1
vote
2answers
30 views

Initiating new orders with active “order-session” only?

Is it a must to establish "quote-session" & subscribing to quotes/market data before initiating a "New Order-single(Market-GTC)"? I actually can't see any use of quote-session for trading ...
0
votes
0answers
3 views

Proxying returns for PE and Alternative Investments

The data for these asset classes don't go back very far. Anyone have any methods to proxy their "index" returns for analysis?
0
votes
0answers
8 views

What business would you suggest to make a billion dollars from a $10 billion loan through SBLC - Standby Letter of Credit?

Luckily over a month ago, I found an interesting way to raise money even if I don't have a good project and that is through SBLC - Standby Letter of Credit. I saw numerous companies over the internet ...
2
votes
1answer
51 views

Incorporating Autocorrelation

I want to incorporate autocorrelation in my variance process when calculating the two-day variance of returns in a multivariate setting. First I will give an example in the univariate setting and I ...
0
votes
0answers
8 views

is it necessary to make currency change in fama french

is it necessary to change the currency of return and market cap from Malaysian currency to dollar , before dividing the stocks in small medium large.
0
votes
1answer
178 views

Augmented Dickey-Fuller Questions

I've been searching in bibliography about this test applied to an AR(p) model. $$Q(L)(Y_{t})=c+\epsilon_{t}$$ Where L represent the Lag Operator and $Q=1-\phi_{1}x-.....-\phi_{p}x^{p}$ is the ...
1
vote
3answers
93 views

reference for elementary mortgage math

I have a student doing a project on default rate & prepayment rate for mortgages. She would like to include a section on how the quantities affect pricing, & so would like to reference a ...
-1
votes
0answers
17 views

Python Calculating Drawdowns?

Simple question for a newb quant. I'm writing a program to calculate drawdown and duration for any given strategy. The problem is, if my cumulative returns start at zero and go negative immediately, ...
1
vote
3answers
55 views

Stock Exchange Software

For weekends project, I would like to setup a "simulated" stock exchange on my dev server (windows/linux), ie. running my own NYSE server ? what options do I have, open source wise (can be c# or java ...
0
votes
0answers
5 views

'Anchors' for REER/PPP estimates

I'm having trouble trying to understand the concept of 'anchors'. I came across the term in a sentence that said "we use a relative purchasing power parity approach that is based on the longterm ...
0
votes
0answers
15 views

Can the net portfolio's beta be different from the sum of long and short betas of the portfolio?

The way I calculate it is summing up the weighted beta of long and shorts but I saw a table where this wasn't the case so I am wondering if this is not the correct way.
3
votes
1answer
241 views

Differences between editions of Security Analysis by Graham and Dodd?

Where can I find a comparison of the contents, a list of everything that changed or the differences among the different editions of the book Security Analysis by ...
7
votes
1answer
177 views

Why Must Dividends Be Reinvested to Use Risk-Neutral Pricing?

Assume the price of a stock $S_t$ paying continuous dividend $a$ satisfies $$ dS_t = S_t\left((\mu - a)dt + \sigma dW_t\right). $$ The risk-neutral pricing formula states that if $\mathbb{Q}$ is any ...
3
votes
3answers
94 views

Why do we assume quadratic utility in portfolio theory?

In my text (Investments by BKM), the investor's mean-variance utility (given as $U = E[R] - \frac12A\sigma^2$) is stated to be the objective function we wish to maximize. Upon further digging, it ...
1
vote
2answers
38 views

How do they calculate stocks implied volatility?

I know the construction of Black-Scholes model and how do we solve it for an Implied Volatility. But in general, which option ...
1
vote
1answer
45 views

What does each bar in the empirical average eigenvalues spectrum of the correlation matrix of log-returns of stocks represent?

