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
2
votes
0
answers
331
views
Problems in computing VaR with GARCH-GPD-copula approach
I use a time-varying Gaussian copula (with GARCH-filtered standardized residuals modeled semiparametrically with Gaussian kernel interior and GPD tails, i.e. generalized pareto distributed) to ...
- 449
2
votes
0
answers
70
views
False warning messages in R, is it possible?
I'm modeling GARCH-filtered standardized residuals via semiparametric distribution with Gaussian kernel and GPD (generalized pareto distribution) tails with thresholds at 5% and 95%. For some series I'...
- 449
2
votes
0
answers
171
views
Monte Carlo approach to RAN bonds in Quantlib or suggestions
This is a problem from Schlogl's book in the chapter on the HJM model:
Price option of the RAN instrument with 3 month coupons and maturity 3 years using Monte Carlo(Exercise 4 Range Accrual Note).
...
- 181
2
votes
0
answers
734
views
Backtesting Long/Short Market Neutral Z-Score Strategy with Custom Factors and Custom Stock Universe
So I've managed to backtest simple strategies, like MA, RSI and some fundamental ones (P/E ratios etc) but Im stuck at my last strategy. Here is some information:
Tools: Excel and Python (also a ...
- 21
2
votes
0
answers
170
views
Using Market Prices of Bonds to Model the Discount Curve with a Polynomial (Math + R)
I have a small program I'm building to interpolate the discount curve from a portfolio of benchmark bonds. If anyone has any guesses as to whether it's my process, or my code that's messed up I would ...
- 21
2
votes
0
answers
886
views
Johansen cointegration test interpretation in R
I want to test my time series for cointegration using the Johansen test in R.
I got the following result and so I know now that at least 5 out of 9 of my time series are cointegrated. My question is, ...
- 21
2
votes
0
answers
157
views
Interpreting different factor models w.r.t. correlation matrix and min variance portfolio weights
Background
In Eric Zivot's analysis of factor models he uses three models
The sample (.sample)
Single index model (.si)
Barra factor industry model (.ind)
PCA model (.pca)
You can download his ...
- 233
2
votes
0
answers
734
views
backtest asset allocation strategies
I've searched the site but haven't found an easy way to backtest my personal portfolio allocations. Suppose I want to know the total return for the following portfolio from Jan 1, 2009 to Dec 31, 2014:...
- 121
2
votes
0
answers
2k
views
How to fit a VAR + GARCH in R
I should create a VAR model with Garch error in R but i don't know how to do it and which package to use. The Vector Autoregressive model (or VECM) should also have covariates in it. Then I should ...
- 21
2
votes
0
answers
299
views
What is the best open source automated trading platform or options?
I would like a custom C++ Automated Trading Platform for Futures like Multicharts, or similar automated trading platform that I can put on my servers so its secure and fast.
I have found this so far, ...
- 21
2
votes
0
answers
437
views
Downloading IB futures data and then making a datapump to another program
I never have programmed before in my life but I wouldn't mind learning if I knew
what i needed to do in order to solve my problem.
I use neuroshell for day trading and use it extensively for trading ...
- 29
2
votes
0
answers
230
views
Liquidity Adjusted Asset Pricing Model
I have a data set with 4000 companies and I have calculated a liquidity measure of each of the company in the dataset as
Where, Turnover is the monthly average ratio of daily volume to shares ...
- 83
2
votes
0
answers
288
views
Behaviour of out of sample efficient frontier
I am comparing the efficient frontier of a set of portfolios that are in and out of sample. The first period is from 1991-01-03 until 1992-10-03
and the second one from 1992-10-03 until 1994-03-03. I ...
- 189
2
votes
0
answers
664
views
Gaussian Time-varing copula in R
I want to estimate the parameters of time-varing Normal Copula using R. A bivariate Normal copula is defined as following:
The dynamic equation of dependance parameter ρ is :
So I need the identify ...
- 21
2
votes
0
answers
867
views
More cache friendly linked list or alternative with optimal append, delete, and ordered traversal for limit order book?
I am trying to implement a stock matching engine/order book in C++, and am searching for a more cache friendly architecture. Currently, my data structures are as follows:
An intrusive rb-tree for the ...
- 21
2
votes
0
answers
233
views
Issues with +100 symbols in Quantstrat, Erratic Trades
I've tested my code against individual symbols and very small groups of symbols. I'm finding the more symbols I add the fewer trades I get. For instance, if I just include the first five symbols, all ...
