Questions tagged [codes]
The codes tag has no usage guidance.
17
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replicating momentum strategy - Formation Periods
I am trying to replicate the momentum strategy of the study by Jegadesh and Titman (1993) onyl using data from the past 10 years.I am trying right now to calculate the formation period returns. But I ...
- 11
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1
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955
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VBA Black Scholes Implied Volatility
I keep getting a Implied Vol. = to my initial guess, My code is as bellow
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0
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165
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Does anyone have codes that would solve the multi-period Kyle model?
Whenever I begin working on something new, I like to find existing examples of how things are done so that I can double check at least the basics before moving on to more complicated problems.
I am ...
- 2,436
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145
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Pricing options by IFT under the Heston and Nandi (2000) model: odd behavior
I am working on option pricing using GARCH models and, currently, I am coding the pricing of options under the Heston and Nandi (2000) model. This model admits a quasi analytical formula for pricing ...
- 2,436
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2
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3k
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Macaulay or modified duration in Python
i was wondering to ask, is there any function in pyhton, that calculates macaulay or modified duration, when time to maturity is not a whole number, for example time to maturity is 1514 days, and you ...
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57
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How many decimals of accuracy can I expect from FDM and MC (both valuation and risk)
I have implemented some Monte Carlo and FDM code. I can then get greeks by bumping.
I am comparing to to exact formulas of price + greeks, and am wondering how many decimals of accuracy I can expect ...
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1
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1k
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Implementing the Sharpe's return-based style analysis on Python
I am trying to implement the Sharpe's return-based style analysis on Python.
The problem is formulated as follows:
...
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2
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2
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4k
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Mapping I/B/E/S to Compustat via 6-digit CUSIP
I am trying to link Thomson Reuter's I/B/E/S dataset with Compustat. Both I obtained via WRDS. The only halfway useful info I could find was on a two year old forum post, which suggests to go through ...
- 237
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115
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Financial instrument code crossreference
Is there some source to have a XREF of various instruments codes as used by different providers ( IE Reuters Bloomberg others ) as well as ISIN, are there some sources/strategies already in place?
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739
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Code for quasi-Gaussian model (Cheyette model)
I'm looking into the quasi-Gaussian model with linear local volatility as explained by Andersen and Piterbarg (Interest Rate Modeling, Volume 2). I'm trying to calibrate this model and implement it. I ...
- 141
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1k
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Matlab code for equally weighted portfolio
I have daily returns of 10 stocks. I need to construct an equally weighted portfolio that goes long in the 3 highest returns and short in the 3 lowest returns. The portfolio needs to be re-balanced ...
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Is there a website that lists replication code of financial papers?
There are lot of questions on this website related to the replication of the empirical part of financial papers.
I noticed that some (honest) authors provide on their personal website some ...
- 2,552
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283
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Monte Carlo simulation of Multifractional Brownian Motion in MATLAB
Code under is taken from http://en.literateprograms.org/Monte_Carlo_simulation_(Matlab)
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3k
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How can I convert Yahoo Ticker Symbols into ISIN Codes?
I have a list of all Yahoo Ticker Symbols and I want to convert them into ISIN Codes. I have been researching and found out that finance.yahoo in the US does not ...
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3
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9k
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Python code to download historical firm data
I am looking for a Python code that scraps a website to download historical firm data such as market capitalization, dividend-yield, and so on. I have a code that downloads the current firm data from ...
- 493
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1
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2k
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Is Reuters Instrument Code (RIC) case-sensitive?
Someone in my organization claims that RIC codes are case-sensitive.
So for example:
SPXi201420000.U does not refer to the same instrument as ...
- 123
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148
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Stochastic Volatility for Stocks, FTSE
Can someone help me with calculating Stochastic Volatility (of stocks and options) using SAS or R or Matlab please? I am new to SAS and I am trying to use Heston model, White-Hull model or any other ...
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