Questions tagged [history]
The history tag has no usage guidance.
22
questions
2
votes
0
answers
178
views
How did Bachelier characterize the Brownian motion?
The model for a stock price
$$
dS_t=\mu dt + \sigma dB_t
$$
where $B_t$ is a Brownian motion on $(\Omega, \mathcal{F},P)$, is commonly attributed to the work that Bachelier has carried out in his PhD ...
- 221
0
votes
1
answer
59
views
Where does the term "volume" come from?
Is there any significant reason why "volume" is the name given to the total turnover of trades?
What's the etymology?
- 171
1
vote
1
answer
749
views
What is the origin of the names of the Greeks?
I am not sure if this is the right place to ask or if I should head over to HSM (where they may object, too), anyhow:
What is the origin of the names of the Greeks? Who introduced those weird names, ...
- 111
0
votes
1
answer
76
views
What happened to direct access "electronic day trading" after 1998-2002?
I was looking through book catalogues and databases when I noticed something: most books about direct access "electronic day trading" for retail traders were published between 1998-2002, ...
- 521
1
vote
0
answers
35
views
When did the first exchange-traded warrants appear?
Exchange-traded options appeared after the Chicago Board Options Exchange (CBOE) opened in 1973. But what about exchange-traded stock warrants? From what I have surmised from reading, exchange-traded ...
- 521
2
votes
1
answer
315
views
Which of Terry Tao's co-authors on compressed sensing consulted for Renaissance Technologies?
On Feb 11 2018 on Quora, Vladimir Novakovski commented
Terry is Tier One in the RenTec world. His coauthor on compressed sensing did some consulting for them, actually.
Who's this co-author?
user31928
1
vote
1
answer
739
views
Textbooks on algorithmic trading
What are good sources and textbooks covering the theory and models behind algorithmic trading and strategies?
- 2,980
1
vote
0
answers
88
views
Who came up with 3/2 SV model
Sorry, not a very quantitative question, but does anybody know who was the first person to write down and publish the 3/2 stochastic volatility model? I need this for a reference/bibliography.
user34971
0
votes
1
answer
75
views
World Stock Markets that went up in 2008
We all know that the US stock market(s) collapsed in price in 2008, see https://en.wikipedia.org/wiki/United_States_bear_market_of_2007%E2%80%9309.
I was wondering what countries' stock markets went ...
- 2,472
0
votes
1
answer
615
views
DAX historical data H1 interval [duplicate]
I need pure DAX historical data on H1 interval (open, high, low, close). I can download data e.g from Dukascopy but this is DEU index (CFD for DAX) not DAX.
Where I can find good data (not CFD for ...
7
votes
1
answer
2k
views
James Simons (Renaissance Technologies Corp.) and his model [closed]
I think some of you know the famous billionaire mathematician James Simons. Somewhat as Warren Buffet, this guy cracked the Wall Street with a mathematical model (essentially most statistic and a bit ...
- 175
-2
votes
1
answer
186
views
Finding historical data monthly data [duplicate]
Where can I find historical data for WTI Price, gold price, CRB index for my research work?
Is there any website from where I can download these data?
5
votes
3
answers
603
views
Determining optimal trading signals (buy/sell) from past data
Let's say we have a stock which our only actions are buy, sell and hold (with or without shorting).
If we have sufficient past data of the stock, how can you determine the optimal trading action ...
- 153
17
votes
9
answers
8k
views
Why are options called what they are called?
This may be a very obvious question, but can someone tell me where and when the names call and put originated?
And similarly, where do the terms American and European option come from?
Aside from the ...
- 2,360
2
votes
0
answers
54
views
How to make a historical index of a group of materials in which the set of materials changes every month?
The question may sound simple however for the moment it is a brainteaser to get it right, let me explain:
the exercise is to be done on +/- 200 groups of materials (matgroups)
one matgroup can ...
- 21
-4
votes
1
answer
920
views
Why do we need derivatives? [closed]
I read somewhere that derivatives are the biggest weapons of financial destruction. Why do we need derivatives? If exploiting risk-proneness of people to make profit is the goal, why don't we stop ...
- 651
5
votes
1
answer
429
views
Inferring highest bid and lowest ask from forex trade data
I have historical trade data for every trade on a forex exchange, whcih includes the following data:
Time the trade was made
Amount, in currency A
Price, in currency B
I have also used this to ...
- 383
6
votes
1
answer
1k
views
What is the origin of the words "put" and "call" that characterize derivatives?
And, in a second round, what is the origin of the "long" and "short" in characterizing the respective positions in assets? Any pointers to etymology, first occurrences, or related literature would be ...
- 816
6
votes
1
answer
776
views
FX option history
I am testing my model and I am interested in options prices on EUR|USD for Jan, 2011.
The history can be even daily - but I have never had a deal with fx options, so I don't know where start to look ...
- 2,613
9
votes
4
answers
3k
views
Free/cheap source of structured historical quarterly filings?
What is a good place to acquire cheap/free historical quarterly filings data for US Companies? Specifically, I'm interested in the consolidated financial statements. The data should be well-structured ...
- 165
28
votes
4
answers
2k
views
Who has introduced the term 'vega' and why?
The sensitivity of the option value $V$ to volatility $\sigma$ (a.k.a. vega) is different from the other greeks. It is a derivative with respect to a parameter and not a variable. To quote from Paul ...
- 5,040
49
votes
9
answers
9k
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Option pricing before Black-Scholes
According to the Wikipedia article,
Contracts similar to options are believed to have been used since ancient times.
In London, puts and "refusals" (calls) first became well-known trading ...
- 5,040