Questions tagged [programming]
For questions about programming languages, implementation, and packages in quantitative finance. Note: question must be specific to quantitative finance and must necessitate knowledge of quantitative finance in order to be on topic.
432
questions with no upvoted or accepted answers
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726
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Block bootstrap to synthesize asset prices
I have a few basic questions on block bootstrapping on a financial time series ('TS').
Assuming my trade universe consists of 10 stocks, I would like to create a set of synthetic prices for all 10 ...
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10
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0
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829
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Alternative to Block Bootstrap for Multivariate Time Series
I currently use the following process for bootstrapping a multivariate time series in R:
Determine block sizes - run the function b.star in the np package which produces a block size for each series
...
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9
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0
answers
281
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Determining Hurst exponent of a Brownian motion
I am trying to determine the Hurst exponent of a simple Brownian motion, however, I seem to get a result that differs from 0.5. I am following the instructions given on the Wikipedia-page, and here is ...
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Replicating Bloomberg Swap Prices with QuantLib
I'm trying to learn more about the QuantLib python package and as an exercise I'm trying to replicate some swaps on Bloomberg. However, when I do so, it seems like my swaps are consistently ...
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6
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875
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(C++) Monte Carlo pricer for SABR model to test Hagan / Paulot formulas
I'm trying to test the so-called Hagan formula (p.6 of this paper) and the Paulot formula, order 1 only (eq. (43) p.19 of this paper. For this, i'm trying to use both Euler and Milstein scheme ...
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6
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3k
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Implied volatility from American options using python
I am currently trying to construct volatility surface from american option prices (using Cox-Ross-Rubinstein tree) in Python 2.7. Below you can find the code I came up with. Any corrections would be ...
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5
votes
1
answer
2k
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How to calculate average entry price for perpetual swap contracts?
I'm trying to calculate the average entry price for perpetual swap contracts for use in back-testing a trading strategy, as per Bitmex's documentation:
A Perpetual Contract is a derivative product ...
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5
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274
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Implementing Hanson`s LMSR with Limit Orderbooks
I am trying to integrate Hanson's LMSR (see (see logarithmic market scoring rule)into an order-book with traditional bid/ask-limit orders (in KDB+/Q).
The following functions define the basic LMSR ...
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5
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4k
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Fitting GARCH(1,1) in Python for moderately large data sets
I am using the arch package in python to fit a GARCH(1,1) to fit daily S&P 500 returns from 1990 to 2017 (about 6800 data points). The code I am using is as follows:
...
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5
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354
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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 ...
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4
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126
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Plotting of trendlines with certain conditions post significant pivot point determination
I'm trying to get a point which is higher in a range of points, i.e., pivot high, then among a range of pivot high I want to find a significant pivot high. For this I am trying to create a range which ...
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4
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115
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Implementing Hierarchical PCA for financial time series in R
I would like to implement the method "Hierarchical PCA", as described in the following paper and compare it to a "standard" PCA. I like to do this in R
AVELLANEDA, Marco. ...
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4
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1
answer
2k
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Does Fidelity Have a Python Trading API?
I'd like to do my trading through a corporate account at Fidelity, but there does not seem to be a Python api.
What I'm looking for is something like this:
https://github.com/jmfernandes/robin_stocks
4
votes
1
answer
477
views
GARCH(1,1)-M MLE optimization with fmincon in R
I've searched thru dozens of papers and did not find in any of them satisfying and enough theoretical answers to my concerns. So I've combined everything what I found below. Please indicate if my ...
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4
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132
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How to find a probability of VIX moving from one price to another
I asked a similar question on here with a bounty. I decided to modify the question to simplify what I am trying to do. Is there a package on MATLAB or some other tool where I can find the probability ...
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4
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734
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How to estimate option implied skewness and kurtosis in R
Suppose that i have data that for each day i have more than one option, either put or call. I.E. I have more than 20 put options and 20 call options for each specific day.
What is the way to estimate ...
