0
votes
0answers
4 views

ARIMA prediction for currencies

I'm fairly to quantitative finance and programming and general, so I apologize forthright for the novice question if it is so. I was browsing tradingeconomics and I came across their forecast models ...
0
votes
0answers
2 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'...
0
votes
0answers
3 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
0answers
6 views

caluclate 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, ...
0
votes
1answer
36 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: $$\...
0
votes
1answer
22 views

IR parity theorem

I wonder how post crisis multiple curve approach influences the ir parity theorem: $${\displaystyle (1+i_{\$})={\frac {E_{t}S_{t+k}}{S_{t}}}(1+i_{c})}$$ Let's say that $i_\$$ is USD Libor 3m rate ...
0
votes
0answers
11 views

How do I know if my inputs converge for explicit FDM?

I have the following toy inputs for European call option: ...
0
votes
1answer
24 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
14 views

Acceptable difference of Bermudan Swaption prices computed under 1 Factor Hull-White and Libor Market Model

What is an acceptable difference between the Bermudan swaption prices computed with the 1 factor Hull-White model and the Libor Market model? Details: The set of underlying calibration ...
0
votes
1answer
56 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'...
0
votes
2answers
23 views

How to compute treasury yields as reported in the online financial newspapers?

I am trying to compute treasury yields (with different data) similar to what has been done by bloomberg, yahoo finance, msn money, and wall street. I find the data reported by these are not the same ...
0
votes
1answer
25 views

SABR model: from calibration to mapping the smile/skew in a graph

Let's say that I have a calibrated SABR model in FX market (eg for Eurodollar options). So I have estimated values of beta, rho, alpha, and vol of vol. How do I map the calibration in a (strike, vol)-...
0
votes
1answer
54 views

Time Value of Option

I am working on time value of option, and especially with dividend, and I have the following questions. First if the consider the Black Scholes models with no dividends and free interest rate $r = 0$ ...
0
votes
1answer
52 views

Does the partition of time in a simple process depend on the omega in probability space?

In Steven Shreve's book "Stochastic Calculus for Finance 2", page 126, a simple process $\Delta(t)$ is a stochastic process such that there is a partition of time $0 < t_1 < ... < t_n \leq T$,...
0
votes
0answers
31 views

Is the prediction of a cointegrated series of the same scale of the series itself?

Hi Quant Stack Exchange, Suppose $X_t$ and $Y_t$ are cointegrated and I form the cointegrated series $X_t+\alpha Y_t$ where $\alpha$ is derived from regressing $X_t$ against $Y_t$. $X_t$ and $Y_t$ ...
0
votes
1answer
18 views

Rest API to retrieve ISIN

What is best API to lookup ISINs by number or name? In other words, ideally I would like to have an rest-api like this: ...
0
votes
0answers
17 views

Explain Present Value and Future Value for cash flow streams [on hold]

Please help me understand the concept of Future Value and Present Value for stream of cash flow in an intuitive way. I have tried a lot of resources on the internet, but I find their explanation a bit ...
1
vote
1answer
86 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
0answers
21 views

Mutual Fund Holdings

Several free and non-free data providers provide mutual fund holdings (e.g. Google and Yahoo give the top holdings). The primary sources, I think, are the filings submitted to SEC's EDGAR. Both the ...
3
votes
1answer
48 views

Mix of Arithmetic and Geometric Brownian Motion

Talking with some traders the other day, I found out that they were using a pricing model based on a mix between a geometric brownian motion and an arithmetic brownian motion to price certain ...
0
votes
1answer
34 views

Theoretical price of bond : utility

Why should one calculate the theoretical price of bond if there is already a market quote ?
0
votes
0answers
21 views

Swaptions to calculate swap exposure for CVA

I am looking at using the swaption method to calculate the EPE and ENE on a swap over its life, to use in CVA/DVA calculations. I have a number of questions, how well does this method work in ...
1
vote
0answers
50 views

Why does a barbell portfolio have higher convexity than a bullet porfolio

I cannot quite understood absolutely why a barbell portfolio has higher convexity than a bullet porfolio. I can easily understand how the parallel line represents duration but I cannot see what ...
1
vote
0answers
23 views

Calibration: comparing models

Exponential Lévy models fall in two main categories: jump diffusion models and infinite activity Lévy models. For my paper, I study jump diffusion models and in particular Merton's model (i.e normall ...
0
votes
1answer
21 views

how to convert quarterly data to monthly

Is there any way to convert quarterly data to monthly in excel or preferably in STATA? I Next to that, how can I transform dates in excel so as to be recognized by STATA?
2
votes
1answer
18 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 ...
2
votes
2answers
93 views

Move along, nothing to see here…just a super cheap stock price for an instant?

