOB data and I feel that a skewed t distribution will fit best. I have a problem trying to find the parameters using MLE numerically since Matlabs built in function does not allow for ...
0
votes
1answer
12 views

Where to source security ID data (ISIN, CUSIP)?

I am lookign for a list of ISINs or CUSIP for all equity securities traded on the NASDAQ and NYSE. while not quantitative, this question is directly related to the data collection process of many ...
0
votes
2answers
24 views

How to choose the correct ticker for rates?

I would like to calculate funding liquidity following Asness/Moskowitz/Pedersen (2013). Among others, they calculate the LIBOR minus term repo rate, and the Swap-T-bill, LIBOR minus interest rate ...
1
vote
0answers
50 views

QuantLib FittedBondDiscountCurve fitResults [Error]

I try to use FittedBondDiscountCurve with NelsonSiegelFitting, but I faced with error when call fitResults() method: ...
-1
votes
1answer
31 views

Comparison of quality across different fundamentals data sources?

There are a variety of different mechanisms and rules used by each fundamentals data provider to standardize and report company fundamentals. For example, the transformation of reported statements to ...
0
votes
1answer
15 views

Where do I get historic performance data of the MSCI World Growth/Value index

I'm looking for a free data source of historical performance data of the MSCI world Value- and Growth index. The data should be calculated with reinvested dividends.
0
votes
1answer
30 views

What do you call a group consisting of stocks, etfs, and futures?

In the command line interface to my program, the user can create a basket of stocks, etfs, or futures by saying: basket = stocks basket = etfs basket = futures basket = options But I ...
-1
votes
1answer
34 views

Where can I find CMS swap trading prices?

I am writing a paper about CMS swap. To do so, I'd like to compare different theoretical pricing methods of these instruments to the "real prices" i.e. prices used in the marketplace. But I don't ...
3
votes
1answer
26 views

Risk Free Rate vs LIBOR

Theoretically, in pricing derivatives, most textbooks refer to the risk-free rate. What is obtainable in practice? The risk-free rate or the LIBOR rate?
2
votes
1answer
47 views

CBOE Index Minute Data

I am doing a small research and looking for a place to purchase historical minute CBOE Index data. I am interested in: VIX - CBOE Volatility Index VVIX - CBOE VIX VOLATILITY INDEX VXV - CBOE VIX ...
0
votes
1answer
81 views

Stress Testing for VaR

I am trying to perform stress testing for VaR and have taken into consideration two methods:- 1. Sensitivity analysis 2. Historical scenario analysis. According to the Derivatives Policy group we ...
0
votes
1answer
15 views

Historic and future (next) round of machine readable dividend info

Is there a source of historic dividend dates, ex-dividend dates and dividend values? Also, the next dividend date / ex-dividend date. Ideally in a machine readable form? The publically available APIs ...
1
vote
1answer
120 views

Given Brownian motion $B_t,B_s$ and $t>s$, how to calculate $P(B_t>0,B_s<0)$?

As stated, this is an interview question. Given Brownian motion $B_t,B_s$ and $t>s$, how to calculate $P(B_t>0,B_s<0)$?
0
votes
2answers
54 views

Deduce expected exposure profile from option/structure delta?

I am thinking about whether there exists a relationship between the delta of an option (or any structured derivative) and it's expected positive/negative exposure? An intuitive question would be ...
1
vote
3answers
92 views

Is there a way to meaningfully generate daily returns from monthly?

I have a set of 7 investments in a portfolio and I need to optimize the weightings based on some exposures to various markets/styles/economic factors. I was hoping to do some sort of simple exposure ...
0
votes
1answer
47 views

Is there a better, more rigorous explanation for why this partial derivative is 0 using Ito's Lemma?

I encountered the following slide in a lecture on Ito's Lemma. The lecturer explained that $$\frac{\partial V}{\partial t} = 0$$ because the first two derivatives on the slide already took into ...
0
votes
3answers
203 views

Step By Step method to calculating VaR using MonteCarlo Simulations

In trying to find VaR for 5 financial assets with prices over a long period of time(2000 days worth of data) how would I do the following: Carry out monte-carlo simulation in order to find a VaR ...
2
votes
2answers
32 views

forward space vs zero space in finance jargon

Would anyone know what does it mean to value an asset in "forward space" versus "zero space" ? where does one start from when trying to dig into the meaning of this? Thanks in advance.
0
votes
0answers
13 views

Systematic credit-risk factor estimation / retail portfolio

I have a question in the field of credit risk models. I work in a small bank, and we are planning to establish the IRB Approach (Credit Metrics). For this reason, I need to estimate systematic risk ...
0
votes
1answer
10 views

Fit Simple VAR model in Matlab

I've been trying to fit the following model in Matlab: $\beta_{t}=a+Mt+A\beta_{t-1}+\epsilon_{t}$ Where a is a constant, M is a vector of trend parameters and A a cross-factor interaction matrix. I'...
1
vote
1answer
36 views

Show if Arrow price vector $\pi$ exists, then the law of one price hold

Now, the proof I have read goes like this: Take assets 1 and 2, entirely identical. By assumption there is a pricing vector, i.e. $\sum_s\pi_sd^1_s=q^1$ and $\sum_s\pi_sd^2_s=q^2$ where $d^i_j$ is ...
1
vote
0answers
21 views

ARIMA prediction for currencies

I was browsing TradingEconomics.com and I came across their forecast models which immediately captivated my interest. They describe them as "projected using an autoregressive integrated moving average ...
2
votes
1answer
307 views

Send TRAIL STOP order when price hits a certain level, with IB TWS

Posting here after searching around and not finding any responses to basically the same question that I saw on EliteTrader, with another variant posted 10 years ago (update: the same question on Money)...
0
votes
0answers
6 views

Nasdaq 100 Index Liberty Media Tracking Stocks

Having trouble getting the exact changes to Nasdaq 100 Index for Liberty Media split. What were the Liberty Media related stocks in Nasdaq 100 before April 18th 2016 and then after April 18th 2016 ? ...
0
votes
1answer
266 views

Can I use PyAlgoTrade for Forex?

Is it possible to use PyAlgoTrade for Forex related algorithms? If it is, please point me in the right direction on how to get PyAlgoTrade to work on Forex data.
0
votes
1answer
76 views

Can someone check this boundary condition for me?

At the moment I'm comparing plots between the implicit numerical Black-Scholes PDE and the Monte-Carlo Method for the Black-Scholes equation. However, for the particular boundary condition I'm using I'...
2
votes
1answer
24 views

Forex Market Timezones

I need to store OHLC data from the Forex Market. I live in the UK which is presently in British Summer Time +1. The Forex Market EST, which is normally -5 from GMT. I'm not sure how Eastern ...

15 30 50 per page