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4
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186
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VAR FPCA analysis paper replication
I've been trying to replicate the following publication: CONSISTENT FUNCTIONAL PCA FOR FINANCIAL TIME-SERIES, Sebastian Jaimungal, Eddie K. H. Ng, 2007
but I havent been able to get the same results ...
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4
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0
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935
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Black-Scholes explicit Euler implementation python
I've written some code for the explicit finite difference method to solve the BS equation.
For certain sets of parameters (time-steps and asset-steps) I get a stable but wrong solution. For others, ...
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4
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264
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How would it be possible to use Dynamic Programming to search a space of investment strategies to find an optimum?
As my question states, the problem I am having is finding a sensible way to search a large space. Any help or insight that could be provided would be hugely appreciated.
Currently I am trying to ...
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4
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286
views
negative transition probabilities in the heston model
I've been trying to implement a bivariate tree for pricing american options with the heston model in R using the paper of Beliaeva and Nawalkha (http://papers.ssrn.com/sol3/papers.cfm?abstract_id=...
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4
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1
answer
727
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What are some popular free/open-source charting controls?
Recently I've tried SciChart and VisiBlox - beautiful charting tools. Are there any free or open-source tools for visualizing charts in C#?
Thank you for answers.
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4
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3k
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FIGARCH estimation in R
I am trying to estimate a FIGARCH(1,1) model in R for Value-at-Risk purposes. As I understand it, the rugarch package does not support FIGARCH or FIEGARCH. To that end, I used the garchOxFit function (...
4
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586
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Rate Distortion Minimization in a Python Clustering Algorithm
I'm attempting to solve for $\hat{k}$ clusters, such that the rate distortion is minimized, as described here, however, the answers that I am getting from my algorithm are not following the "Jump" ...
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4
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293
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RQuantLib: any difference between FixedRateBond() and FixedRateBondPriceByYield() with flat term structure?
Please, consider the following functions from RQuantLib package:
FixedRateBond()
...
- 2,111
4
votes
1
answer
2k
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Moving window forecasting in Python
I am looking to create some code that will out-of-sample forecast the HAR-RV model.
The model itself is formulated as the following, and the betas are estimated through HAC-OLS or Newey-West.
...
4
votes
1
answer
1k
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How to estimate parameters for 2 correlated Ornstein-Uhlenbeck processes with maximum likelihood?
I would like to use maximum likelihood to estimate the parameters of two correlated Ornstein-Uhlenbeck processes from empirical data.
Do you have any good references for this? If you have any hints ...
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3
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169
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Best practices for building an FX volatility surface with Quantlib in Python
Generally my question is: what are best practices for building FX volatility surfaces with Quantlib?
In FX options, I would like to price structures such as risk reversals, strangles and butterflies.
...
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3
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153
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Which C++ implementations of Levenberg-Marquardt does the "industry" use?
According to your various experience, is there an industry consensus about which C++ implementation of the Levenberg-Marquardt algorithm to use ?
I came across two places where it was the C numerical ...
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3
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102
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How to take into account transaction fee of a backtest from a list of returns?
I have a list of booleans that correspond to buy and sell signals that I would like to backtest. To achieve this, I calculated the return ret of a security and when ...
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3
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175
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PBO algorithm "The Probability of Backtest Overfitting" paper
In this article by Lopez de Prado et al., an algorithm was proposed for assessing the overfit of a trading strategy:
The Probability of Backtest Overfitting
There is also a package for R:
pbo: ...
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3
votes
0
answers
82
views
CDS Runtime Error: Issue changing evaluation date using UpfrontCdsHelper in Python
If I run the below CDS pricing example (from https://github.com/lballabio/QuantLib-SWIG/blob/master/Python/examples/cds.py) using the UpfrontCdsHelper instead of the SpreadCdsHelper, I get the ...
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3
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109
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Manual Computation of Python QuantLib's NPV for Pricing of a Forward Rate Agreement
Following the question that I have asked on this link and response obtained, I have managed to price a 3x6 FRA using QuantLib Python, using the following codes:
...
