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Questions tagged [finance]

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1answer
195 views

Is it possible for two securities to have the same first 8 characters of a cusip, but differ in the check sum?

CUSIP is a 9 character long identifier. The last digit is a check sum checking the first 8 previous characters. This seems to me that it is not possible for two securities to have the same 8 ...
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1answer
211 views

CVA number used by Finance Team

What are different reasons, Finance Team will need CVA number for? Is there any specific regulatory reporting to be done?
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2answers
133 views

Infinite autocorrelation - Unit root?

I have a time series of gold prices, on which I want to build an ARIMA model. The series is autocorrelated and if I can difference as often as I want, it always is. First: data: d1gold Dickey-Fuller ...
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1answer
52 views

Why Joshi defined option value to be discounted payoff using risk neutral expectation?

Currently I am reading Mark Joshi's The Concepts and Practice of Mathematical Finance. At page $59,$ the author mentioned the following. Instead of requiring that every portfolio should have ...
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1answer
22 views

Do not understand 'If an option position includes short American-style options, then the payoff-diagram may be misleading'

Currently I am reading Basic Black Scholes: Option Pricing and Trading by Timothy Falcon Crack. At page $42,$ the author mentions the following. If an option position includes short American-style ...
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1answer
56 views

Clarification on certain finance terms surrounding bonds

Whilst revising for my upcoming financial mathematics exam I've been struggling to get to grips with certain terms/ phrases used when studying Bonds. I am very new to Finance and get confused very ...
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1answer
58 views

Definition Of A Portfolio

I have very recently started studying quantitative finance on my own through a book called An Introduction To Quantitative Finance by Stephen Blythe. In chapter 6 of his book, he sets out to prove ...
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1answer
56 views

Can MACD be calculated for values other than 12 and 26?

I am working on time-series classification problem using Convolutional Neural Networks in Python. The data-set used is financial stock market data (like yahoo finance). I am using some technical ...
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1answer
50 views

Estimating monthly GDP growth based on quarterly data

Apologies for this newbie question. Given the following quarterly GDP growth: ...
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4answers
97 views

How to test the linearity assumption of a model?

Let's say I want to have a model that projects income over a stressed period. I have a marked-to-market component that shows the P&L of trading book positions during this stressed period. Along ...
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1answer
56 views

Calculating Mutual Fund Returns [closed]

Using Thomson Reuters Eikon I can extract the monthly NAV and Dividen Payments of a fund. I would like to calculate the monthly returns of a fund now. Would this be the right approach? Fund Date NAV ...
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1answer
64 views

How to Calculate Stock Return with Stock Bonuses and Rights?

I would appreciate if you could let me know how to calculate stock return for a given company when the company issued bonus shares and rights. If company just paid dividends, stock return would be: ...
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1answer
78 views

performance attribution - security selection= wB*(Rp-RB) or wP*(Rp-RB)?

Really confused. Finding various different ways of calculating security selection alpha. I believe it matters from whose perspective one is looking at. I am a portfolio manager and I want to know ...
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1answer
41 views

Should the valuation decision of the following question be undervalued or overvalued?

The official solution to this question is B, but I don't understand that if the recommendation is given by the CAPM model, then the CAPM estimated return should be regarded as "fair" and benchmark for ...
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1answer
851 views

optimal portfolio with different lending and borrowing rates

I have 4 risky securities (have returns and var-cov matrix for monthly data), and I can lend at 1% per annum, but borrow at 5% per annum. If i wish to obtain the s.d. of 5%, what is the optimal ...
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1answer
111 views

Trading book estimation

Do you have any idea/hints how could I estimate the size of the trading book of a particular bank relying solely on its annual financial report? Any help would be much appreciated!
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1answer
415 views

PortfolioAnalytics R package - Error with the function “create.EfficientFrontier”

Issue The function create.EfficientFrontier from the PortfolioAnalytics package is outputting an error message that reads: <...
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1answer
46 views

How to determine how much a company can invest in M&A activity?

I am an engineer who is increasingly interested in business-related things, and I am reading and learning a lot about what you can derive e.g. from financial statements. One question I was wondering ...
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1answer
107 views

How do I loop through all the stocks and find the 10 stocks with the highest Sharpe ratio using R program?

I am recently doing a project, which I need to apply Sharpe ratio to all the stocks. How do I loop through all the stocks and find the 10 stocks with the highest Sharpe ratio using R program? Thanks a ...
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2answers
50 views

CAPM - Do I use start or end of period prices?

If I use monthly price data in the standard CAPM, should I take the price at the beginning or the end of the month? What is the convention? Or does it not matter? Is there any literature that deals ...
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1answer
145 views

what % of stocks with +$1b market cap will double in 3 years on average historically?

If I'm looking to pick stocks that will double in 3 years, how do I figure out what is the likely universe that I'm choosing from? I just want a rough estimate of the universe given the market cap ...
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1answer
123 views

short selling with collateral accounting

I don't know how the accounting works for short selling with collateral: For example if a stock is \$10 a share and turn out to be $15 a share a week later. At time 0, you borrow and sell 10 shares ...
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1answer
262 views

L1 norm regularization of Markowitz portfolio in matlab

Markowitz portfolio with L1 norm regularization added L1 norm regularization based on the original model. The constraint equation is as follows: The following code is the original Markowitz Mean-...
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1answer
205 views

Strategies on steepen yield curve

Believe that the yield curve is going to steepen very soon. It may be fall in short-term rates, a rise in long-term rates, or some combination of these. What strategy should we pursue in the bond ...
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1answer
118 views

Normal vol - convention

apologies for the simplicity of the question, but I was wondering: what is the quoting convention for normal (bps) volatility? Say I have the following time series of data: Date Close Abs Change 20-...
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1answer
2k views

