# All Questions

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### How can I export intraday frequency data from Bloomberg?

For a research project, I would like to work with some intraday asset prices. I have already successfully exported the corresponding data at daily frequency, using the Excel API, but somehow this ...
153 views

### What would be considered a good/competitive throughput for a FIX engine?

I am writing my own FIX engine and I am in the process of running some benchmarks. I am not sure whether my results are good or bad. Can someone with experience in the area provide me with some ...
101 views

### What are the canonical books for statistics applied to finance?

I have some decent knowledge of probability, stochastic processes and option theory, however I do not have a proper background in statistics. Now I am working quite a lot with data, and trying ...
167 views

### ex ante tracking error correlation between funds

I have two portfolio's called Comb & Global. They both have the same investable universe lets says 3000 stocks & are measured against the same benchmark. So it is possible that both funds hold ...
44 views

### Does it make sense to use upward and downward volatility in option pricing?

Historically stocks have a higher likelihood to increase in price than to fall in price. As such would it make sense to split a stocks volatility measurement into upward and downward components? For ...
17 views

### How to estimate CVA by valuing a CDS of the counterparty?

I'm trying to estimate CVA of one of my derivatives by valuing a credit default swap (CDS) of my counterparty. However, I don't know how to set up the CDS deal (notional amount, maturity, etc.). ...
126 views

### Girsanov Theorem and Quadratic Variation

Girsanov theorem seems to have many different forms. I've got a problem matching the form in wiki to the one in Shreve's book, due to the difficulty of quadratic variation calculation. Below is the ...
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### Hot do I calculate an effective forward rate? [on hold]

I have to find nominal and effective forward interest rate for 3M-9M term, knowing that current interest rates are: 3M - 2.05% 6M - 2.04% 9M - 2.03% 12M - 2.02% For a nominal interest rate I just ...
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### Longer term average probabilities of fills at fx ECNs?

I am wondering whether anyone can share experiences and longer term average probabilities of fills when quoting inside the spread at various fx ECNs. I need to make an assumption of the probability of ...