Questions tagged [financial]

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6
votes
7answers
2k 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....
5
votes
1answer
330 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, ...
4
votes
2answers
1k 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 ...
3
votes
2answers
173 views

Stochastic Calculus problem with three processes? (Itô calculus)

Can someone help me solve this following Itô Calculus problem? Let $Z(t):= [B(t)*X(t)]/S(t)$ We have the following dynamics of B(t), X(t) and S(t): $dS(t)=\alpha S(t)dt+\sigma S(t)dW(t)$ $dB(t)=rB(...
2
votes
3answers
788 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 ...
2
votes
1answer
71 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
votes
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....
2
votes
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 ...
1
vote
1answer
159 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 ...
1
vote
1answer
321 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 ...
1
vote
0answers
35 views

What to choose after MBA finance major? [closed]

Particularly my younger sister is bit confused about what she can expertise in after doing MBA finance major. She has her final year this year, post which she wants some short term courses or ...
1
vote
1answer
61 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
47 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 ...
1
vote
0answers
140 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 ...
1
vote
0answers
60 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)...
1
vote
1answer
580 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 ...
0
votes
1answer
35 views

Why are the risk neutral probabilities constant in the Cox Rubinstein model when delta needs to be changed at each time step

Consider the Cox Rubinstein binomial pricing model with N steps, with stock price change given by parameters u and d so that at step $i$ we have $S_{i+1} = uS_{i}$ or $S_{i+1} = dS_{i}$ with $0\leq i \...
0
votes
1answer
50 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 ...
0
votes
1answer
57 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 ...
0
votes
0answers
23 views

How to get daily S&P500 dividend and CPI data?

For a project where I'm modelling asset prices using heterogeneous dividend expectatations, I want to investigate the effect of the COVID-19 virus. This means I'm looking at daily stock price data ...
0
votes
0answers
33 views

What API to query to get the financial information of non US stocks?

I am reaching some API in order to get a few information necessary to know which ones are suitable for a defensive investor strategy from 100 tickers worldwide that you can download here. However it ...
0
votes
0answers
29 views

how to calculate yearly volatility from weekly obersvations over 179 weeks?

I am working right now at something and I want to get sure that I am not doing any mistakes - maybe you can help me: I collected weekly returns from a stock over 179 weeks and know I want to ...
-1
votes
1answer
202 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 (...
-3
votes
0answers
24 views

Best option to buy? Explain your answer [closed]

Options A & B sell for \$5, for an underlying stock which currently sells at \$30. Both mature in 1yr, & risk free rate=6%, variance=30%. Upon maturity, exercise option A for \$25, and option ...