Directional/Non-Directional Risk

Can someone explain to me what is direction/non-directional risk? Went through few sites but couldn't understand much.
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0answers
40 views

How to determine when to release a new product? [on hold]

Lets say you make a widget that costs $100 and is widely distributed & sold. You’ve started selling widget version 1 and sales are good. How from a finance perspective do you determine when to ...
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0answers
39 views

How to measure synchrony in financial time series

I have a multivariate time of series of monthly capital flows, the data is stationary and after plotting the all series together in one graph, the oscillatory was very clear in trends of the variables....
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0answers
18 views

Nasdaq price index, dividend yields and dividend

In a paper that I'm reading it says: We collect monthly observations on the Nasdaq composite price index (without dividends) and the Nasdaq composite dividend yields, and compute the Nasdaq ...
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0answers
20 views

Operational Risk Loss Distribution with Insurance

** Referring to part (c) First is 5000. Am I supposed to replace the 8000 with 5000 while maintaining its probability? For the second part, which includes the cost of insurance, do I add it to the ...
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1answer
57 views

intro book to learn trading desk basics like beta, gmv, Sharpe, etc [duplicate]

Are there any recommendations regarding these basic topics one might find on a systematic trading desk? Also basic hedging theory and basis trading would be appreciated as well.
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0answers
31 views

How Free Of Payment (FOP) trade works? How it impacts NAV and P&L?

I want to understand how the Free of Payment(FOP) trades work from accounting point of view. My questions are: What data we collect while capturing FOP trade? How it impacts NAV and P&L? e.g. say ...
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0answers
36 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 ...
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0answers
105 views

What exactly does shifting a barrier in a barrier option mean and how does it hedge delta?

How exactly is shifting the barrier to hedge delta implemented in case of barrier options. Is it just changing the barrier, if so, how does it hedge delta or is it making the barrier a range like a ...
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0answers
52 views

API returning company tickers found in provided news article

I'm looking for a REST API (paid or free) that accepts a string containing a news article (example below) as payload and returns an array of company tickers (eg TSLA for Tesla) mentioned in the ...
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0answers
31 views

Expected Payoff of stock using risk neutral Valuation

I recently saw a calculation where the expected 10-state-payoff-diagram of a stock with mean 6% and variance 20% was calculated through the risk neutral measure. The method was as follow: ...
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0answers
16 views

Deriving sources of return (over.) extrapolation from surveys

I would like analyze what causes investors to extrapolate returns and there are several theories out there that aim to explain such behavior, such as for example the representativeness heuristic by ...
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1answer
57 views

How to simulate a path through its solution and conditional expectation / variance

Hi I want to simulate in Matlab the following stochastic integral: $ x(t) = x(s) e^{-a(t-s)} + \sigma \int_s^t e^{-a(t-u)} dW_1(u)$ with $E[x(t) \vert F_s] = x(s) e^{-a(t-s)}$ $Var[x(t) \vert ...
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1answer
50 views

Definition of a contingent claim X

I try to understand what a T-claim is and I am asking for an intuitive explanation? For instance. Let’s say I buy a zero coupon bond that will pay me 1 in two years. In terms of expressing as a T-...
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1answer
49 views

What does “follow forwards” mean?

In the context of "if equity returns follow forward", what exactly does "follow forwards" mean? Thank you!
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1answer
403 views

How do I calculate levered equity beta without unlevered equity beta? [closed]

I'm doing an assignment where I have liabilities including market and book values of long-term debt. I also have capital including common stock, paid in capital, and accumulated earnings. I've been ...
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0answers
54 views

Simplest portfolio optmization under transaction costs

I've been studying portfolio optimization trying to go step by step. After seeing much of Markowitz and Merton's work (Although I still don't get all of it), I would like to have acquire more ...
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0answers
159 views

Yahoo options chain pricing vs stock broker pricing

I am having hard time understanding the price difference of yahoo option chains. For example: Yahoo shows for TWTR FEB 17, 2017 CALL @16.50 option ...
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0answers
36 views

Obama's lowering mortgage ins rates makes no fiscal sense, because the Fed just raised its rates for the first time last year. Right?

Background: This is a follow up from this question, regarding Obama's lowering of the mortgage insurance rates 11 days before Trump was inaugurated (not to go into effect until week after Trump became ...
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1answer
50 views

Where can I get intro to basic personal finance terms? I'm a software engineer [closed]

I am a software engineer. I might be working on a project in near future that will require some knowledge of basic finance terms. I never had any course about finance or accounting in college or ...
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0answers
23 views

Why does the difference between two year's retained earnings not add up?

I am looking at a company's 10-k filing history for my valuation. I have collected figures for retained earnings, net income and ...
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1answer
3k views

How to Calculate a Negative ROI?

How to properly calculate negative ROIs? I am just wanting to calculate very simple ROIs, which could be very negative, but it doesn't seem to work. Wikipedia defines ROI as this formula: return ...
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0answers
123 views

Risk-neutral probabilities

I will use this theorem 3.2 from the book "Quantitative modeling of Derivative Securities" by Marco Avellandea: Theorem 3.2 - Assume that there is no arbitrage, i.e. there exists a risk neutral ...
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0answers
22 views

Overstating Interest Rates?

I'm fact checking my analysis, so there's only one possible answer in that I'm either right or way out in left field (wrong). A friend of mine mentioned this bitcoin lending site and I looked at it ...
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1answer
65 views

Compute the (Net) Present Value

Let's have a project where we invest 1000 at the beginning of year 1 and 1000 at the beginning of year 2. At the end of year 2 the income is 2200 and the project is closed. Person A discounted with ...