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.
433
questions with no upvoted or accepted answers
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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 ...
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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:
...
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247
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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, ...
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389
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How to balance two Forex crosses correctly to do a linear regression?
I have two cross and an account in EUR:
EUR/USD
GBP/USD
I would like to do a balanced linear regression using R. With "balanced" I mean that I would like to normalize it by calculating the ...
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Antoine Savine's store
In his book "Modern Computational Finance, AAD and Parallel Simulation", Antoine Savine writes page 263 in the footnote : "We could have more properly implemented the store with GOF’s ...
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1
answer
95
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Uncertainty on volatility prediction using GARCH(1,1)
I have daily returns data and I predict the variance for the next day using GARCH(1,1) as follows
...
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45
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ATM cap prices in Vasicek model (Filipovic)
I am trying to replicate the ATM cap prices in table 7.1 (see bottom of this post) from Filipovic's book "Term Structure Models - A Graduate Course" which assume the Vasicek model and uses ...
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1
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How to test an orderbook using real data
I'm pretty new to all this but haven't found anything online on my issue (the answer may be very obvious since I'm a beginner) - I'm currently coding up a very generic orderbook in C++ for fun, just ...
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109
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Quantlib match clean price with bbg clean price : Huge gap between calculated price and bloomberg
I am not able to make quantlib match bloomber price, maybe I don't use the right parameters into ql.Schedule or ql.FixedRateBond
...
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2
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124
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QuantLib option.NPV() returns interpolation error
I've been trying to price some barrier options with a Heston model on Quantlib and it works quite well most of the times, but sometimes I get the error: "interpolation range is [3.4314, 4.28384] ...
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144
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option pricing using empirical distribution
I am looking for ways to express a directional bet on a commodity through futures options.
Assume that there's 50% probability that oil will spike up 100% in the span of 30% during the next 9 months ...
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2
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CRSP Permco Aggregation
I saw that for one CRSP Permco, there could be multiple CRSP Permnos. Could anybody provide guidance on how to aggregate the market capitalization, returns, etc... by permco and date? I am currently ...
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Interesting finding... "Adjusted Kirk's" and "Bjerksund-Stensland" are exactly the same ??? Spread option calculation
This is more of an academic question. The results are SO close, I think they are ACTUALLY THE SAME FORMULAS. So someone published a paper with a "new" method to adjust Kirk's formula to ...
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1
answer
588
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TradingView STC vs any python STC
I am trying to use in a trading strategy the STC indicator, but I can not find out why its not working properly.
The chart that I am using is BTC/USDT on UTC as a timeframe.
Chart time: 01 Feb 22 - 16:...
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0
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Free paper trading with api
Im currently using Alpaca but I want to switch the service since it had some major outages. Does anyone know a good reliable free broker with paper trading and api so I can test my trading bot.
Thanks
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1
answer
314
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Actual360 convention in quantlib schedule
I'm trying to make a payment schedule for different bonds in quantlib. For example, I made such a schedule:
...
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176
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Fitting ARIMA + GARCH in R
I'm forecasting Electricity consumption Data. I have data for one year , so for every 15 minutes there is an observation. My data contains seasonality and I don't know how to fit SARIMA + GARCH into R,...
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Approximating second derivatives at boundary of finite difference scheme
The Question
I am implementing a finite difference scheme for the Heston-Hull-White PDE:
\begin{align}
\frac{\partial u}{\partial t} &= \frac{1}{2}s^2v\frac{\partial^2 u}{\partial s^2 } + \frac{1}{...
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378
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Are there any public implementations of realized kernels? (preferably in Python)
looking to implement a realized kernel model to forecast realized variance of around ~140 equities and indices in Python given order book data.
I have read "Realised Kernels in Practice: Trades ...
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167
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How to identify active vs inactive ISINs?
Background
I understand that through the work of ANNA and GLEIF, the relationships between ISINs and their respective LEI (Legal Entity Identifier) are now more accessible.
GLEIF API Lookup
To lookup ...
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1
answer
618
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How to calculate basic components like trend, momentum, correlation and volatility in Pandas(Python)
I am new to quant. finance and trying to calculate trend, momentum, correlation and ...
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172
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GARCH Option Pricing in R
I am trying to code a GARCH option pricing model in R. I am still new to R so this does seem a bit complicated.
I want to estimate an asymmetric GARCH model as well as an EGARCH model. This I have ...
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136
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HNGARCH Option Pricing in R (How to loop)
I am having difficulties when using the HNGOption program in R.
The program will only run for 1 specific option price, meaning that I would have to manually insert strike price etc. and this would ...
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230
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Implementing a Variance Swap Hedging in R
I am trying to compute a hedge for a variance swap, in a simulation. Fo that I am using the following equation:\begin{align*}
E^Q\bigg(\sum_{i=1}^n \bigg(\frac{S_{t_{i}}-S_{t_{i-1}}}{S_{t_{i-1}}}\bigg)...
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1
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Is alpha vantage api for fundamental data reliable?
Can anyone speak to the reliability of the Alpha Vantage (AV) api for fundamental stock data? I have tried for a couple of stocks to get balance sheet data, and it seems close to accurate but I feel ...
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195
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Can genetic algorithm help in portfolio optimisation when convexity is not verifiable
I have the following portfolio cost function to maximise:
$$
w^T\mu-\frac{1}{2}\gamma w^T\Sigma w+\frac{1}{6}\gamma^2 w^TM_3(w\otimes w),
$$
which considers the co-skewness ($M_3$ tensor), $γ$ is the ...