- 121
2
votes
0
answers
1k
views
Forecast of ARMA-GARCH model in R
I managed to forecast a GARCH model yesterday and run a Monte Carlo simulation on R. Nevertheless, I can't do the same with an ARMA-GARCH. I tested 4 different method but without achieving an ARMA-...
- 21
2
votes
0
answers
2k
views
Simulation of Heston process
I am currently working on implementing Heston model in matlab for option pricing (in this case I am trying to price a European call) and I wanted to compare the results I obtain from using the exact ...
- 71
2
votes
0
answers
126
views
Problem with Naive Bootstrapping (US Government Bonds)
I am using the formula here to determine the discount factor function and eventually the zero-coupon yields. I get the data for Coupons, Face Values and Closing Prices from Thomson Reuters, which I ...
- 895
2
votes
0
answers
531
views
Can you tell me what this RBloomberg formula means?
I've been asked to re-create a spreadsheet that used RBloomberg using a different data source. But I'm having trouble figuring out exactly what one of the spreadsheet's formulas does. Can anyone tell ...
2
votes
0
answers
539
views
Initial values for Heston Model calibration
I'm doing a Heston model in Matlab using simple Monte Carlo simulations (5.000 paths and 2 steps per day, simulating 360 days). When I try to calibrate the Heston parameters using fminsearch it takes ...
2
votes
0
answers
137
views
How to estimate constrained a constrained VAR(1) with MATLAB?
Suppose I want to estimate the following VAR(1) model:
$$
Y_t = \mu + \Phi Y_{t-1} + \varepsilon_t
$$
where $Y_t=(y_{1t}, y_{2t},…,y_{kt})'$, $\mu=(\mu_1,…,\mu_{k})’$ and $\Phi$ a matrix of ...
- 1,886
2
votes
0
answers
262
views
Ibrokers: reqMktData extremely slow when adding tickers
I am trying to snap prices in R for the latest price for a list of stocks (around 150). When I snap them for 2 stocks, it's almost instantaneous:
...
- 121
2
votes
0
answers
522
views
Stationarity tests in the frequency domain for regression
Strict stationarity is the strongest form of stationarity. It means that the joint statistical distribution of any collection of the time series variates never depends on time. So, the mean, variance ...
- 436
2
votes
0
answers
298
views
trading strategy outperforms passive strategy in absolute terms, but in returns vice versa. how could this be?
Background: I want to compare two trading strategies in term of profitability. The red one is an active trading strategy, which involves many entry and exit to a specific market. The blue one is a ...
- 137
2
votes
0
answers
1k
views
fetch from yahoo! finance database - varying number of ticks
To test a model with real-life data, I used the fetch-function in matlab to connect to the database of yahoo! finance. My code to try and get 7 different assets' returns is the following:
...
- 519
2
votes
0
answers
151
views
How to simulate a Geometric Binomial Process with state/tie dependent increments?
I want to simulate a geometric binomial process with state/time dependent increments.
So the model is given by
\begin{align}R_t=\frac{X_t}{X_{t-1}}\end{align}
\begin{align}P(R_t=u)=p(X_{t-1},t) \...
- 545
2
votes
0
answers
1k
views
Interpolate option volatility in delta space in R
I have a bunch of deltas and option implied vols at those deltas. I would like to interpolate them in R. Interpolating them in delta space seems difficult, since normally you would like the ATM calls ...
- 153
2
votes
0
answers
729
views
portfolio optimization with a loop
I am attempting to minimize the variance of a 3 stock portfolio using optimization within a loop. What I have done is calculated the stock returns and cov matrix from dates 1980-01-01 to 1989-12-31 ...
- 21
2
votes
0
answers
230
views
Looking for FpML best practices
We want start using FpML within our organisation; where message will be sent using FpML.
What are best practices to do this ?
If anyone who have used Tools as well as; i want to use FpML for ...
- 141
2
votes
1
answer
881
views
How to extract sentiment from Yahoo finance message board?
Does anyone know if it is possible to write a software to pull Yahoo message board sentiment for a specific stock?
Any API from Yahoo or anyone has done it before?
- 153
1
vote
0
answers
67
views
QuantLib: Latin American FixedFloat Swap pricing with multiple payment frequency specification
With reference to the post of latin american swap, I am valuing the FixedFloat CLP swap.The specifications of this swaps has payment frequency upto 18 months as Zero coupon(1T) and after that ...
