Questions tagged [financial]

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Can someone weigh in what formula or theory Jeffrey Epstein was teaching here and what his markets may have been? [closed]

I'm curious if anyone can determine what theory or model Jeffrey Epstein was working on here in this photo. Very interesting. Some people have told me he's a notch below a James Simons but i'd still ...
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20 views

about CDS data from Bloomberg

I am thinking of using function in excel(from Bloomberg) to get all the CDS bid and ask price. Does anyone know what kind of function is needed? Also, how to merge the CDS data in Bloomberg and Markit?...
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0answers
39 views

Definitions of bubbles

In Financial Bubbles: Mechanisms and Diagnostics, Sornette and Cauwels define the concept of "bubble": More technically, during a bubble phase, the price follows a faster-than-exponential power law ...
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3answers
362 views

Regularizers to compute Minimum Variance Portfolio weights

I need to compute the mimimum variance portfolio using different regularizers, to compare the results and use validation methods to find the optimal parameters. Currently my work has been performed ...
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1answer
88 views

Compare portfolio variance using different regularizers

I'm given a question like below. Using the 48_Industry_Portfolios_daily dataset: characterize/describe the dataset and focus on the global minimum variance portfolio. Compare the portfolio variance ...
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1answer
43 views

Practical applications of financial instruments with infinite lifetime

In financial mathematics, mathematician sometimes consider financial instruments with infinite lifetime, e.g. bonds or options. I am curious how it looks in practice. Is the case of ​​an infinite ...
-1
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1answer
164 views

Help to understand the XRBL format used in Uniform Bank Performance Reports (UBPR) from the FFIEC

I'm working on a project to extract the reporting data of federal financial institutions from the FFIEC site (using Python programming). The data is coming from the Uniform Bank Performance Report (...
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0answers
116 views

Wavelet transform (the à trous time-based decomposition) in R

I urgently need to know how to apply the 'à trous' time-based decomposition in R [also known as Stationary Wavelet Transform] on a time series as a preprocessing, to use the result in forecasting and ...
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1answer
52 views

Definition of the bubbles and crashes

can anyone help me to explain how the following model works? In this formula $P(t)$ is a price at time $t$ and $F(t)$ is the residual noise term. The $\omega(i;T_i)$ and $P_{o}(i;T_i)$ are ...
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1answer
62 views

Are financial returns considered more volatile in recessionary times as opposed to expansionary times?

I need help in understanding some results that I have obtained. I am doing some out-of-sample performance analysis for different targets of volatility in mean-variance optimization where I solely ...
2
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0answers
19 views

Decision criteria after seasonal drop (GAME)

I'm playing a game in which you can buy and sell items (it's an mmorpg). Now, after certain events, there is a huge drop in the price of certain items (there is a seasonal double experience weekend in ...
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0answers
58 views

What are the best sources for fundamental financial data? (not yahoo or google, neiter SEC counts as good) [duplicate]

I'm looking for a source for fundamental financial data, where I can download financial statements into excel. The source should provide the exact figures shown in the annual reports (not standardized)...
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1answer
295 views

How to calculate Skulls Financial Turbulence for one asset?

I have just read this paper http://www.cfapubs.org/loi/doi/abs/10.2469/faj.v66.n5.3 In the paper they define financial turbulence formula as: Could anyone help me calculate/understand this formula, ...
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1answer
233 views

Financial Mathematics essay topic

I have a mathematics background and I am currently doing a Masters in Financial Mathematics. I am required to write an essay in a financial mathematics area but I have little knowledge about it since ...
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1answer
77 views

$\frac{1}{p(T_{i-1},T_i)}(A-p(T_{i-1},T_i))^+$ at time $T_i$ is equivalent to a payment of $(A-p(T_{i-1},T_i))^+$ at time $T_{i-1}$

How can I show that payment of $\frac{1}{p(T_{i-1},T_i)}(A-p(T_{i-1},T_i))^+$ at time $T_i$ is equivalent to a payment of $(A-p(T_{i-1},T_i))^+$ at time $T_{i-1}$ ? Where A is a deterministic constant....
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2answers
977 views

Historical Financial Statement to Backtest in R

I would like to preface this by saying I am preparing for an upcoming internship this summer so I am extremely new to Quant Finance. At my university we have access to Datastream by Thomson Reuters ...
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1answer
481 views

Difference in weekly and monthly data

I am confused about the following: I checked daily and weekly prices for Exxon (and also GE). But the values for Open, Low, High, Close, Vol., Adj. Close for both data streams seem to differ from each ...
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7answers
1k views

Do quants need to know Accounting?

Do quants need to know Accounting? In my school's undergrad Quant program, we had Financial Accounting and Managerial Accounting, which were listed as prerequisites for our undergrad Finance subjects....