All Questions

0
votes
0answers
2 views

Any video lecture on copula function, a statistics concept for measuring independence?

I have read the paper 'Coping with copulas' and it is a bit hard for me to read since it has lots of mathematical notations. So I am looking for any video lecture on this topic, copula function. I ...
1
vote
1answer
22 views

(R-studio) Incorporating overnight returns in high-frequency data

Turning here since I haven't been able to find any help online. I'm currently dealing with a high-frequency data set in R of some stock indicies and I'm currently trying to clean the data so that I ...
-1
votes
0answers
15 views

How to calculate net change from different dates in SQL? [on hold]

In SQL Server, I create a separate/new table of many indicator values for every trading day. I want to calculate the daily net change between them. In other words, a computed column: "net change ...
1
vote
1answer
20 views

How can we compute the daily drop in gross basis?

Background The implied repo rate (IRR) is essentially the carry for going long basis (buying the deliverable bond and selling the futures contract). For this reason, it rises in value day-by-day as ...
0
votes
0answers
23 views

Binomial Tree Option Pricing Model. Lets talk dividends and futures

I am writing an option pricing model for production use. Its not for arb or anything so it doesn't need to be 100% as accurate as possible. Just good enough for "what happens to my book if we jump 10 ...
0
votes
0answers
21 views

Calculating WACC for Google, What should be Market Risk premium

I am at beginner level in Finance. I want to calculate WACC for the Google I am considering risk free rate from treasury reports 30 years data. Not sure about market risk premium. Please guide.
1
vote
1answer
47 views

How to calculate one-year forward one-year rate?

I'm just a little lost on how to calculate forward rates. I know this is an easy question, but, if we are given a one-year and two-year zero rate (let's say, for the sake of the argument, 2% and 3% ...
-3
votes
2answers
66 views

Naked options selling

I sold the naked put. The price of underlying went down and broke the support. The situation changed technically from bullish to bearish. The price of underlying is still quite far above the option ...
1
vote
0answers
13 views

What are industry-standard terms for MBIS “situational bid”?

In the data feed from Municipal Bond Information Services there is a field called "situational bid", which is defined in their reference as "Bids on a security that is being offered for sale." If I ...
2
votes
2answers
34 views

Standardized numerical values for ratings

Is there a standardized way of transforming the ratings of any of the major ratings agencies (S&P, Moody's, Fitch) to a numerical value. Ideally, it might be possible to create a similar scale for ...
2
votes
0answers
31 views

Bid-Ask spread in Roll's model: Negative autocovariance of returns and informational content

Currently studying on techniques to estimate the bid-ask spread. Perhaps the most widely known model is the Roll model (1984). Let $P_t$ indicate log prices $\begin{cases} Bid_t=P_t-c, \\ ...
4
votes
0answers
22 views

Are Fama-Macbeth R-Squared (R2) just assymptotically correct?

I have been doing a research on comparing Fama-MacBeth and panel regression procedures. Think of it as an emerging market case for Petersen (2009) link. My research consists of a route based on full-...
0
votes
0answers
35 views

How to take back-tested code and convert it to forward-testing code? (in Python)

How do you take back-tested code written using the zipline API and convert that into forward-testing code using the IB API (or better yet ib-insync API)? It seems like you would have to completely re-...
5
votes
0answers
56 views

Random variable minus Integral of Ito Generator is a Martingale under what conditions?

I am reading about american option pricing and the variational inequality, and the book I am reading states, in the derivation of the variational inequality, the following is a martingale: $$M_s = U(s,...
1
vote
1answer
43 views

How to check if a portfolio has momentum bias

I am wondering what methodology exists to check if a fund/portfolio is having momentum bias or chasing the past performance, assuming you have their full returns and full portfolio holdings for past ...
0
votes
0answers
27 views

Risk mapping a zero-coupon bond portfolio

I'm trying to understand example 2.6 taken from McNeil and Embrechts "Quantitative Risk Management". The example consists of obtaining the risk mapping of a portfolio of $d$ zero-coupon bonds. The ...
1
vote
0answers
46 views

Is SABR being used in practice for Equity options

Just to be clear: By "in practice" I mean what the banks and other financial companies do. Do financial companies use SABR for pricing equity options? Consider a stock with price $t$ being: $S_t$. ...
4
votes
1answer
106 views

why calibrate volatility and fix the mean reversion

I have had a few experiences or chats with teammates about the Hull-White model. The famous model has 2 parameters : The volatility The mean reversion Very often I hear that the mean reversion has ...
2
votes
1answer
63 views

How to derive and interpret the duration of a call option?