- 37
1
vote
1
answer
105
views
Find the right module for CDI DI BRL swaps valuation Quantlib
I'm trying to find a way to price BRL CDI Swaps with Quantlib but I can't find any solutions so far - so I was wondering if anyone encountered this issue:
I don't see any solution on Quantlib. I ...
- 21
1
vote
0
answers
80
views
Efficient Method of Moments(EMM) for Stochastic volatility model
We are attempting to calibrate the parameters of the Heston model via EMM on historical stock price returns. However, we are first trying a simple stochastic volatility model using EMM.
We have come ...
1
vote
0
answers
30
views
Seeking a Model to Extrapolate Locate Fees for Short Selling in Absence of Historical Data
I'm in the process of developing an automated stock trading algorithm, with short selling being a significant part of the strategy. A key factor in deciding whether to short a stock is the associated &...
- 33
1
vote
1
answer
198
views
Python - yahoo finance options data - volatility smile plot
I have plotted the IV of TSLA options using yahoo options data, but the scatter plot doesn't look right, can anyone advise why the plot looks like this? I would expect to see a vol smile plotted.
EDIT ...
- 33
1
vote
1
answer
54
views
replicating momentum strategy - Formation Periods
I am trying to replicate the momentum strategy of the study by Jegadesh and Titman (1993) onyl using data from the past 10 years.I am trying right now to calculate the formation period returns. But I ...
- 11
1
vote
1
answer
63
views
Garch Model with Vix as external regressor un dummy rugarch r studio
I would like to try to replicate this variance dummied model in r studio, to try to compare garch vs i.v in forecasting vol:
Data : S&P 500 log-return from 03.01.2020 to 31.12.2022
Ext regressor : ...
- 11
1
vote
0
answers
75
views
Resource recommendations: Levy process estimation using programming languages
Perhaps this type of question is not very suitable for this forum, but I'll try to make my question a little useful.
I'm studying stochastic processes, more precisely, Levy processes. A Levy process $...
- 111
1
vote
1
answer
38
views
Can the coef be negative in cointegrated stocks?
I'm searching for cointegrated stocks using the Python CointAnalysis library.
While computing stock prices on a 5 mins time frame, I found that the stocks MNST (Monster Beverage Corp.) and KDP (Keurig ...
- 111
1
vote
0
answers
53
views
+50
R resources for GMM estimation and testing of multifactor asset pricing models
Has anyone seen R script for GMM estimation and testing of asset pricing models such as Fama-French 3-factor or similar? Ideally, I would like to have R scripts corresponding to Cochrane "Asset ...
- 2,638
1
vote
1
answer
175
views
Market impact power law fitting confusion
In many market impact papers such as "Anomalous price impact and the critical nature of liquidity in financial markets" by Tóth et al (2018), there is a standard power-law relation in the ...
- 93
1
vote
0
answers
151
views
Minimum transaction size for portfolio optimization with CVXPY
Long time reader, first time asker!
I am working on a portfolio optimizer where I have a universe which is much larger than potential portfolio and where I want to exclude small transaction, i.e. a ...
- 41
1
vote
0
answers
51
views
Johansen Cointegration Test returns non-stationary error even though trace statistics suggest their existence
I'm working with Python and use the statsmodels.tsa.vector_ar.vecm.coint_johansen function to analyze if several stocks have a stationary error term with respect to ...
- 11
1
vote
0
answers
151
views
Adjoint Automatic Differentiation
I'm currently benchmarking several Monte Carlo computing methods for sensitivities computation purposes.
I've already done some implementation in Python using Numpy and MyGrad libraries and it's ...
- 43
1
vote
0
answers
75
views
Measuring latency with tcpdump and storing output
I am writing a code in python that streams real-time data from the Coinbase Exchange.
...
- 213
1
vote
0
answers
225
views
CEV model effective simulation
I want to simulate the following CEV process : $$ dM_t = \sigma_t M_t^{\eta} dW_t $$
Using Euler discretization to $M_t$, if at a given time $t$, $M_t$ takes a negative value then $M_{t+1} = M_t + \...
- 11
1
vote
0
answers
43
views
Fitting model between security price and intraday volatility
I'm trying to construct a model which shows how much the closing price of a security ($P_t$) differs from the VWAP of that security on that day ($VWAP_t$). I'm calling this measure the "VWAP ...
- 118