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.
407
questions with no upvoted or accepted answers
11
votes
0
answers
688
views
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 ...
- 211
10
votes
0
answers
823
views
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
...
- 487
9
votes
0
answers
273
views
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 ...
- 191
8
votes
0
answers
2k
views
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 ...
- 181
6
votes
0
answers
831
views
(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 ...
- 188
6
votes
0
answers
3k
views
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 ...
- 311
5
votes
1
answer
1k
views
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 ...
- 151
5
votes
0
answers
264
views
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 ...
- 101
5
votes
0
answers
4k
views
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:
...
- 253
5
votes
0
answers
353
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 ...
- 131
4
votes
0
answers
107
views
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. ...
- 61
4
votes
1
answer
2k
views
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
422
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 ...
- 304
4
votes
0
answers
132
views
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 ...
- 698
4
votes
0
answers
717
views
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 ...
- 139
4
votes
0
answers
183
views
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 ...
- 175
4
votes
1
answer
852
views
Trader Workstation on Ubuntu cannot be connected to via the API
I am using ibPy to connect to TWS on a fairly fresh ubuntu machine. I have been successful in logging into the paper trading account and submitting buy and sell orders programatically via the ibPy ...
- 49
4
votes
0
answers
913
views
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, ...
- 141
4
votes
0
answers
264
views
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 ...
- 71
4
votes
0
answers
278
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=...
- 41
4
votes
0
answers
3k
views
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
votes
0
answers
579
views
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" ...
- 434
4
votes
0
answers
290
views
RQuantLib: any difference between FixedRateBond() and FixedRateBondPriceByYield() with flat term structure?
Please, consider the following functions from RQuantLib package:
FixedRateBond()
...
- 2,086
4
votes
1
answer
2k
views
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
views
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 ...
- 113
3
votes
0
answers
29
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 ...
- 31
3
votes
0
answers
94
views
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:
...
- 211
3
votes
0
answers
2k
views
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 ...
- 63
3
votes
0
answers
259
views
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.
...
- 31
3
votes
0
answers
662
views
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,...
- 1,058
3
votes
0
answers
146
views
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 ...
- 31
3
votes
0
answers
537
views
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-...
- 31
3
votes
0
answers
182
views
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 ...
- 31
3
votes
0
answers
529
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.
...
- 883
3
votes
0
answers
633
views
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 ...
- 205
3
votes
1
answer
529
views
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
votes
0
answers
176
views
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^{...
- 31
3
votes
0
answers
254
views
Ledoit-Wolf portfolio weights calculation
I am trying to implement the Ledoit-Wolf minimum variance portfolio strategy on a real-world stock dataset.
...
- 31
3
votes
0
answers
712
views
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, ...
- 121
3
votes
0
answers
771
views
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 ...
- 31
3
votes
0
answers
124
views
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-...
- 131
3
votes
0
answers
399
views
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 ...
- 1,688
3
votes
1
answer
658
views
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.
- 149
3
votes
0
answers
224
views
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 ...
- 181
3
votes
0
answers
3k
views
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 ?
...
- 166
3
votes
0
answers
474
views
What R-packages for SOCP problems are there?
Currently, I am looking deeper into the topic of second-order cone programming.
Could you suggest packages that solve SOCP-problems in R?
With your answer, please provide a short description of ...
- 2,914
3
votes
0
answers
2k
views
Philips-Ouliaris test for cointegration
I'm trying to implement cointegration tests using the R urca package. I've figured out the Johansen test (ca.jo), but I'm having trouble with the Philips-Ouliaris test (ca.po). I have two questions:
...
- 31
3
votes
0
answers
247
views
3
votes
0
answers
3k
views
Backtest pair trade strategy in R
I am looking for some tips on how to run a simple backtest on a pairtrading strategy intraday using eg. 30minute bars.
I have calculated the spread, ...
- 39