1
vote
1answer
90 views

GARCH model and prediction

I have a question about the prediction of volatility and returns of a time series. Basically it is a question about prediction in the ...
1
vote
0answers
26 views

Distribution of minimum of hazard functions

Suppose I have two random variables, $X_1$ and $X_2$, that are independent (but not identically distributed) and assume both have hazard functions $\lambda_1(s)$ and $\lambda_2(s)$, for $s > 0$. ...
0
votes
0answers
5 views

where to find the information to test option on bond future valuation model?

I am trying to use Quantlib to build a program to pricing option on bond future.I try to find information about it, but unfortunately I could not, so please enlighten me where could I find the ...
0
votes
1answer
24 views

Close price or adjclose price to calculate volatility?

To calculate volatility, which price in FTSE table is used? When do we use close price for calculating volatility? Do we use adjclose (adjusted close price) for calculating volatility as well? when ...
2
votes
1answer
28 views

Hidden Markov Models methods for selecting optimal number of states

Package RHmm (R) I have a vector which I fit into a hmm model in an attempt to select an optimal number of states for a hidden markov model. ...
3
votes
1answer
87 views

Portfolio optimization with Portfolio CVaR Constraint

I wanted to optimize a portfolio based on a portfolio-wide CVaR constraint (i.e. $CVaR_p \leq 0.08$). Unfortunately, I only find solution that minimizes the entire CVaR of the Portfolio. Do you mind ...
0
votes
0answers
22 views

How to lower the cost-per-trade? [on hold]

Looking at the cost-per-trade of most online brokerages, it seems that most charge upward of 2$ per trade. Clearly, institutional investors pay much less. Does anyone have experience in "how low" the ...
1
vote
0answers
29 views

What happened to Mountain View Analytics?

I stumbled over Thomas Cover's work on algorithmic portfolio selection; apparently, an outfit called "Mountain View Analytics" attempted to implement the suggestions from Cover's research. ...
1
vote
1answer
58 views

GARCH(1,1) good fit found, how to predict one day volatility ahead?

I used SPY data to fit GARCH(1,1) in my model. My data starts from Jan, 2000 until Dec, 2013. I compared the volatility using runSD on the 21 rolling window and GARCH(1,1). It looks a pretty good fit ...
1
vote
2answers
82 views

How to calculate the expected value of a function of a standard brownian motion (Wiener process)

Have a problem regarding the expected value of the Wiener process inside a function, namely: Compute $E[cos(W_t)]$. To extend my question, what is the general method of computing these E´s when it ...
1
vote
0answers
24 views

Quantitative method to select tactical bands for asset allocation

Do you know a study with a methodology for selecting tactical bands (or the allowed deviation from a strategic asset allocation)? Thanks
1
vote
0answers
19 views

Distribution of Brownian Bridge

I know from Karatzas & Shreve (1991) that a Brownian Bridge $B(t)$ from $a$ to $b$ on time interval $[0,T]$ satisfies: $B(t)=a(1-t/T) + b*t/T + [W(t) - W(T)*t/T]$, where $W(t)$ is a standard ...
0
votes
1answer
50 views

Option pricing within the Black Scholes model

Have a question regarding regular option pricing. In the standard Black-Scholes model, with interest r and volatility $\sigma$. Determine the arbitrage free price at t of an option which at $T>t$ ...
-2
votes
0answers
20 views

Expected return [on hold]

You are given the information below about daily stock prices and market prices. Risk free rate of 4%, calculate the expected return and standard deviation for Stock A and B, calculate the expected ...
3
votes
1answer
69 views

Estimating Beta from unevenly spaced price history

I have a certain non-stock asset that has 1 transaction every 1 to 8 months. I also have a price index of that class of asset compiled by another party on monthly basis. If I regress $price = \alpha' ...
2
votes
0answers
35 views

Effective simulation of multi factor Heston model

Im looking for a quick way (as in runs quick, not necessarily is quick to implement) of simulating multiple square root processes for a stochastic volatility model, flexible enough to allow for ...
-2
votes
0answers
22 views

Features for financial prediction [on hold]

What are some of the most popular features used for financial prediction in Machine Learning?
9
votes
4answers
4k views

Is there any thing out there as a substitute for KDB?

thanks a lot for your discussions on the original post. following your suggestions, let me re-phrase a bit : kdb is known for its efficiency, and such efficiency comes at a terrible price. However, ...
0
votes
0answers
10 views

How to drive simple european put price under Gabillon 2-factor model?

