0
votes
0answers
10 views

What is the strategy for this piece of information

Heavy Math background, very light finance background: Suppose I have a stock $S$ whose price is measured by the market once on times $t_0$ $t_1$ $t_2$. Now the market has some opinion for how the ...
0
votes
0answers
15 views

How to calculate implied repo of a hypothetical bond that has not been issued?

I want to calculate the implied repo to a delivery date for a series of bonds that have not been issued yet. Do I make assumptions about the bond yields on some trade settlement date and the futures ...
0
votes
0answers
6 views

Acceptance Rejection Method using Halton Sequence

I am coding various normal random variable generators, one of them being the acceptance rejection method: ...
-2
votes
0answers
12 views

Interest Rate Derivatives - Analytics Online [on hold]

Please suggest features or products for the following web-based interest rate derivatives pricing portal: https://www.opencminc.com Thanks Mike
0
votes
0answers
9 views

CB-CAPM: how should an agents consumption be interpreted in CB-CAPM?

I have read chapter 9 from Intermediate Financial Theory, Jean-Pierre Danthine & John B. Donaldson (2005) to understand consumption based CAPM and some stuff I don't understand that well in the ...
0
votes
0answers
16 views

Show that the effective rate of simple a interest rate, decreases over time

Could someone please give me an indication as to how I could show the following: Show that the effective rate of interest, when accumulating using a constant simple interest rate, decreases over time. ...
0
votes
0answers
32 views

About Fourier-Based Option Pricing

I'm reading the book "Derivatives Analytic with Python" by Dr. Yves Hilpisch, chapter 6 Fourier-Based Option Pricing. From page 98 to page 101, the Lewis(2011) Approach was presented. I could follow ...
0
votes
0answers
17 views

discount factor with collateral in two currencies

If a CSA allows for posting cash in different currencies as collateral, then the party posting collateral has, now and at each future point in time, a choice of which currency to post. This choice ...
-1
votes
1answer
24 views

How to compare bonds in terms of volume traded in Bloomberg Excel Add-in?

I want to compare how much bonds of a handful of companies have been traded over the last years and pick the most traded bond for each company via the Excel add-in. One example of what I have tried ...
0
votes
1answer
22 views

How to calculate RSI while considering market close and holidays?

I was trying to calculate RSI over hourly OHLC bars for a symbol (AAPL as an example) and got stock, first how should I handle closing hours? (does it make sense to ignore them all together and assume ...
0
votes
0answers
21 views

Combining two returns forecasts of different lengths

Hi Quantitative Finance stack exchange, I'm analyzing a price process. I've made two forecasts, namely $Ret_{\text{10min}}$ = the return after 10 mins and $Ret_{\text{20min}}$ = the return after 20 ...
0
votes
0answers
19 views

How is breadth for Information Ratio Calculated

An alternative definition of the information Ratio (sharpe ratio) is: $IR = IC\sqrt{BR}$ I have been reading Grinold and Kahn. I have the following questions for calculating BR: Q1. If 500 stocks ...
0
votes
0answers
21 views

Evaluate model performance across all stocks

Suppose I have a lm model that captures per-stock level alpha. Therefore, I fit this model using all historical data stock by stock. My question is that how to combine all individual models’ ...
0
votes
0answers
14 views

Intuitive way to expalin why mode goes down early when compounding lognormal returns

If you are compounding lognormal returns to model stock price movements, you get a somewhat odd result that makes sense mathematically, but is hard to explain. Suppose you start with \$100, which we ...
1
vote
1answer
39 views

Crowding in factor investing; Solid metrics

I know this is a bit of a golden goose question as if someone had cracked it they'd be laughing. I'm wondering though, if anyone can point me in the right direction for any hard measures of crowding ...
-2
votes
0answers
37 views

How to implement intraday pair trading strategy which exits before EOD [on hold]

I have 1 minute stock data of two cointegrated stocks in OHLC format. How to write backtest strategy with Python which would do following: 1. Calculate Ratio = stock1/stock2. 2. Calculate Standard ...
0
votes
1answer
32 views

For a fixed-fixed cross currency swap, can I use a curve with two floating legs to discount the cash flows?