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178
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Pricing American Options by Neural Networks
Has anyone read the paper 'Pricing of High-Dimensional American Options by Neural Networks' by M. Kohler et al. (2010) and tried to program the proposed method in Python?
I have been trying that for ...
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109
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machine-learning method to predict PCA weights
I have been using certain linear-regression to extract the PCA (top 3) weights relating to a certain data-set.
I was wondering, instead of using linear-regression to generate the weights, I can use ...
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172
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Finding Jump Probability For Time Series Data
I'm relatively new here, so if it seems like I'm asking a bad question, go easy on me.
So I was looking at the Merton Jump Diffusion Stochastic Model on Turing Finance's article. Instead of creating ...
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279
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Mixed-Frequency VAR -packages
My intention is to retrieve forecast error variance decomposition from a MF-VAR with no latent processes following Ghysels (2012)
https://www.hec.ca/finance/seminaires/Ghysels.pdf
I found the ...
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2
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87
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Backtesting :: Migration to Simulated / Real-Time Trading
I am relatively new to backtesting and I want to migrate my system to simulated trading via Amibrokers Interactive Broker's API.
What I have been doing is setting trade delays such that when a Buy or ...
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502
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Binomial Model Implementation Trouble - American and European options come out equal
I'm Trying to implement the binomial option price model in python and get reasonable performance by using memoization. I checked the output against a black and scholes model and for European options ...
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310
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QuantLib - Synthetic deposit/FRA rates in yield curve
In my flat forwards dollar curve implemented in QuantLib I would like to add the following instrument:
Today is 12/28/2018
Pillar quote is 1% p.a. (ACT/360)
Pillar start is 1/30/2019 (specific ...
2
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0
answers
73
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IBrokers: How to assign trail amount for order type 'TRAIL'?
I'm using R package IBrokers with IB TWS.
I'm trying to create a twsOrder object using twsOrder function:
twsOrder(...., orderType = 'TRAIL', ...)
How can I ...
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163
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Generating Correlated Quasi Random Numbers
Hi I am trying to generate correlated quasi random numbers using a sobol sequence in matlab. My Problem is the Following: Using "standard" random numbers it is easy to generate the 6 correlated random ...
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612
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Binary Options: convert from "Cash or Nothing" to "Asset or Nothing"
I have a formula that uses Black-Scholes to compute the implied pricing of a "Cash or Nothing" binary option on the price of a currency.
The option is priced/traded in the same currency as S, K and ...
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58
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Custom Frequency termstrc Package
Termstrc package in R by default uses yearly coupon frequencies. Dataset i am working with is semi-yearly coupon bonds. Here are the variables it takes into the model
...
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Dividing H in the Hurst power law function to get the Hurst exponent?
For my own learning I have been following the guide here. It is highly instructive.
Implementing this in R I was able to reproduce the authors results on the data sets provided within some ...
user20664
2
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answers
292
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Strange trading data coming from bitstamp
Through researching order execution algorithms I came upon something rather strange.
My dev team wrote a program that captures live bitcoin trades on bitstamp through the WebSocket API for a single ...
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0
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444
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Quasi Monte Carlo method and Heston model
I want to run a quasi monte carlo simulation for Heston model in matlab. Obviously there exists a lot of literature regarding the theoretical aspects of the topic, for example by Baldeaux and Roberts, ...
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1
answer
196
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Seeking data source for index constituents and changes
I need to find a definitive list of US and UK index constituents. I'm currently monitoring S&P100, S&P500, DJIA, FTSE100, FTSE350 etc. and curating the list manually, which is causing problems....
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Estimating parameters of the Cox-Ingersoll-Ross model using CLS in R
I'm working on a project where I need to estimate the parameters of the CIR model. In the particular case, the CIR model is used to model cumulated capital calls for a private equity fund.
The data ...
2
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0
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66
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Goodness of fit test for time varying copulas
I am looking for Matlab or R codes for goodness of fit test of time varying copulas. I am able to calculate AIC for them using the Patton copula toolbox, but i want to do goodness of fit test using ...
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209
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python and quantlib - setting futures priority
In setting up a curve using deposit rates and futures in python, is there a trigger which allows one to set when the futures start?
Looking for something similar to ...
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479
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VARMA GARCH modelling in R
I want to simulate a VARMA-GARCH process in R. Unfortunately, I found no package to help me with that.
I tried modelling the MGARCH part on itw own and combine it with the VARMA simulation using MTS ...
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68
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Spurious regression between two futures with the same underlying highly correlated (cor=0.9)
analyzing the correlation between soybean and soybean meal futures in ECBOT, and making a linear regression in R between them I check with an ADF Test that the residuals are not stationary, so ...
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869
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Problem with R code, with option pricing
I have a problem with my R code not producing accurate results. I am trying to implement the Carr-Madan approach to option pricing, using the Black-Scholes model. The formula can be found in equation (...
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Optimal weights for portfolio optimisation (r)
The question is what R optimization could be applicable to find a vector of weights that when, multiplied by S matrix creates equal rows sums, and when set in the objective function returns the ...
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161
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How to reset indicators in quantstrat / quantmod?
I am currently trying to back test a strategy on a file which contains minutely data for the whole month. I would like to reset my indicators at 3:30 PM . Is there a way I can reset the indicators ...