Questions tagged [time]
The time tag has no usage guidance.
29 questions
0
votes
0
answers
74
views
Volatility in BS model, prices zero or negative
I would like to raise the following question:
I need to analyze the historical volatility of some prices. These prices fluctuate approximately between -1 and +2. The issue is that when calculating the ...
- 1
0
votes
0
answers
66
views
Chart Indicator: Why Does RSI (14, close) Vary with the Particular Time Chart I am Using?
This is probably an easy question for many of you: If I am viewing a Month chart and plot the RSI 14, it tells me the current day's RSI, which I think is the RSI of the last 14 days. But why, if I ...
- 1
2
votes
1
answer
121
views
Piecewise constant Heston model Monte Carlo simulation
I am studying this time dependent Heston model
\begin{equation}
dS_t=(r-q) dt +\sqrt{V_t} dW_t^1 \\
dV_t=\kappa_t(\theta_t-V_t) dt + \sigma_t dW_t^2 \\
S_0=s_0\\
V_0=v_0\\
...
- 31
1
vote
0
answers
95
views
What is the Time Value of European Options if r=0? [closed]
As I understand it, time value for European options is as follows:
What if r=0? Then puts should behave the same as calls, right? Would the time value always be nonnegative or could it be negative?
- 111
1
vote
0
answers
90
views
What does M^L represent over this Sigma?
This is throwing me for a loop. in regards to this passage, does the M^L represent to perform this sum over every "overlapping window" individually? Would this mean "M symbols" are ...
- 11
0
votes
1
answer
94
views
Expected return over what time horizon?
In finance, it is common to price things at their discounted expected value.
What time horizon is the market generally thought to consider?
Is it a "money-weighted" average of expected ...
- 146
2
votes
0
answers
85
views
Best way to measure time to expiration for options?
From my reading it seems that only trading days should be accounted for when calculating time to expiration. On the other hand, I see that VIX is calculated using every day until expiration without ...
- 81
1
vote
1
answer
122
views
Covariance AR(2) Process [closed]
I am not sure what the formula is for the covariance of an AR(2) process, described by
$X_t - \mu = \phi_1(X_{t-1} - \mu) + \phi_2(X_{t-2} -\mu ) + \epsilon_t$
where $\mu$ denoted the process mean ...
- 11
0
votes
1
answer
161
views
How to up-sample monthly returns into daily returns?
I know how to down-sample daily returns (large-sample data) to monthly returns (small-sample data) by using rolling windows, which feels like estimating a sub-sample from the population (something ...
- 3,090
0
votes
1
answer
57
views
How many seconds of Longstaff Schwartz would it take to get machine accuracy?
Roughly speaking, using a standard programming language, a standard computer, and a standard implementation, how many seconds would it take to price an American put option to 10+ digits of accuracy in ...
- 11
0
votes
1
answer
365
views
How to calculate RSI while considering market close and holidays?
I was trying to calculate RSI over hourly OHLC bars for a symbol (AAPL as an example) and got stock, first how should I handle closing hours? (does it make sense to ignore them all together and assume ...
- 103
1
vote
0
answers
226
views
Prove that the value of a perpetual American put is time-independent
I know that the value of a perpetual American put is time-independent. I think it is very intuitive property and it results from the fact that we do not have any expiry date.
My question is: Is it ...
- 153
2
votes
0
answers
212
views
In Linear Regression for time series stock prediction, instead of cost function, use final portfolio value?
In Linear Regression for time series stock prediction, instead of using the cost function and minimizing the cost function, why can't we use the final portfolio value? Assume we are doing a time ...
- 21
0
votes
1
answer
3k
views
Historical beta: Beta estimation for which time horizon?
In practice historical beta is the most used approach for calculating beta.
Some one can use i.e. the last 6 month daily returns of stock i and market m to calculcate this.
Nevertheless I am ...
- 1
-1
votes
1
answer
114
views
How to calculate the elapsed time until a stock reach a certain price?