An example diagram, taken from this paper, looks like follows: What is its physical interpretation? The highest eigenvalue, the paper says, represents market mode. So, what does the difference in ...
-1
votes
0answers
13 views

1 year return as of middle of the month [on hold]

Assume that somebody tells you that 1 year return as of 3/15/2016 is 10%. Do you understand it as return for the period from 3/16/2015 to 3/15/2016 or as return for the period from 4/1/2015 till 3/15/...
-1
votes
0answers
14 views

Advice for pre-MFE prep [on hold]

I am an MFE aspirant and plan to apply for June '17 course at Singapore. I am currently working through Mark Joshi's reading list at http://www.markjoshi.com/RecommendedBooks.html. I would like to get ...
0
votes
1answer
19 views

How to interpret Carhart Four-Factor Model?

I am reading up on the Carhart Four-Factor model. Let's say there a regression of stock returns on alpha, RM-RF, ...
0
votes
0answers
16 views

Why is market cap in YQL other than on Yahoo finance web page?

I am trying to figure out what the market cap for Clearside Biomedical, Inc. (CLSD) is different when asking for it with YQL than on Yahoo finance. Correct is Yahoo finance: http://finance.yahoo....
1
vote
1answer
35 views

Calculating the greeks for Quantlib Python Swaptions

So I have created a Swaption object and can get the premium with the NPV() function. However, I would also like to calculate the greeks (eg. delta, vega). From some searching, I found that vega can ...
3
votes
1answer
90 views

How to price this basket option?

Underlying assets are three global stock index : Eurostoxx 50, HSI, KOSPI 200 Maturity: 36 months with advanced redemption date in every 6 months if prices of indexes satisfy given conditions at each ...
0
votes
1answer
19 views

How to get the average monthly percent excess returns for portfolios formed?

I'm replicating the Fama-French five factor model. I have formed factor portfolios. I'm not sure how to calculate the average monthly percent excess returns for portfolios. In other words, I want to ...
0
votes
1answer
21 views

Moody's, S&P, Fitch revenues FOR COUNTRY!

I need a variable which identifies the possible conflict of interests between credit rating agencies and countries, although they do not pay in order to be rated. Such a variable could be the ...
0
votes
1answer
19 views

How to interpret my Four-Factor Model results?

I am currently writing my thesis using the Carhart Four-Factor Model. I got my results but I am not sure how to word them. Coefficient on my SMB is 0.22. Wording: if small companies returns are 1% ...
0
votes
2answers
79 views

Compiling QuantLib example

I have followed the guidlines for installing QuantLib for mac from here http://quantlib.org/install/macosx.shtml and also fixed the flags using the commands: export CXXFLAGS = -stdlib=libstdc++ ...
2
votes
1answer
30 views

Overestimating or underesitmating risk?

This question might be silly, but I want to be sure of myself. If one has Value-at-Risk forecasts and there are zero VaR breaches (i.e. no return value is smaller than or equal to the VaR value) then ...
0
votes
1answer
26 views

Fame-French alpha for a single stock

I want to study the impact of corporate culture on risk-adjusted stock returns. After quantifying corporate culture I wanted to use panel methodology (I have a sample of 100 S&P500 companies over ...
3
votes
2answers
112 views

GARCH models vs VIX

I am examining how investor sentiment affects the probability of stock market crises. I am using methodology similar to this paper https://ideas.repec.org/p/dij/wpfarg/1110304.html. VIX (equivalents) ...
1
vote
2answers
359 views

“Hedging” a put option, question on exercise

I have a question on the following exercise from S. Shreve: Stochastic Calculus for Finance, I: Exercise 4.2. In Example 4.2.1, we computed the time-zero value of the American put with strike ...
0
votes
0answers
21 views

DOL (Department of labour) API does not showing most recent results when requested instead shows unauthorized

I have recently been experimenting with backtesting swing trading FX strategies using quandl economic data and now that the time to deploy these models has arrived I have signed up for a developer ...
0
votes
0answers
23 views

Extreme value theory expected value of GPD

We're using extreme value theory to model tail risks on our portfolio. After we choose the threshold, we fit generalized Pareto distribution to our data over the threshold. The expected value of GPD ...
0
votes
1answer
24 views

Is this type of currency index a thing already?

I was considering making some sort of free index data set that would basically attempt to estimate changes in the value of a currency against all other currencies. So I came to thinking if I took ...
0
votes
0answers
12 views

help with p&L vectors historical simulation

My question is about the calculation of the Value at Risk based on historical simulation. I have a table which contains the P&L-vectors of each day of one year. But I don't know what is contained ...
0
votes
0answers
29 views

How can I improve the pricing simulation of basket option?

