Questions tagged [finance]

Finance describes the management, creation, and study of money, banking, credit, investments, assets and liabilities as well as the systems to handle these instruments.

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40 views

Does a combination of a long European call option and short European put option on same stock have the same payoff as the stock at end time [closed]

Does a portfolio with a long European call option and a short European put option (on the same stock with the same maturities and strike prices) have an equal payoff to the stock at terminal time?
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4answers
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where can i get data for foreign exchange order flow

I need data for my thesis research on liquidity of foriegn exchange for order flow (aggregated daily) per currency traded for a period over the last 10-15 years. help!!
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1answer
111 views

forward variances under rough bergomi

I have seen in several papers on rough volatility using the following expression for the forward variances $$ d\xi_t(u) = \xi_t(u) \eta \sqrt{2H} (u-t)^{H-1/2}dW_t $$ Can anyone explain to me how this ...
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2answers
97 views

Pricing binary options

A binary option pays an amount of money if an event takes place and zero otherwise. Binary options are usually used to insure portfolios against large drops in the stock market. On March 25, 2021 the ...
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31answers
222k views

What data sources are available online?

What sources of financial and economic data are available online? Which ones are free or cheap? What has your experience been like with these data sources?
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0answers
34 views

Different tickers with the same ISIN are the same - even if stock price is different?

I'm a little confused about this. Say there's a ticker I'm interested in called A ("Company Holding AG") @ \$1.2. I search for ...
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16 views

How do I calculate inflation adjusted CAGR?

I'm running backtests with monthly data going back to the 1920's and I'd like to compare different strategies using inflation adjusted CAGR. But I don't know how to calculate it. Would any of these ...
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0answers
30 views

Change weights of the portfolio [closed]

I have spent a lot of time finding some trading alphas. Now, I have about 10 alphas to trade Future, I also optimized the portfolio by using Markowitz's Modern Portfolio Theory (MPT) to get weights. ...
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62 views

Daily weights and returns of portfolio that rebalances monthly

I am to replicate the Betting against beta strategy by Pedersen and Frazzini. We use daily returns of the stocks and construct two portfolios based on their ranked betas. Weights is also based on the ...
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25 views

Milstein scheme for Heston model - rate of convergence

Heston model is described by following SDE \begin{equation} \begin{aligned} dS_t &= \mu S_t dt + \sqrt{\nu_t} S_t dW^S_t \\ d\nu_t &= \kappa(\theta - \nu_t) dt + \xi \sqrt{\nu_t} dW^{\nu}_t \\ ...
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Which interest rate model is the most popular

Hey on wikpedia (https://en.wikipedia.org/wiki/Short-rate_model) there are quite a few short rate models listed, but which models are the most commonly used now? Because such simple models as Vasicek ...
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2answers
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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 ...
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32 views

How to backtest using portfolio compositions in python using backtrader

I have a csv file / pandas dataframe which looks like this. It contains various portfolio compositions for different strategies. Mostly based on different optimisation methods, max sharpe, min VaR etc....
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Why we need to divide by 1 million when calculating market capitalization for data from Compustat?

Retrieving the data from Compustat Global, I have the number of stocks in Brazil is 1,000,000 times that collected from Datastream. For example, a company named "Telecomunicacoes Brasileiras Sa &...
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1answer
33 views

Where can I find the list of companies in US that have defaulted

I am trying to find a list of US companies that have defaulted in the recent past .Any link for this?
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1answer
53 views

What is the difference between a non-convertible and a non-deliverable currency?

it seems non convertible (eg CNY) or partially convertible (eg BRL) may be due to capital controls or a currency only used domestically. I was then wondering what is the difference between a non-...
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3answers
97 views

TIPS (Treasury Inflation Protection Security) Information

I've recently been learning about TIPS and their role as an inflation protection instrument. If you buy a TIP even when it has a negative real yield-to-maturity, is it still possible to have a ...
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0answers
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Backtesting multiple portfolio optimisation and trading strategies using number of stocks to purchase as input

I want to backtest a trading strategy + portfolio optimization but I have never used a backtesting program before. I am comfortable with python I think. My outputs from my trading logic (after ...
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4answers
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data on historical stock price of bankrupt companies

does anybody know a site where I can download historical data on stocks including companies that have gone bankrupt such as lehman brothers? it appears that bankrupt companies no longer appear in the ...
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0answers
31 views

Euribor + margin

I have this bond assigment where I have to calculate the CF each quarter, given a constant EURIBOR3M rate of -0,539%. There is also a 1,6% margin per annum that I have to take into account. The ...
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2answers
138 views

Storing options EOD time series in Flat Files

I have purchased data for EOD settlements of options prices for USA futures for personal use. I will not need multiple user access or real time access. I am not an expert programmer but use C# and R ...
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1answer
33 views

current FRA quotation

where can I find the current FRA (Forwad Rate Agreement) quotes? I know this is an OTC contract, but I would like to see what the rates for such contracts look like at the moment.
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1answer
231 views

Pricing of forwards contracts

Of the courses I am taking in college this semester, two are Financial Mathematics and Derivatives. In each course, we learn different formulas to calculate the forward price of a forward contract. ...
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0answers
41 views

Converting Euro returns into USD terms

I have a series of log returns calculated on an index that is priced in Euro terms, and I'd like to convert those returns into USD terms. Would it be mathematically correct to calculate log returns on ...
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0answers
26 views

Cox-Ross-Rubinstein Model Closed Formula for Call Option

I am I quite new to the topic and at the moment I am self studying the CRR model. My notations are: $N$ number of periods, $\delta T$ length of one period, $S_0$ stock price at time $t=0$, $f_0$ ...
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1answer
72 views

what do metrics and indicators mean in the finance context? Like trading of MBS products [closed]

it's often heard in my daily work as a programmer in an investment bank, supporting mortgage backed securities desks (passthrough, agency cmo, cmbs, etc). My take is that the terms describe the ...
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0answers
152 views

