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Apr
4
comment Bloomberg Currency Exchange Rate Data (London and New York)
=BDH("AUDUSD CMPL Curncy", "PX_LAST", 20150101, 20160404), for example. You can also press F1 twice on your terminal to get live help.
Mar
30
comment Why are futures valueless?
Another way to look at it is that buying a future is equivalent to buying an call option with a 0 strike, except that in the case of the future you contractually agree to pay on delivery whereas with the option you pay upfront.
Mar
30
comment Best practice for international Fama-French analysis
How about option 4: regress the instruments in EUR against EUR factors and add a currency factor?
Mar
30
comment Why are futures valueless?
Simplistic example: imagine gold spot is $\$1,200$, interest rates are 0 and storing gold is free => the 1 month future trades at 1,200. If you buy that future, you agree to pay $\$1,200$ in a month for an ounce of gold. If your future had a non 0 value there would be an obvious arbitrage. If you buy a $\$1,200$ 1 month call on gold you have the right to buy gold for $\$1,200$ in a month - but if gold prices collapse, you won't have to buy and you will let your option expire and limit your loss. That's why the option has a value and the future doesn't.
Mar
30
comment How to value pricing and ratings? How to quantify best value?
I'm voting to close this question as off-topic because it is not about quantitative finance.
Mar
18
comment What is a good statistical test on stock prices to indicate a company's value has changed?
You could calculate the beta of the stock vs the index, or more precisely a beta range using a confidence level of x% (say 95%) - you can then check if the return of the stock is within the range predicted by the betas and if not conclude that the stock under/out-performed the index at the x% confidence level.
Mar
18
comment Candlesticks: timestamp on open versus close
What I meant is that if you store the data for candlestick 00:00-00:01 with a timestamp of 00:00 and you use that data for backtesting purposes - you may assume that you can send an order at 00:00 based on the information contained in that candlestick, which is obviously not the case. In my experience, the timestamp is generally the end of the period (00:01). Do you have examples of feeds which use the opening time as a timestamp?
Mar
18
comment Candlesticks: timestamp on open versus close
If you plan to use the data for backtesting, make sure you don't use data that would not have been available in real time - otherwise it doesn't make much difference, does it?
Mar
16
comment Calculate excess returns for Sharpe Ratio with today's or past risk free rate of return?
@KevinPei It probably makes very little difference (you can try to see what it is). If you want to do it properly, you need to create a portfolio that invests in a risk free asset and calculate the return of that portfolio for that day. That will be very close to the yield of the day before in most cases, but not always.
Mar
15
comment What is a standard model of convergence when looking at negative stub values?
papers.ssrn.com/sol3/papers.cfm?abstract_id=493942
Mar
15
comment Calculate excess returns for Sharpe Ratio with today's or past risk free rate of return?
@jeffrey you use each day rf return
Mar
14
comment Bloomberg, downloading data in Excel
No - What may happen is that you get locked for the rest of the day/month if you hit your daily/monthly download limit but you don't get invoiced more because of that. And the limit is very high (10s if not 100s of thousands of queries per day).
Feb
25
comment FIX engine for very low latency
chronicle.software/products/transfix
Feb
22
comment How to combine regression models?
You should probably ask on cross validated instead of quant finance...
Feb
5
comment Historical volatility on bloomberg API
For example, for 90D vol, VOLATILITY_90D (you also have 10D, 30D, 120D, 260D, 360D etc) or INTERVAL_VOLATILITY with overrides for specific periods.
Feb
5
comment Price of an equity
en.wikipedia.org/wiki/Forward_price
Jan
19
comment How to download efficiently intraday data with Bloomberg API?
using an EventQueue synchronizes the response and I don't think it will improve performance much. What would probably improve your throughput is to run requests in parallel (in several threads)
Oct
27
comment Returning historical yield rates for Mortgage Backed Securities in a Bloomberg Terminal?
Have you asked HELP HELP?
Sep
23
comment Vendor data aggregation for Options on Futres
Have you tried with ISIN/CUSIP?
Sep
3
comment Bloomberg implied volatility smile for equities
Press F1 F1 (Help Help) on a terminal and ask...