I valuated the price of below basket option Underlying assets are three global stock index : Eurostoxx 50, S&P500, KOSPI 200 Maturity: 36 months with advanced redemption date in every 6 months ...
6
votes
4answers
4k 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 ...
3
votes
4answers
94 views

Are smart beta and risk parity the same?

So from what I have been reading online, smart beta ETFs aim to use a different type of weighting (instead of by market cap as traditional ETFs like SPY do to track an index) to achieve positive ...
0
votes
0answers
34 views

Upper bound for $\mathbb{E^P}[\,Y_t^4\,] $

Question: Suppose $X_t$ is adapted stochastic process satisfying the condition $$\int_{a}^{b}\mathbb{E^P}[\,X_s^4\,]ds<\infty$$ and let $Y_t=\int_{a}^{t}X_s dW_s$, where $W_t$ is a Wiener process ...
4
votes
4answers
91 views

Compare two time series with different frequencies

Lets say I have two time series $X_t$ and $Y_{t,q}$. As an examples, lets say $X_t$ is a series that measures year over year changes in the level of output of a good (say number of widgets). So $X_t = ...
4
votes
2answers
199 views

Tradable information from BS Implied volatility

These are two follow up questions to: Implied volatility as price transform I understand that the BS model is used as a 'Blackbox' that takes a market price and maps it in a 1to1 fashion to a 'BS ...
0
votes
0answers
88 views

Do Options and Other Derivatives follow any mathematical laws?

I'm interested in abstracting out some properties of options and other derivatives for software library I am implementing. I was wondering if options follow any sort of mathematical laws, for example, ...
1
vote
1answer
34 views

Define the order of GARCH(m.s)

I know that if the order of Arch(m) is over 3, we should use GARCH and GARCH(1,1) was proved to be the best. But was GARCH(1,1) proved to be available for any country's stock market? My result show ...
0
votes
1answer
75 views

Portfolio with a certain pay-off curve

I would like to find a relevant optimization option's portfolio models which can describe a certain pay-off curve (objective function) under same assumptions. For example, assumptions on how to limit ...
2
votes
2answers
37 views

How to replicate a correlation swap using only vanilla options and underlying

Assume I have two assets A and B that are positively correlated most of the time. I'm trading a strategy based on this correlation. Is there a way to protect myself in the event that the correlation ...
0
votes
0answers
26 views

Credit Risk Modelling for Portfolio of Bonds and CDS's

I have a portfolio of bonds and CDS's. I want to compute some statistical measures (VaR, CVaR, CreditVaR) which may help access the risk of the portfolio. So far, I have used the CreditMetrics (...
15
votes
3answers
288 views

Regression model when samples are small and not correlated

I received this question during an onsite interview for a quant job and I'm still scratching my head on how to solve this problem. Any help would be appreciated. Mr Quant thinks that there is a ...
0
votes
1answer
24 views

example regarding zero coupon bonds

This example is from Interest Rate Models: an Infinite Dimensional Stochastic Analysis Perspective by Carmona, René, Tehranchi, M R. I am wondering if the calculation is correct?, he says ...
1
vote
0answers
56 views

Estimate Volatility process

How can I estimate the process $\sigma_{t}$ given in the following paper: Spot volatility estimation for high frequency data. J. Fan, Y. Wang. Does anyone have an idea? Free source Edit: Iam very ...
3
votes
1answer
36 views

Expected number of days inside a corridor

Is there a simple (ish) approximation for the expected number of steps a random walk is within a set of bounds over a given time period? - in particular if i presume log normal and constant vol. If i ...
0
votes
1answer
22 views

Yield Curve Movement: Risk/Reward versus Safe Haven Demand & Monetary Policy Expectations

UK leaves Europe, credit rating get's downgraded. High uncertainty, higher perceived risk - based on just risk/reward, would expect yields on UK debt to increase. They did the opposite. UK government ...

15 30 50 per page