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VaR model Unconditional Coverage Tests: Is this extension of Kupiec POF test correct?

Background: Kupiec P. in 1995, published paper "Techniques for Verifying the Accuracy of Risk Management Models" on Journal of Derivatives, v3, P73-84, it's a Unconditional Coverage Tests designe for ...
athos's user avatar
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5 votes
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66 views

Predatory trading as a game of size

Predatory trading has been addressed in literature frequently. I have read for example Brunnemeier (2005) but that paper mostly addresses predatory trading surrounding a preexisting distressed trader. ...
Bravarius's user avatar
5 votes
0 answers
361 views

Algorithmic Trading Model Calculation and Stale Data

I'd like ask everyone a more concurrency programming but definitely quant-finance related question. How do you deal with staleness of data in market hours as quote ticks are streaming and your model ...
cowmoo's user avatar
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4 votes
0 answers
801 views

Monty Hall Model

Given a fixed time period,say 3 days, the stock/market can go up,down or stay sideways. A hedge fund can long, short or use rangebound(options strategy) to bet for that 3 days closing level. Hedge ...
Shelagh's user avatar
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4 votes
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600 views

Algorithms for predicting a couple points in the future

I'm familiar with supervised learning algorithms like regression and neural networks which look at a bunch of input points and learn a function which outputs a value (the value varying depending on ...
Palace Chan's user avatar
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3 votes
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156 views

Models for tick-by-tick / high-frequency data

I've spoken to one or two persons at some market making shops, and I'm under the impression that for modelling tick data, aside from the rise of ML, a pure jump process such as the variance gamma ...
Frido's user avatar
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3 votes
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156 views

How to calibrate an O-U process based on historical data?

Background: I have been working on my master thesis project for the last few months and gave the final presentation on the 2023-06-01. As a part of the master thesis project, I did a complete ...
Yuanlin Dong's user avatar
3 votes
0 answers
171 views

Other statistical financial modeling textbooks like Risk and asset allocation by Attilio Meucci

I recently read about the book (Risk and asset allocation) written by Attilio Meucci and I found those statistical modeling and inference methods quite robust in my point of view, although there are ...
Trading Program's user avatar
3 votes
0 answers
253 views

How are Autocallables modelled?

What models are used to price autocallables ? Should we talk about Heston/SABR models which talking about this topic ? Any reference link is welcome.
chacha's user avatar
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3 votes
0 answers
104 views

Equity Options - "How do I build a forward simulation model with regards to shocks in spot pricing and IV?"

I am trying to build a "What-If" Portfolio, consisting of a total of 20 options, across different tenors, strikes (delta), but on the same security. Simply put, the objective is for me to test the ...
james's user avatar
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3 votes
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Fitting High Frequency Indicators

I have a high frequency time series of the bid and ask prices of a stock recorded on every tick. For each data point I also have a certain indicators that predict the future movement of the price. The ...
algotr's user avatar
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How can I do a dynamic GARCH model using extended Kalman filter in R?

Today I was reading an article quoted here, in this article is proposed an adaptive (dynamic) Garch model. How can I do it in R? The use of extended Kalman filter or particle filter is indifferent. I ...
Mik_79's user avatar
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0 answers
670 views

"Stable-Floating" model for non-maturing deposit for FTP purpose

Non-maturing deposits (NMD) is a deposit without maturity date. The deposit rate is normally low. Banks could adjust the rate at any time. The customer can withdraw without penalty, however, in real ...
athos's user avatar
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3 votes
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A doubt about Evans and Jovanovic (1989) economic model for entrepreneurs with credit constraints

[I already posted this question on the math forum of stackexchange and I was advised that I should post this question here] In Evans and Jovanovic (1989) you will find a model for entrepreneurs with ...
John Doe's user avatar
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how to represent financial data as a spatial process

Does any one have a good tutorial , introduction or overview on the web for different ways of representing financial data as a spatial process? Such as those spatial processes often used in geo-...
pyCthon's user avatar
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2 votes
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133 views

Is there daily SPX level data going back to 1927?

While attempting to model the SPX index over time, I found a source here that purportedly has historical daily SPX data going back to 1789 which very likely seems to be backcasted since the ~500 stock ...
QMath's user avatar
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191 views

Do we model stock prices using non-Markovian processes in continuous setting?

In a continuous setting, is it common to model stock prices using non-Markovian processes ? If so, do you have some examples of models ? Or is Markovianity something "embedded" in the ...
W. Volante's user avatar
2 votes
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125 views

tick/book data vs bar data, worth the infrastructure investment?