In specific, I will set a certain price to a stock and I want to know how long takes until the historical prices reach this price.
Thanks you.
1
vote
0
answers
2k
views
How to calculate the initial payment of a graduated payment mortgage (GPM). Real estate Mortgage analysis
My professor used this:
12%, monthly-pmt, 30-yr GPM with 4 annual step-
ups of 7.5% each, then constant after year 4:
$$L=PMT \left[
PV(0.01,12,1)
+ \frac{1.075}{1.01^{12}}PV(0.01,12,1)
+ \frac{1....
- 111
2
votes
1
answer
815
views
Strategies to merge bid, offer and trade price time series into a single price time series?
I'm doing intraday analysis on low volume stocks. There are just a few trades every day, but a whole host of bids and offers. In order to reduce the sparsity of the time series data I'd like to ...
0
votes
0
answers
388
views
Ideas for speeding up greek calculations
My current calculations using the vollib library averages 0.5 seconds. Is there any way to get it faster? Any tips/best practice notes will be helpful.
This is for a scripting language such as python....
- 432
0
votes
2
answers
2k
views
Estimation of annualized volatility depending on data frequency - exceptions to the general rule?
From my understanding, the annualized standard deviation of daily returns is generally higher than of annualized standard deviation of weekly returns is generally higher than.... monthly...quarterly......
- 85
2
votes
1
answer
187
views
Estimating volatility from high frequency price volume data of multiple stocks
I have price volume data of five stocks, sampled at 1 minute interval for six months. The data is quite noisy, lots of missing data and also some weired spikes. Can someone suggest me how to clean ...
- 43
2
votes
0
answers
86
views
How can the time value portion of an option be higher than 100%?
Here's a screenshot from InteractiveBrokers TWS for the near-the-money put and call on the ES Dec '15 Future:
The absolute value of the time value, 9.50, makes sense. But why is the percentage value ...
- 537
5
votes
1
answer
2k
views
Measuring momentum as AR(1) process
I would like to measure the momentum in the price of a stock from the time the market opens until the time I trade each day. I want to use this momentum number in post-trade analysis (regression of ...
- 415
0
votes
1
answer
418
views
I have volatility of a portfolio in year 1 and in year 2. How do I calculate the volatility over the total 2-year period?
thanks for looking into this question. See the picture below (better is right-mousebutton - open in new tab). I also have the price and return data of the Stocks if that's needed to calculate the ...
- 39
3
votes
2
answers
154
views
I have portfolio volatility for year 1 and for year 2. What is portfolio volatility for year 1 and 2 combined?
Thanks for looking into this question.
Portfolio volatility in year 1 = 15%.
Portfolio volatility in year 2 = 20%.
What is the portfolio volatility over the timespan year 1 and 2 combined?
Is it ...
- 39
1
vote
2
answers
128
views
How to calculate burnrate?
Wikipedia says Burn rate is a synonymous term for negative cash flow but I neither agree nor believe that is formalized. A company could need turnaround from losses ...
0
votes
1
answer
1k
views
Forex trades: what time zone are trade and value dates specified in?
When receiving a value date of D from the counterparty for a trade in NZD/USD, is D assumed to be
date D in Auckland
date D in New York
date D in UTC
date D in some arbitrary time zone
?
There are ...
- 103
1
vote
1
answer
181
views
How does one use the Johansen cointegration test in a linear time series model?
How does one use the Johansen cointegration test in a linear time series model?
Should I only use normalized coeffients for interpretation? Or, once I know that the variables are cointegrated, do I ...
- 41
7
votes
1
answer
1k
views
time in time series database - UTC or local
I strictly store UTC time stamps inside time series files or databases, mainly to allow processing several time series together. Timezone information is kept with each time series file or item, so ...
1
vote
2
answers
305
views
Trade Count Time Series
Is historical information on the counts of trades in single stocks, futures, options etc. available somewhere for download or purchase? If not, which ways can you think of to gather it?
- 801