I'm doing a USD to INR fixed-to-fixed cross currency swap. The default curve has a fixed and a floating rate. However, the curve that I'm looking to use has floating rates on both legs. Would this ...
-1
votes
0answers
14 views

Please help me with the codes on how to forecast using measure errors in Msgarch

Using MSGARCH models,I have been able to estimate the parameters using maximum likelihood method but i dont know how to go about forecasting the series using measure errors.
0
votes
1answer
19 views

When converting Tick to OHLC, which field do I use for Open and Close: bid or ask?

I can't find a definitive answer for this: When generating (compressed) OHLC records from tick data, which field do I use for the Open and Close? Highest Ask for timeframe High makes sense; Lowest ...
0
votes
0answers
37 views

Which method would you use to compare if a time series of financial returns has more “clusterized volatility” than another?

It is known that the historical series of financial returns are characterized by the so-called volatility clustering. Suppose we approximate the number of two-type clusters, namely the high and low ...
0
votes
0answers
21 views

How does funding liquidity affect bets against beta?

The well-known paper Betting Against Beta by Frazzini and Pedersen predicts the following: I don't really get the intuition here. Why is there a contemporaneous loss for the BAB factor, and yet, at ...
0
votes
0answers
24 views

Importance sampling weights

I read topics on that subject on this forum but nothing is approaching my problem. Say I'm dealing with a 1Y max put callable with an European Down And In barrier. Say $S_0=100$, barrier $H=80$ and $...
0
votes
1answer
34 views

Comparing two regressions that differ by a few data points

I have built a model that explains how much risk of the stock market (S&P 500 index) is attributable to each sector, where each sector is independent from each other (correlation coefficients ...
2
votes
0answers
36 views

Pricing a preferred share

I am looking for references for models which price preferred shares. What are the classic pricing papers?
1
vote
1answer
49 views

What's the most accurate benchmark index for US corporate and treasury bonds

I'm looking for an index for US corporate bonds and US treasury bonds to benchmark my strategy. I could easily use some ETFs as the benchmark for the recent years but I need data for the time range <...
-1
votes
0answers
31 views

Optimal time series length to calculate historical volatility

What length of time series is best to calculate the historical volatility of interest rates and why?
0
votes
0answers
19 views

Barrier feature with stochastic rates

I came across the following about the impact of using stochastic rates in case of a barrier option: I don't really understand how having a less equity local volatility can reduce the probability ...
0
votes
0answers
36 views

Finding an stationary Basket in FX Market [on hold]

I am looking to find a FX basket with multiple pairs such that the return stays in a range. (Mean reverting). IE: EURUSD BUY 1 LOT, GBPUSD SELL 0.8 LOT USDCHF BUY 1.23 LOTS. The basket can have as ...
3
votes
1answer
153 views

Market Making Strategy to Interact with IB API

I was thinking to connect a market making software to the Interactive Brokers API (see IB API), but it seems it is not the best solution as per the information provided by this question: Is the ...
-1
votes
0answers
25 views

PortfolioAnalytics [R] - optimize.portfolio.rebalancing error HELP

When I run optimize.portfolio.rebalancing I get the error: Error in names(out_list) <- index(R[ep.i]) : 'names' attribute [16] must be the same length as the ...
0
votes
0answers
37 views

Pair trading cointegration

When looking for cointegrated pairs, you assume that times series are integrated of order one and try to find a linear relationship using a regression that makes them integrated of order 0 (I(0)). Now ...
1
vote
0answers
48 views

Pair trading strategies in fixed income

We usually hear about finding cointegrated pairs of stocks in pair trading, but it seems it is not as developed in fixed income despite the fact that the spectrum of securities is large (different ...
0
votes
0answers
22 views

About a formula concerning the occupation time of a Brownian motion (The arc-sine formula)

Let the process $Z_t \buildrel\textstyle\over={W_t}+ {\lambda}t $, $t\geq 0$ a brownian Motion with Drift and $A_{T}^{+k, Z}$ his occupation time above the barrier $k$ defined by $$A_{T}^{+k, Z}=\...
-1
votes
0answers
32 views