Can someone explain to me for a Simple European Put payoff P(S,T) = max(K-S,0)), how to get simulation and calibration models using analytical approaches, binomial and trinomial trees, multi-factor ...
-2
votes
1answer
39 views

What's the disadvantage of ARMA-GARCH model?

I want to ask why ARMA-GARCH is more and more popolar, and what's the advantage of this model.
2
votes
0answers
27 views

Does GARCH derived variance explain the auto-correlation in a time series?

Given a time series of $u_i$ returns where i=1 to t. $\sigma_i$ is calculated from GARCH(1,1) as $\sigma_i^2=w+\alpha u_{i-1}^2 +\beta \sigma_{i-1}^2$ . What is the mathematical basis to say that ...
4
votes
2answers
312 views

Deep bid ask orders

Why do I often see some very deep limit buys and limit sells in a limit book? For instance the bid-ask may be \$39.00-39.01 but I see some bids at \$20 or even \$10 and some ask at \$60 or even \$500. ...
2
votes
2answers
58 views

When can a derivative be considered to be path dependant?

The typical example of path dependant derivatives are knock-ins and knock-outs. At the same time vanilla American options can also be considered to be highly path dependant. Does a more or less ...
1
vote
1answer
37 views

FX Rate dynamics

Let's suppose USD/EUR price in USD follows a GBM with $$ dS_t = rS_tdt + \sigma S_tdW_t $$ What process does EUR/USD follow in EUR?
4
votes
0answers
43 views

Attribution of unusual persistence in noncompetitive TAQ quotes levels?

I am looking at one day of AAPL quotes (3 Dec 2012) from TAQ to examine quote-based high frequency vol estimators. However, I found that a number of exchanges, when quoting noncompetitively, seem to ...
2
votes
1answer
45 views

Calculating instantaneous forward rate from zero-coupon yield curve

I have a big dataset containing zero-coupon bond yields with different relative maturities. I fix a time horizon on my dataset and I want to calculate instantaneous forward rate. I'm going to write ...
3
votes
1answer
48 views

Effects of Fund manager reputation, track record, and skill on funds returns and capital flows

I am compiling a list of all studies that examine the effects of fund manager reputation, track record and skill on fund returns and capital flows across both mutual funds and hedge funds. The purpose ...
4
votes
4answers
5k views

What is the role of Credit Valuation Adjustment (CVA) desks in investment banks?

What does a CVA (Credit Valuation Adjustment) desk do, and how are its activities different from other trading desks? Can you work as a quant for a CVA desk and consider your role "front office"?
2
votes
1answer
109 views

Black Scholes vs Binomial Model

I'm trying to confirm my understanding of the 2 models. It is my understanding that the black-scholes is a special case of a binomial model with infinite steps. Does this mean that if I were to start ...
0
votes
0answers
64 views

Is there a Newey West like correction for overlapping data correlation estimates?

I already posted a related question a while ago but was unsure if I should post within the same question. I want to estimate mulitperiod asset return correlations and test if there are significant ...
2
votes
1answer
228 views

Robust Returns-Based Style Analysis

Sharpe's Return-Based Style Analysis is an interesting theory but flawed in practice when working with long-short funds or funds that are changing strategies over shorter periods of time due to the ...
9
votes
5answers
4k views

Should I use an arithmetic or a geometric calculation for the Sharpe Ratio?

What are the advantages/disadvantages of using the arithmetic Sharpe Ratio vs the geometric Sharpe Ratio? Is one more correct? Or is one better in certain circumstances?
11
votes
5answers
2k views

Should Sharpe ratio be computed using log returns or relative returns?