For reference, I am talking on behalf of a small group of math/stats graduate students as well as software engineers (we are 6 total), we know each other for years and decided to make a small (private)...
Curtis's user avatar
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2 votes
0 answers
113 views

modelling known regime shifts

I wish to model a price time series with a known regime shift: electricity price before during and after the introduction of a carbon price. The time series looks like this: you can see the jump in ...
Victor Maxwell's user avatar
2 votes
0 answers
94 views

"Correct" way to average OAS of multiple securities?

Suppose one wants to compute an OAS on a portfolio of securities, but one can only compute the OAS of the individual securities. Is there a "best" way (under some metric) for one to go about doing ...
RyanM's user avatar
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2 votes
0 answers
121 views

Calibration of intensity model

I could use some advice on calibration of stochastic intensity models. I am thinking that the CIR model is most suitable, as it can not take negative values (when feller condition is satisfied). I ...
A.Boh's user avatar
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2 votes
0 answers
114 views

Problems with a Black-Scholes modified equation

I haven't really studied much financial mathematics until about 2 months ago so I'm quite new to this stuff, so I'm sorry if this is a trivial question. At the moment I'm trying to work out what the ...
ThePlowKing's user avatar
2 votes
0 answers
449 views

VAR models for log-returns?

I am wondering if Vector Autoregression (and other autoregressive models) is a sound modelling for the daily (not high-frequency!) log-returns of time series from liquid financial markets. One can ...
mic's user avatar
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2 votes
0 answers
83 views

Is there anyone tried to use simultaneous stochastic differential equations?

I am looking for some examples or attempts of using simultaneous stochastic differential equations for financial analysis but there has been none so far. Is it just so nasty to apply such thing in ...
hmmmmm's user avatar
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0 answers
371 views

Modelling long run relationship between dividend and earnings

I am working on a paper where I have to model the long run relationship between earnings and dividends. I have downloaded the raw data from shillers website. I have converted the series to log(...
Fred's user avatar
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2 votes
0 answers
266 views

Modeling asset performance to Bitcoin revenue

I'm attempting to model asset performance to Bitcoin revenue, which is a driving force in the Bitcoin community. Question Is there any model, or research being done that tracks "hashes per second" (...
makerofthings7's user avatar
1 vote
0 answers
49 views

Modeling compounded RFRs with Vasicek

I’m wondering if simple interest rates models, like Vasicek, could be successfully used for modeling compounded setting-in-arrears rates (compounded SOFR for example)? As far as I see I can do that ...
KiNest's user avatar
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1 vote
0 answers
46 views

Question about the "VolZScore" in this article about applying the Boids algorith to equities to find flocking behavior

In this article, "Flocking behavior of US equities": https://www.cs.dartmouth.edu/~lorenzo/teaching/cs174/Archive/Winter2013/Projects/FinalReportWriteup/ira.r.jenkins.gr/final.html They use ...
Tristan's user avatar
  • 113
1 vote
0 answers
35 views

Inverse differencing in continuous time

I want to fit a continuous time ARMA (CARMA) model to traffic data $T_t$. After removing trend and seasonality I need first order differencing to obtain stationarity. Then I fit a CARMA model (yuima ...
Valentin's user avatar
  • 135
1 vote
1 answer
94 views

How to construct continuous futures contracts with multiple maturities

I am trying to replicate the Schwartz-Smith (2000) model and having an issue understanding what the data is and how to generate it. Specifically, the authors use a table of continuous futures with ...
user86422's user avatar
1 vote
0 answers
87 views

Climate Models in Banking - what modeling are banks currently doing?

I'm mostly interested in knowing what banks are doing in Ireland and other Western European countries. I know, from Google searches, that banks are currently doing climate risk stress-testing, but I'm ...
newbie_programmer's user avatar
1 vote
0 answers
45 views

Fitting model between security price and intraday volatility

I'm trying to construct a model which shows how much the closing price of a security ($P_t$) differs from the VWAP of that security on that day ($VWAP_t$). I'm calling this measure the "VWAP ...
Ringleader's user avatar
1 vote
0 answers
71 views

Methods of predicting liquidity consumption

Let's consider limit order book for a certain stock. By liquidity consumers i mean traders that buy/sell shares using market orders. What are the known methods/models for predicting total amount of ...
mkultra's user avatar
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1 vote
0 answers
88 views

Replication of results shown in 'Empirical Asset Pricing: The Cross Section of Returns' by Bali, Engle, and Murray

I'm currently trying to reproduce some results shown in the book 'Empirical Asset Pricing: The Cross Section of Returns' by Bali, Engle, and Murray. More precisely, I try to compute Table 7.3 and 9.1. ...
LisaBinder's user avatar
1 vote
0 answers
59 views

How to estimate lambda from NAGARCH submodel in R

I am trying to estimate the model="fGARCH", submodel="NAGARCH" from the rugarch package in R. However, when I am estimating the parameters, only omega, alpha, beta and gamma are ...
August's user avatar
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1 vote
0 answers
50 views

How do I deal with nonexistant data in a time series with an irregular frequency?