Yield-to-maturity (YTM) vs effective annual rate (EAR)

If the yield-to-maturity (YTM) on a bond is 5%, is the effective annual rate (EAR) on the cash flows associated with the bond also 5%? I know that YTM does account for the present value of a bond's ...
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0answers
44 views

Rewriting WACC Formula

$WACC = \frac{E}{V} * R_e + \frac{D}{V} *R_D(1-T_c) $ where $R_D$ should be the cost of the debt. $T_c$ is the tax rate. When googling the formula for cost of debt I find $Cost of debt = R_D = ...
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2answers
39 views

Is there ever a case where there are multiple ticks (different prices) at the same tick timestamp in Forex?

Say I'm receiving ticks for AUDUSD. The timestamp for Forex tick data seems to go down to a resolution of .001 second (milliseconds). Example: ...
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1answer
194 views

How can we observe volatility smile from the market. Drawbacks of Heston Stochastic Volatility Model

Here are two questions related to implied volatilities. a) The set up here is for an European option. We can get its implied volatility smile from calibration, the question is why could we also ...
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2answers
30 views

UK Government Debt Statistics

I would like to find some stats regarding UK Government debt. Any leads ? I am looking for following questions Debt / GBP ? ( Got it already ) Debt profile ( by maturity, instrument) New debt ...
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9answers
39k views

Building Financial Data Time Series Database from scratch

My company is starting a new initiative aimed at building a financial database from scratch. We would be using it in these ways: Time series analysis of: a company's financial data (ex: IBM's total ...
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1answer
65 views

Why does holding a linker give you positive carry when inflation indices move up?

My book says: "By construction, the cash flows of inflation linked bonds are indexed, using daily indexation factors that are applied to the real price of a bond to arrive to the dirty price of ...
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1answer
70 views

relationship between the expected rate of return and the value measured by the beta factor

Assume that only two companies are listed on an effective capital market: companies A and company B. Capitalization (market value of all shares) of both companies is the same. Expected rate of return ...
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1answer
81 views

Calculation of Market portfolio from efficient frontier

I have a specific Portfolio frontier. Can someone provides me with details about how can I calculate the market portfolio from the efficient frontier? I know that I have to draw the tangent line from ...
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1answer
106 views

is it possible to get minimum variance line having only covariance matrix?

Hey I have covariance matrix: $$C=\begin{pmatrix} 0,01 & 0.01 & 0\\ \\ 0.01 & 0,02 & -0.01 \\ \\ 0 & -0.01 & 0,03 \end{pmatrix}$$ So the variance of porfolio is: $$\...
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1answer
32 views

Valuation of the minimum guaranteed return that (some) pension funds provide - how would you do it?

Let's say a pension fund guarantees an annual return of at least 5% to their customers/investors, such that the investors face a payoff like the one of a call option (no downside). For this guarantee ...
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0answers
56 views

Exercise on Delta-Neutal-Hedging

Suppose you have three positions in the following assets in euros: long on 10.000 calls (maturity T = 3 months, strike= 0.55, Delta (1 call) =0.533), short on 210000 calls (maturity T = 3 months, ...
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1answer
79 views

return volatility calculation with respect to different time period

in the BS model, if an option has 3 year expiration periods, and if the time of maturity of that option is calculated( periods between the grant period 2011-9-15 and exercise periods 2014-9-15 ), and ...
2
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1answer
80 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 ...
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1answer
233 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 ...
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0answers
35 views

Kalman Filtering theory and application in Finance models under asymmetric or incomplete information

Why do we need Kalman Filtering theory in dynamic models in finance when we consider an environment of asymmetric or incomplete information? I understand that this has to do with the update of the ...
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1answer
55 views

What does XIRR show?

I've put aside 1000 EUR for trading strategy test. Made number of trades where each position was worth 5 EUR. At any moment there was invested from 0 to 80 EUR. Entered all cashflows to XIRR function ...
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1answer
48 views

Confusion about candlesticks colors [closed]

Why is the second green candle stick green? Given that its closing price is less than the previous candlestick's closing price, shouldn't it be orange? Source: coninbase 1m chart for ethereum: https://...
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0answers
29 views

What is the name of leverage contracts where the worst case payoff is zero?

In a typical leverage futures contract the value of a position can be negative. That is to say, if you go long \$100 with 10x leverage at a price of \$50 and you then sell at \$40, the value of the ...
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4answers
65 views

corporate bonds - general questions [closed]

Newbie here and not trading IRL but for a school assignment. I want to buy corporate bonds because they are a safe bet from what I read. I have a few questions though, I hope I will find an answer ...
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1answer
144 views

R - Portfolio construction based on own calculations, with rebalancing of components

I have used random forest in R to get probabilities for stocks being in a certain class. With those probabilities i would like to construct portfolios containing the 5 stocks with the highest ...
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2answers
161 views

Starting Point for understanding Financial Theory for a Statistician

I am a Master’s student in Statistics who is interested in the field of Financial Modelling. I have very little experience or knowledge of Finance and have mostly worked on introductory projects in ...
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0answers
24 views

Latest and currently utilized research on modeling option pricing with IV smile

As per title, where would I find the latest research papers on modeling option pricing, accounting for IV smile? I'm specifically interested in papers that already found practical application in some ...
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0answers
26 views

What is the shadow cost of capital for a bank?

With regard to banks RWAs (risk weighted assets), what does it mean a trade leads to a positive shadow cost of capital?

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