I am trying to reconcile some research with some published values of 'Sharpe ratio', and would like to know the 'standard' method for computing the same: Based on daily returns? Monthly? Weekly? ...
0
votes
0answers
17 views

Real returns vs. inflation as an independent variable

Assume a model like this, basically explaining stock market returns with a bunch of stuff: ...
-1
votes
1answer
56 views

Were can I find Historical Interest Rate Data?

Where can I find American historical Savings Account interest (Bank) rates? If you can, please attach corresponding links.
3
votes
1answer
434 views

How is the default probability implied from market implied CDS spreads for CVA/DVA calculation?

From point 38 on P.17 the default probability can be implied from market implied CDS spreads. "Macro Surface" method is mentioned, but I cannot get any clue of what it is? Where do I get the acedemic ...
0
votes
1answer
31 views

What are the good book to understand economics? [on hold]

I am currently studying managerial economics by W. Bruce Allen. The book is good. Are there any good book with quizzes , that makes economics sweeter? Books that relate to real world facts and figure ...
-1
votes
0answers
20 views

“Equivalent” data sets despite different numbers

Are the historical data sets of short term treasury bill rates considered the same as the historical data sets of savings account interest rates because by definition they are both risk free rates of ...
2
votes
2answers
143 views

selecting test data for neural networks

I have been working on a neural network based on certain technical indicators. As people familiar with neural networks would know after developing a hypothesis, the developer is also supposed to ...
0
votes
0answers
28 views

PCA related Query

I am currently working on a project in grad school where I am using PCA Approach. I have 4 stocks. I used R to generate Eigen Values, Eigen vectors Eigen Values Number Value Diff ...
2
votes
0answers
24 views

Risk neutral measure for jump processes

How can I construct risk neutral measure for option price if active price form is: $$S(t)=S(0)\left[\exp{σW(t)+(α-βλ-1/2σ^2)t+Q(t)}\right] ?$$ Here $W(t)$ is a Brownian motion and $Q(t)$ is a ...
2
votes
3answers
123 views

Why are short expiries associated with more pronounced volatility skews?

I've noticed that for a given strike price, the shorter expiration dates of options have more pronounced volatilities why is that?
5
votes
1answer
121 views

How to perform Empirical Mode Decomposition?

I am trying to use the EMD applied to EURUSD open price to train a machine learning algo (RVM). I have run only once the EMD on my training set and once on the training+test set. The results on the ...
-3
votes
1answer
50 views

if technical analysis rules for predict stock prices is unique for all cases, why should we learn neural networks? [closed]

Is there any neural network out of the box tool that was already learned all technical rules by feeding many stock trading data?
-4
votes
0answers
34 views

Financial Engineer as a career [closed]

I'm now studying in Bachelors in economics.Can I become a financial engineer with this degree?? Why or why not?? And Also what is the minimum GPA do I need to get to that program
0
votes
1answer
24 views

PWIQF excercise solution

I am software developer with no previous experience or knowledge in finance and have recently been starting to build my knowledge in this area. I am working through the book: Paul Wilmott Introduces ...
0
votes
0answers
40 views

How would you correct a GARCH model to deal with non mean reverting volatility?

I am currently attempting to model and forecast volatility of bitcoin but have not been able to find a GARCH model that fits the data appropriately. I've used tick data sampled at 1 hour intervals ...
0
votes
0answers
36 views

full tick and retail tick data feed difference

Full tick institutional data feed like elektron from reuters, how is it different from retail tick data feed & which charting softwares work with elektron data feed
1
vote
1answer
72 views

source for yahoo finance equities volume traded

I am looking at some academic studies regarding volume of stock traded. Yahoo Finance is used as the data source for volume. Does anyone know where the volume figure comes from? Is it a compilation ...
5
votes
1answer
68 views

Usage of Brownian Bridge?

I was recommended to read something about Brownian Bridge. Could someone familiar with BB give some recommendation? It was mentioned that BB benefits in 2 places BB could reduce the simulation ...

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