I read here that CFA students are taught that $$ D_{C} = \frac{\Delta_{C} D_{B} B}{C} $$ Where $D$ is the duration, $\Delta_{C}$ is the first derivative of the options price with regards to the ...
0
votes
1answer
32 views

Why was a buy position not closed at the seller's price?

I'm trying to understand how the trading of crypto-currencies work. I imagine it's not that different from standard currency (or asset) trading, so I ask in this site. Consider the crypto market ...
1
vote
1answer
105 views

Why don't I get this right $\frac{d}{dt}\mathop{\mathbb{E}}\left[ e^{-\int_t^Tr(s)ds}|\mathscr{F}_t \right]$

Let $r$ a random process defined by : $$dr_t=\theta(t)dt + \sigma dW_t$$ $\theta$ is deterministic in $t$ and $W$ a brownian motion. I don't know where my calculation below is going wrong : Let $...
0
votes
0answers
26 views

Positive quadrant dependence

Gijbels et. al. Positive quadrant dependence tests for copulas (25 page PDF) What could potentially be application of this concept in economics and finance? From what I read from a couple of papers, ...
0
votes
3answers
37 views

Why use par-value weighted average when valuing portfolio of bonds?

I'm looking at a formula for valuing a portfolio of different bonds that sums the market value times the par value for each bond. Conceptually, why are the bond values weighted in this way by their ...
-1
votes
0answers
15 views

Converting long term lease rates to shorter term lease rates

I would like to convert a 5-year lease rate into 1-year lease rates? I'm assuming all you would need to do this is the depreciation curve and the yield curve. Does anyone know how to do this or know ...
2
votes
1answer
59 views

Do you have any examples of 2 assets that are non linearly correlated? And any models that calculate portfolio risk based on non-linear correlation?

Do you have any examples of 2 assets that are non linearly correlated? And any models that calculate portfolio risk based on non-linear correlation?
3
votes
2answers
78 views

Conceptual explanation of the relationship between gamma and vega plotted against delta for a European call option

I recently plotted Gamma and Vega against Delta for a European call option and found that the graphs look very similar. This makes sense to me mathematically since the two formulas are pretty much the ...
2
votes
1answer
32 views

Residuals Fama MacBeth Regression

I am still asking myself what the pricing error terms in the Fama-MacBeth regression are. Are they the intercept I regress across all assets in each month, once? Or are they the residuals of each ...
1
vote
0answers
35 views

What kind of ARMA-GARCH model is that?

My question is what kind of ARMA-GARCH model is the following equation and how to specify it in rugarch R module: $$r_{t+1}- r_t = \alpha_0 + \alpha_1r_t+\...
0
votes
0answers
17 views

Gluing the error terms to a VAR model

I am trying to simulate a VAR model with heterokskedastic errors. I have no problem simulating a VAR model, And I have no problem simulating heteroskedastic errors. My problem is trying to do ...
0
votes
0answers
33 views

Dissertion topic advice [on hold]

I'm deciding an interesting topic for my dissertation, and would like to know your thoughts/advices I want to work in trading/structuring, with preferred topic crude oil or natgas market The two ...
1
vote
1answer
35 views

How to estimate market based PD and LGD for small enterprises?

I am estimating CVA/DVA for derivatives... How to estimate PD and LGD (or RR) based on market data for the small enterprises, if there is no external rating for them and they don't have bonds or ...
1
vote
0answers
26 views

General to specific approach to modelling

I am trying to find the relationship of stock indices across the world. This has been done by the literature, however, I am wondering about the methods chosen. I have decided to go with what I think ...
0
votes
0answers
33 views

Python QQ-plot to check data distribution [on hold]

Do you know why I have a vertical line ? My understanding is that instead of putting the log return by quantiles on the Y axis, it put directly the log return (which is very low and appear asa a ...
1
vote
0answers
29 views

Stock spilt not reflected in historical data

According to this article, Apple's stock split 7:1 on June 9, 2014. The stock supposedly closed at around \$645 on June 6 and was supposed to open at around \$92 on June 9. I confirmed that a split ...
2
votes
1answer
104 views

