Questions tagged [finance]

The tag has no usage guidance.

116 questions with no upvoted or accepted answers
Filter by
Sorted by
Tagged with
7
votes
0answers
528 views

Feller Condition (Cox-Ingersoll-Ross) source

For the Cox-Ingersoll-Ross model $$\text{d}r_t = a(b-r_t)\text{d}t+\sigma\sqrt{r_t}\text{d}W_t$$ the condition (referred to as "Feller condition") $$2ab\geq\sigma^2$$ ensures that the solution is ...
6
votes
0answers
1k views

Asymmetric Volatility Modeling (Interpretation)

I am currently writing a paper on asymmetric volatility modeling of brent, gold, silver, wheat, soybean and corn from 1986-2012 and divided them into 4 sub-sample periods (i.e. 1986-1991, 1991-1997, ...
5
votes
0answers
205 views

Merton's portfolio problem with constraints

Suppose the investor can invest in a Black-Scholes market with one risky asset $S$ with drift $\alpha$ and volatility $\sigma$ and a riskless asset $B$ with a riskless rate of return $r$, and the ...
5
votes
0answers
1k views

Hasbrouck's information share

Given a cointegrated set of price series, I am trying to compute the Hasbrouck's information share, as described in page 12-13 of this article. page 7-8 of this article I have the vector error ...
4
votes
0answers
184 views

Which finance models have enjoyed particular success in recent years?

I am looking for a list of recent developments of models in mathematical finance. By recent, I mean this last decade. Which models have been developed and introduced during this period, being met ...
4
votes
0answers
116 views

How do I calculate the present value of a credit default swap?

I am paid 20 million every time a bond drops to a new low over a 120 month period. I need to know how to find the present value of such an arrangement if there is a continuously compound interest of 5 ...
3
votes
0answers
47 views

Headquarter Relocation and Stock Return - Influence of Universities

Scott Galloway states in chapter 8, The T Algorithm, in his book The Four: The Hidden DNA of Amazon, Apple, Facebook, and Google, that a successful strategy to become a "trillion dollar company" must ...
3
votes
0answers
154 views

How to simulate stock price with support and resistance level

I couldn't find good resources on how to simulate a stock price data sequence including some basic effects. The basis might be a Brownian motion model; but in real stock prices, there are additional ...
3
votes
0answers
76 views

What are your list of concept or model in standard textbooks that are always reliable to used in working?

What are your list of concept or model in standard textbooks that are always reliable to used in working? As opposed back to this: What concepts are the most dangerous ones in quantitative finance ...
3
votes
0answers
2k views

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 ...
3
votes
0answers
158 views

A doubt about Evans and Jovanovic (1989) economic model for entrepreneurs with credit constraints

[I already posted this question on the math forum of stackexchange and I was advised that I should post this question here] In Evans and Jovanovic (1989) you will find a model for entrepreneurs with ...
3
votes
0answers
1k views

Philips-Ouliaris test for cointegration

I'm trying to implement cointegration tests using the R urca package. I've figured out the Johansen test (ca.jo), but I'm having trouble with the Philips-Ouliaris test (ca.po). I have two questions: ...
2
votes
0answers
66 views

Cleaning of high-frequency data

In the paper "Realized kernels in practice: trades and quotes" by O. E.Bandorff-Nielsen etc. cf. https://onlinelibrary.wiley.com/doi/full/10.1111/j.1368-423X.2008.00275.x in the section dedicated to ...
2
votes
0answers
40 views

Where could I get European non-dividend option data

I am pretty new to option pricing. I got a task asking me to price a stock option, which should be an European non-dividend option, and compare my price to its quote. I used to use TSLA data ...
2
votes
0answers
73 views

Black-Scholes equation Variational / Weak form

I am having difficulty deriving the weak formulation of the Black-Scholes Equation. I have multiplied it with a test function phi and integrated over Omega. But results on the internet suggest ...
2
votes
0answers
52 views

How to conduct an event-study for a single index (i.e the DJIA) with multiple events

I am a postgraduate student writing my thesis. I am somewhat a novice in the field I have chosen to study, however this has undoubtedly broadened my horizons. I am attempting to evaluate the impact of ...
2
votes
0answers
68 views

Why can the t-bill rate forecast stock returns?