Can someone explain what this large negative spike in this stock chart is in after-hours trading? It almost looks like a data glitch to me, since the value before and after the spike are almost ...
0
votes
0answers
14 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 ...
-2
votes
0answers
18 views

How to know if a company actually deposit money into your credit card [on hold]

I took a cruise trip. They are supposed to give some cash back. I called them, they said the money was deposited into my credit card. I didn't see it in my credit card bill. So what can I do if they ...
1
vote
1answer
25 views

Fama-Macbeth regression in Eviews

I'm adding a new factor to Fama-French three-factor model. I have constructed portfolios and got 18 three-way sorted portfolios. Now, I think I have to do Macbeth procedure to test the model. I'm ...
0
votes
0answers
19 views

Variance Ratio on Currency Pair, Validation

Can somebody tell me if my variance ratio (unit root test) test is correct? I don't want to rely on my results until I can find somebody that also has a variance ratio algo that confirms them? Here is ...
3
votes
1answer
65 views

Predict the financial markets in the fashion of a video game?

DeepMind have demonstrated amazing capabilities of a reinforcement machine learning agent to competently play Atari video games. It is most astounding that that during training nothing more than the ...
0
votes
0answers
26 views

Swaption Corridor Payoff Diagram

What does the payoff diagram look like for a long payer swaption corridor? For example, suppose that I am looking at a long-payer $1 \times 10$-year swaption with 10Y swaps as the underlying. If I ...
1
vote
1answer
67 views

Log-normal Volatility Approximation

In a comment to this question, it is mentioned that, under the log-normal distribution, \begin{align*} vol(k) \approx vol(atm) \times \sqrt{\frac{atm}{k}}. \end{align*} Here, $k$ is the strike, $atm$ ...
1
vote
1answer
25 views

Is there a relation between total futures and the amount of production?

I have a multipart question about futures and production. Lets take corn as an example. We add up the total 1 year futures of corn, call this weight $A$ kg. Next, we can get a reasonable estimate of ...
1
vote
2answers
61 views

FTAP wih Heston Model

The Fundamental Theorem of Asset Pricing (FTAP) is invoked when we say the time $0$ price of a European option with payoff $g$ is $e^{-rT}E_Q(g(S_T))$, with the hypothesis that $e^{-rt}S_t$ is a $Q$-...
0
votes
1answer
21 views

Binary Options hedge Forex position

if I am short GBPJPY and it start to jump up, instead of closing it, could I use Binary Options to long it immediately after jump up? So I could hedge current Forex position if possible.
0
votes
0answers
67 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 ...
1
vote
3answers
82 views

Downward sloping smile in normal model

We consider an stock price $S$ following a normal model: $dS_t = \sigma dW_t$ We can write this as $\frac{dS_t}{S_t}=\frac{\sigma}{S_t}dW_t$ Hence we can see that $S$ follows a "log-normal" ...
0
votes
0answers
21 views

Does the solution to this problem on floorlets have an error?

I'm self-studying and encountered the below problem and solution. I believe the payoff of the put at node $dd$ would be $(1.044)^{-1}\max(0.05 - 0.02, 0) = 0.019157088,$ and similarly the payoff at ...
0
votes
0answers
12 views

Which version of NAICS code is used in CRSP and Compustat?

Is the NAICS code used in CRSP and Compustat always the latest one? If yes, then it means, by this year, they should be using NAICS code 2012 revision. I have some external data which is only using ...
0
votes
1answer
54 views

Large trend-followers: why use futures rather than ETFs?

There are a number of large trend-following CTAs that have been successfully running for 10+ years. Their main instrument is diversified futures. Why not ETFs (is it due to liquidity / scaling, costs, ...
0
votes
2answers
33 views

Where to find sample intraday data? One to two days or more

I'm looking for some intraday stock data. Doesn't really matter what kind of security... I'm just looking for price, volume, bid, and ask. I'm looking to test a model based on the dynamics and ...
0
votes
1answer
18 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
16 views

Can the concept of negative probabilities be used to price a call option?

Assume that we have a general one-period market model consisting of d+1 assets and N states. Using a replicating portfolio $\phi$, determine $\Pi(0;X)$, the price of a European call option, with ...
0
votes
1answer
24 views

Trying to understand T-Bond futures settlement. What am I missing?

Here's a puzzle I encountered when trying to understand how treasury bond futures (/ZB) are settled. Supposed I am short 1 September ZB contract at \$170, and on its last trading day the contract ...
0
votes
0answers
24 views

Can someone try this Boundary Condition for the Black-Scholes PDE out for me?

I have a bit of a favor to ask and if anyone could help me out with this I'd really appreciate it. At the moment I'm trying to use the triangle wave formula as the payoff for the Black-Scholes PDE i.e....
0
votes
2answers
28 views

Calculating the interest rate from a EuroDollar Futues contract

I would like to calculate the interest rate from a EuroDollar Future Contract(say the Sep-16 Futures Contract is trading at 99.2575). From the interest rate, I would like to calculate the zero coupon ...
0
votes
1answer
29 views

Pattern recognition through moments [on hold]

Can the extent of mean reversion and trend in a given price dataset be explained by a combination higher moments (skewness/kurtosis) of returns? If yes, how do we combine these moments to come up with ...
0
votes
0answers
27 views

How to estimate an Engle's asymmetric DCC model in R?

I have a $N x d$ matrix of standardized residuals, and I want to estimate the parameters $\alpha$, $\beta$ and $\gamma$ of the asymmetric version (Cappiello, Engle, Sheppard, 2006) of the usual ...

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