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3
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2k
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Simulating correlated Geometric Brownian Motion in Python
I want to simulate two correlated Geometric Brownian Motion processes in Python. I found an implementation from Matlab (https://www.goddardconsulting.ca/matlab-monte-carlo-assetpaths-corr.html) and ...
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3
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277
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Is it possible to match talib's RSI results down to machine precision using just python?
I want to match talib's RSI with just python down to machine precision and I'm struggling. Out of curiosity I also tried a bunch of libraries like tulipy and pandas_ta and the gaps are similar.
...
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3
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750
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Using Python Quantlib's FittedBondDiscountCurve as Evaluator of Parametric Curve - Errors
I am using Quantlib's FittedBondDiscountCurve in Python 3.7 and setting MaxIterations to 0, and giving a guess_solution, which then turns the routine into an evaluator for the parametric form I choose,...
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3
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159
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Identifying the same company behind stocks traded in different exchanges (e.g. CUSIP and WKN in 1990ies)
I would like to merge two data sources with companies headquartered in Germany between 1980-2000, but listed in Germany and the US. One source identifies "German companies" by their CUSIP, the other ...
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3
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0
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586
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How to calculate YTW (yield-to-worst) in QuantLib?
After defining a CallableFixedRateBond object in QuantLib, I can calculate YTM (yield-to-maturity) right now. I'm using Python so the function is bondYield().
Is there any way to calculate YTW (yield-...
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3
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244
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Detecting leading stocks using lag correlation
I am working on a project to find leading stocks in a stock market by using lag correlation.
Say I want to compare 2 stocks, X and Y, and I have the time series of stock prices.
Assume that the ...
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3
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0
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593
views
Is there a more efficient data structure to implement binomial trees than 2d array?
I'm just curious what is the "industry standard" for implementing a binomial tree (if "standards" exist in this case). For simplicity, let's just talk about the simplest trees with recombining nodes.
...
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3
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726
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Bootstraping CLP Swap with Quantlib
After reviewing and fixing my last code (Swap Bootstrapping with quantlib), i managed to get the zero rates for the ICP swap curve (CLP). Now the thing is that there is a considerable difference ...
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3
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0
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669
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Modified duration and convexity of a bond in R
A soft question:
Are there any existing packages in R that allows one to compute the modified duration and convexity of bonds in R? If there isn't, how can one go about doing so (with formulas) with ...
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3
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1
answer
569
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VAR-aDCC full ARCH and GARCH parameter matrices in R
I am working with the rmgarch package in R and I estimated a VAR-aDCC model. Is there any way to extract the extended version of estimates (allowing for volatility ...
3
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0
answers
179
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Approximate asian geometric option with Heston
I am trying to implement Theorem 1 from this Journal in RStudio.
The journal says the it is possible to find a approximate price of a geometric asian option in a Heston setup this way:
$$X_{1cGAO}=e^{...
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3
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0
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260
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Ledoit-Wolf portfolio weights calculation
I am trying to implement the Ledoit-Wolf minimum variance portfolio strategy on a real-world stock dataset.
...
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3
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0
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714
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GARCH modelling and forecasting
I have a few questions regarding GARCH modelling and forecasting and it would be great if someone could help me. I am modelling the log return of oil spot prices using various GARCH models: GARCH, ...
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3
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793
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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 ...
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3
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133
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How do I specify Thirty360::European day counter in RQuantLib
I am taking liberty to ask the following question in quantLib forum though this question is about RQuantLib
I am trying to use RQuantLib to calculate clean price of a fixed coupon bond using a Nelson-...
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3
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406
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how to apply a simple copula model
I'm playing around with copulas and wanted to generate some sample based on copula techniques in R. For this purpose I applied the following algorithm:
Generate three sample vectors coming from ...
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3
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226
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rugarch and rolling estimation
I use Rugarch for a long time in order to calibrate GARCH models on FX rates time series and perform simulations.
I am trying to understand the ugarchroll method. However even if I can find plenty of ...
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3
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3k
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Black Scholes diffusion well coded in Python
I have some trouble with the following code. Some jump and a decentered path are present but it's not the case, normally for Black Scholes diffusion!
Is anyone see a problem in my code ?
...
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