How do stock market simulators calculate price? [on hold]

When a player in a stock market simulator makes a trade,does the stock price react to the order within the simulator ? If it does, how is the price calculated ?
0
votes
0answers
23 views

Probability of touch (option) for security

I read through a few related threads on quant stackExchange. Similarly, I am looking for the probability of a security touching $X$ (strike points away) before an expiry time, $T$. From thread here: ...
0
votes
0answers
17 views

Reject inference libraries

Does any body know R/python/matlab libraries to carry out reject inference in credit scoring? I know SAS has some reject inference methods, but I am looking for some 'licence free' libraries (I have ...
0
votes
0answers
14 views

Are ACF and PACF plots of squared returns useful in determining the lag-order when testing GARCH class of models?

I am trying to fit GARCH class of volatility models to the log return series of Bitcoin. ACF and PACF plots of the square of this return series are shown below. I need to know whether inferences can ...
0
votes
1answer
22 views

How to calculate the normalized value of a changing stock portfolio?

My goal is to compare a portfolio of stocks with a benchmark over time. Calculating the normalized value of a static portfolio is no problem, but I am struggling when stocks are removed or added to ...
-4
votes
0answers
29 views

What is $\beta$ for a “self-financed” portfolio? BRAIN TEASER [on hold]

I have a very, very simple question. Imagine you borrow 100 dollars, then invest those 100 dollars into a stock, like Microsoft. Yahoo Fiance tells me that Microsoft has a beta of 1.25. Now, my ...
0
votes
0answers
34 views

Why is inflation breakeven defined as real - nominal and not real/nominal?

Why is inflation breakeven defined as real - nominal and not real/nominal? Real/nominal is the actual projected inflation rate, while real-nominal is just the "Fisher approximation" for inflation. ...
1
vote
0answers
30 views

Has work been done on PID controllers for optimal trading?

Commonly, stochastic control is the basis for optimal trading (either in execution or market making). Has any research been done (or why not, if none) as to proportional-integral-derivative ...
0
votes
0answers
26 views

Is the volatility smile independent of the volatility itself?

Under "similar" market expectations, is the shape of the volatility smile the same for a volatility (^VIX, https://finance.yahoo.com/quote/%5EVIX/) of 13, 25, 36, > 50 etc? Or does it flatten more ...
2
votes
0answers
24 views

Interest model calibration and binomial trees

Are there any good books for beginners on calibrating interest rate models and creating binomial trees based on these interest rate models and using them in pricing
2
votes
1answer
50 views

Examination of Betting Against Beta

http://pages.stern.nyu.edu/~lpederse/papers/BettingAgainstBeta.pdf In this article the authors explain a theory/strategy called Betting Against Beta. My background is more in Math rather than finance ...
-1
votes
0answers
38 views

Is the volatility of a $\delta$ delta call and $1-\delta$ delta put equal?

The Wikipedia article on volatility skew states: Note that to maintain put-call parity, a 20 delta put must have the same implied volatility as an 80 delta call However, in some cases two ...
0
votes
1answer
46 views

Bootstrap daily OIS forward rate

Can someone please show me how to derive the daily OIS forward rate in a OIS-fixed rate swap? For example, if price a paying fixed rate/receiving OIS swap in Bloomberg SWPM, Bloomberg will be able ...
2
votes
2answers
54 views

name of this portfolio optimization strategy

I have come across a portfolio selection strategy that buys in equal amounts the top decile of expected earners, and simultaneously short sells the lowest decile in a similar fashion. What is this ...
0
votes
1answer
24 views

Characteristic Portfolio for an Attribute [on hold]

Given a vector of attributes(eg.E/P ratios, betas) for N assets $a^T = {a_1,a_2,...,a_N}$ The exposure of portfolio $h_P$ to attribute a is $a = \sum_{n}a_n h_{P,n}$ Proposition: There is a unique ...
0
votes
0answers
23 views

AFV Model Implementation for Convertible Bonds

I am reading the original AFV model paper for pricing convertible bonds. https://cs.uwaterloo.ca/~paforsyt/convert.pdf The paper is very technical and I am having trouble finding the actual PDE's to ...

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