The tbill rate is used as a predictor of the equity premium in a number of papers. Whilst there is not a general consensus about whether it is a significant predictor, it is still widely used. I ...
2
votes
0answers
81 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?
2
votes
0answers
107 views

Does Academic Research Destroy Stock Return Predictability?

McLean/Pontiff (2016) give evidence that portfolio returns are 26% lower out-of-sample and 58% lower after publishing an academic paper on variables, which are likely to predict cross-sectional ...
2
votes
0answers
293 views

Long term equity repo

Let's assume I have various European stocks and would like to somehow estimate their long-term (5y+) forward prices. As for repo rate for each individual stock, is it reasonable to assume that its ...
2
votes
0answers
643 views

portfolio optimization with a loop

I am attempting to minimize the variance of a 3 stock portfolio using optimization within a loop. What I have done is calculated the stock returns and cov matrix from dates 1980-01-01 to 1989-12-31 ...
1
vote
0answers
35 views

Results of Fama MacBeth regression

I have run Fama MacBeth cross section regression of of Excess Return of stocks on Idiosyncratic volatility, the log of market capitalization, book to equity ratio and Beta. I'm getting all significant ...
1
vote
0answers
52 views

CAPM and the Fama-MacBeth (1973)

I need to conduct the Fama-MacBeth (FM) procedure for my thesis to test the ability of the six-factor model to predict future expected returns. In univariate regressions of expected excess returns on ...
1
vote
0answers
23 views

How to annualize alpha calculated from a daily regression?

forgive the super beginner question. I have the following code. bench_return_data and my_return data contain daily returns. I am performing a linear regression between them. Am I calculating ...
1
vote
0answers
31 views

Using GOOGLEFINANCE function on google sheets to get historical marketcap

I have a question related to accessing historical data. My first attempt to grab historical data for a few companies was using Google sheets and the GOOGLEFINANCE function. Unfortunately, it seems to ...
1
vote
0answers
13 views

CS-Regression Three Factor Model

1# When would the three risk factors market, size and value be priced in the FF Three factor model when performing cs-regression? How do you know that they are priced? 2# How would it be possible to ...
1
vote
0answers
32 views

What is a call-spread and its formula?

I am attempting Mark Joshi's The Concepts and Practice of Mathematical Finance. In B.3 Project 1: Vanilla options in a Black-Scholes world, he asked the following question. We need to be sure that ...
1
vote
0answers
46 views

Annualizing the Sharpe Ratio

I am doing some calculations and I am working currently with the weekly Sharpe Ratio. Can I annualize the Sharpe ratio by multiplying with the square root of 52? Greetings!
1
vote
0answers
48 views

Equilibrium with H agents when some of them are not aware of some assets

Assume there are H agents with constant absolute risk aversion $\alpha$. There is a risk-free asset, and two risky assets with distribution $S1$ ~ $N(\mu; \Sigma)$, where $\mu \in \mathbb{R}^2$ and $\...
1
vote
0answers
35 views

Information asymmetry models

I am searching for some textbook in financial mathematics that presents information asymmetry models (maybe more advanced models), so as to make some practice. Does anbody know such a book?
1
vote
0answers
63 views

Error in optimize.portfolio with transaction costs constraint

I am experimenting with the PortfolioAnalytics package to optimize portfolio with dollar neutral and transaction costs as constraints to the quadratic utility objective function. A sample R snippet is ...
1
vote
1answer
58 views

Question about CAPM Betas - Causes of Beta Movement Query

CAPM betas are measures of systematic risks, which include things like the exchange rate, inflation, interest rates, etc. What I'm confused about is described below: E.g. suppose I'm looking at one ...
1
vote
0answers
60 views

Different definitions of volatility (simple question)

I have a basic question on volatility that I wanted some clarification on. In finance books (such as Hull), there's a few different ways volatility is defined. One of them is the standard deviation ...
1
vote
0answers
821 views

Using ISIN to identify stock at yahoo finance

I'm collecting stock data for private analysis. I found a very excessive list of stock at https://www.xetra.com/xetra-de/instrumente/alle-handelbaren-instrumente/boersefrankfurt but the problem is ...
1
vote
0answers
130 views

How should I interpret the (insignificant) coefficients of Fama-French 3-factor model?