After hours data - Interactive Brokers

I just started using Interactive Brokers because of their API. I'm using the IBrokers package in R. I've managed to get data for S&P 500 and other indices but now I want data for S&P 500 after ...
0
votes
0answers
26 views

Difference between Notional and Market [on hold]

What is the difference between: A position in an asset (bond) w/ market value = 50 million 50 million notional of the asset (bond) I am still a bit confused about the distinction between these two....
3
votes
1answer
54 views

Errors on Finite Differences + Implicit Scheme + Black & Scholes

I'm solving the classical Black & Scholes (BS) PDE for a European option using finite difference and the implicit scheme. In other words, I'm trying to solve $\displaystyle\frac{\partial V}{\...
1
vote
0answers
63 views

Ultra Powerfull Vibrato Montecarlo for delta sensitivities of a not regular payoff

Ciao, I am working on a derivative with the following payoff at time $T$: $$ \sqrt{(S_T - K)^+} $$ where $S_T$ is the value of the stock at the expiring date. As usual we will assume $S_t$ to be a ...
0
votes
0answers
21 views

Stocks listing inside a Google SpreadSheet

I would be interested to have all the stocks inside a Google Spreadsheet. The features would be the Symbol, Name, Country, Sector, Industry. An example would be ABC, AmerisourceBergen Corporation (...
0
votes
0answers
77 views

Is theoretical knowledge on quantitative models enough to get quant position? [on hold]

I am a Junior at a big french bank working on a trading software as a developer (mostly VBA & SQL programming languages). I hold two degrees in quantitative subjects (statistical engineering &...
1
vote
1answer
33 views

Why is there inconsistency in WACC vs unlevered return?

To evaluate an enterprise we can discount free cash flow by either the unlevered required rate of return or the WACC. With Tax we have: $WACC=R_e \frac{E}{E+D}+R_f\frac{D}{E+D}(1-t)$ where $R_e$ is ...
-1
votes
0answers
28 views

Does the variance-covariance matrix indicate GARCH errors?

I am trying to simulate VAR models with ARCH/GARCH errors, I am wondering the best way to do this? Can I insert a covariance matrix that will lead to heteroskedasticity? Any readings are suggestions ...
5
votes
1answer
118 views

Bond dynamics in Ho Lee model

The short rate in the Ho-Lee model is given by : $$dr_t=\left( \frac{df(0,t)}{dt} +\sigma^2t\right)dt + \sigma dW_t$$ I'm trying to find the bond dynamics given by : $$dP(t,T)/P(t,T)=r_tdt-\sigma(...
0
votes
0answers
25 views

Intuition behind pricing derivatives irrespective of the drift of their underlying stock [duplicate]

I have been trying to understand this concept for a while now and I have read the solutions to questions on the same topic, but I feel all the answers miss the ‘intuition’ behind the idea and I was ...
3
votes
3answers
123 views

Maximum Sharpe portfolio (no short selling restrictions)

Suppose we have $n$ assets whose expected return vector is $r$ and is positive, and whose covariance matrix is $\Sigma$. Is there a closed form or quasi closed form (like the eigenvector of a matrix ...
1
vote
0answers
44 views

kolmogorov backward equation intuition

The kolmogorov backward equation equation states that the probability density of a random variable $x$ which follows $dx= \mu dt + \sigma dw$ is given by $-p_t = \mu p_x + 0.5\sigma^2 p_{xx} $ ...
2
votes
1answer
61 views

Detecting leading stocks using lag correlation

I am working on a project to find leading stocks in a stock market by using lag correlation. Say I want to compare 2 stocks, X and Y, and I have the time series of stock prices. Assume that the ...
-2
votes
1answer
39 views

Filter the NASDAQ stocks for investment

I manage an investment portfolio since 3 years now. It might be interesting to filter all the NASDAQ stocks to tell us which ones have the greatest profit potential. Is there an arxiv or whatever ...
1
vote
0answers
33 views

Calculating Risk of Portfolio of Futures/Future Options

all. I am looking into calculating margin on futures mixed with futures options. Say ES is trading at 2700 currently, I long 100 ES, 600k (Margin/risk). Then i buy 100 2680 puts. so Points Diff (...
1
vote
0answers
23 views

Does a shift in prices effect Margin on Futures and their options?

In regards to ES im wondering If theres a scenerio intraday (price shock) that will effect the amount of margin im carrying. Besides PnL Kind of a dumb question, as I guess its just a function of ...

15 30 50 per page