I am trying to do some time series analysis on the margin resulting from three specific commodity futures contracts and ultimately forecast the margin. The margin is calculated as M = F1 + F2 - F3. I ...
rjdata-analyst's user avatar
1 vote
0 answers
99 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 ...
Hunger Learn's user avatar
1 vote
0 answers
93 views

Searching for two papers of H.Leland with regards to capital structure

I am searching for two papers of H. Leland which I assume previously were online, as many published papers have cited them. The first work (Lecture notes) extends the Leland(1994a) model by ...
alexbougias's user avatar
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1 vote
0 answers
112 views

Framework for analyzing transaction history

After many years of being discretionary trader I'm finally moving to systematized trading. I have all the transaction history from my broker I want to be the basis of my models. Is there a framework ...
kambi's user avatar
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1 vote
0 answers
56 views

Measuring corporate size relative to world GDP

I'm working o a model where corporate revenue / world GDP is a dependent variable of some stuff (based on the model proposed in this paper: http://www.scielo.br/scielo.php?pid=S1807-76922009000200002&...
Delta's user avatar
  • 111
1 vote
0 answers
79 views

Local volatility model equivalent reformulation

Do we have a equivalent formulation of the local volatility model, where the SDE of the model would be on the volatility and S would be a functional of the the volatility and time? Thanks.
stackoverflower's user avatar
1 vote
0 answers
287 views

Vega with SVI Gatheral bumps

How would one go about computing a vega profile of an exotic derivative where the volatility surface is modeled using Gatheral's SVI parameterization? In particular, I am thinking about bumping each ...
John Doe's user avatar
  • 387
1 vote
0 answers
77 views

Binary or Multiclass Classification?

So I've been using ensemble methods to model stock price movement, using intraday per-minute data in the OHLCV format, with the prediction being a 1 if the future close goes up, and 0 if it goes down. ...
Hassan Sabree's user avatar
1 vote
0 answers
58 views

How to reduce data dependence for empirically assessing option pricing model performance?

I am preparing a paper about mitigating assessment failures for option pricing models. For the sake of simpliciy, suppose we are talkin about European options. In basic terms, what I would like to say ...
berkorbay's user avatar
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0 votes
0 answers
56 views

How to mathematically model Bid and Ask as two separate processes, and combine into a Price process?

Let's say you were modeling bid and ask as two separate processes. With their own mean and variance. And with the constraint that ask must be greater than or equal to bid. How would you then ...
Tristan's user avatar
  • 113
0 votes
0 answers
36 views

Option pricing model adjustments in practice

I’m trying to understand significant differences in theoretical options pricing data that I‘m seeing. I’m new to this, so I suspect I’m missing something obvious. Taking a fixed set of inputs 1, when ...
Sam C's user avatar
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0 votes
0 answers
35 views

YUIMA: Drift and diffusion parameters must be different?

I am currently working with the Yuima package and trying the estimate the parameters of a CARMA(p,q) model to real data. Using the eacf function of the TSA package a ARMA (2,1) process is recommended ...
Valentin's user avatar
  • 135
0 votes
0 answers
42 views

Risk aversion and inter dependency in finance

In almost all papers that I read in quantitative finance trying to model a situation where several financial agents interact the distribution of the individual risk aversion is considered as ...
G2MWF's user avatar
  • 145
0 votes
0 answers
48 views

Explicit pythonic building of Flat Forward Curve using Changes assumed from central bank meetings to price FRAs

This question is related to the following questions asked previously, primarily the first: Using QuantLib to build Flat Forward Curve using Changes assumed from central bank meetings to price FRAs ...
Naim Hussain's user avatar
0 votes
0 answers
71 views

Potential Future Exposure for vanilla swap

I need to calculate the PFE for vanilla swap. I wonder if it makes sense to simulate the MC scenarios with a 1-factor Hull white model. In my opinion, this model only allows parallel curve ...
SIMO's user avatar
  • 51