I am writing a mid-term thesis on the Fama-French factor model. I have built 5 portfolios sorted by the Book-to-Market ratio. The first portfolio is the lowest-BM group and the last portfolio is the ...
1
vote
0answers
40 views

Determine same issuer from a list of ISINs?

I have a list of ISINs for all the securities that make up a fixed-income fund. Is it possible to tell from this which securities are from the same issuer? I have securities of which I know they are ...
1
vote
0answers
13 views

Estimate the off balance sheet exposures of a banking book, based on limited data

I am doing an analysis on Off Balance sheet items on a bank. Only data I have is authorized amount and outstanding balance for all the loans the bank currently has. Can I simply take the difference ...
1
vote
0answers
31 views

Using CFNAI index for identifying sample periods

I'm doing my Thesis on Asset pricing models and I would like to find out the effects of business cycles on the performance of asset pricing models for industry portfolios. My initial idea was to ...
1
vote
0answers
147 views

Credit default swap replication by corporative bonds

I want to get literature or information related with the topic of CDS replication for those counterparties that do not hold. But that have traded bonds (with different degree of liquidity). What could ...
1
vote
0answers
67 views

Is it Possible to replicate SPAN?

I currently trade intraday Options on the nearest term expiry and futures. Both E-mini S&P. I am trying to replicate the SPAN margin calculation for the entire portfolio of options and futures. So ...
1
vote
0answers
766 views

Some definitions in the BARRA Predicted Beta model

I'm studying the BARRA Predicted Beta model, and the common factor covariance between portfolio $p$ and the return on the market $m$ is defined as the product of the transposed vector of the factor ...
1
vote
0answers
39 views

Is there a quantitative definition of a Quiet, Moderate or Accelerate market conditions?

i know the StdDev price technical indicator which is the standard deviation but this one has an absolute value. The market conditions are: Quiet: lower oscillation of price around a constant ...
1
vote
1answer
169 views

Mean Variance Investment problem

I attach a part of a paper explaining how the weights of a market portfolio are derived. I do not understand how equation 5 has been derived and, in particular, where the zero beta portfolio's return ...
1
vote
0answers
28 views

Which stock price to take for historical ratios in stock screener (EPS etc.)?

We are currently testing a stock screener that we built and want to implement historical ratios in there too - this is working already for all ratios that don't require stock prices (so all ...
1
vote
0answers
318 views

Barrier Shifts - necessary for up-and-out call / down-and-in put?

Recently I came across the topic of barrier shift for barrier/digital options. I found that most examples centred around down-and-in puts / up-and-in call / digitals. I am wondering if we need ...
1
vote
0answers
59 views

Pricing methods in the real world when there is more than one free arbitrage price

Perhaps this question sounds trivial and obvious, but I am starting to study this new field. When we are in a complete market without arbitrage opportunities there is only one risk-neutral martingale ...
1
vote
0answers
78 views

How to calculate Market Return based on an own sample?

I have read several papers and am more confused than clearer about my problem after the reading. I am trying to validate my sample. I use the Schmidt et al. paper (2015) as a guidance to construct ...
1
vote
0answers
31 views

Identifying primary share class of U.S. firms and deleting excess observations

I have a fairly large dataset of CRSP firms with their daily closing prices from 2006 till 2017. I need to filter the data so that I have one daily observation per unique firm. I've identified the ...
1
vote
0answers
173 views

Zipline issue with SPY data

I have written a strategy to backtest in zipline, and every time I ran the backtest, and error is showed with the line: IndexError: index 0 is out of bounds for axis 0 with size 0 After a bit of ...
1
vote
0answers
128 views

European Call Option Modelling under 2 factor Hull White interest rates

I have modelled the yield curve through the two factor Hull White Model. Now I want to implement in Matlab the price development of a ATM-Call-Option (European). Has someone an idea how to combine ...