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68 views

Has anyone _verifiably_ duplicated Yahoo's real time technical market indicators _numbers_? If so, how?

After spending the better part of a week trying to get a combination of Alpaca's API and Python libraries (alpaca_trade_api, pandas and ta) to duplicate the numbers produced by Yahoo! Finance's ...
42 views

What models are used to determine credit limits for credit cards?

I have an upcoming job interview as a statistician for a firm that sets credit card limits. In preparation, I'm trying to learn how credit limits are determined. I know that there are vast data-sets ...
110 views

Does a combined Portfolio always performs like the average of the merged subportfolios?

I analyzed the historic data of the SP500 and tried a trading simulation on it. I picked the best 20 companies from SP500 for one year according to their ROE and put them in one portfolio. Let's call ...
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Cross Effect in OLS

I am using cross effect in OLS regression for a time series problem for a multivariate regression. I want to quote reference for use of cross effect. Secondly, I want to explain why better to use ...
58 views

Developing Markov Transition Matrix

I’m working with historical credit performance data and would like to build a transition matrix to predict defaults and delinquencies. I can model the transition between states (ie current - ...
46 views

Poisson distribution and counting process

Let $\begin{Bmatrix} N_t \end{Bmatrix}_{(t\in[0,T])}:=\mathbb{I}_{(\tau \leq T)}:=k, \forall t \in [\tau_{k}\leq \tau_{k+1})\sim \mathrm{Po}(\lambda_{t}:=\int_{0}^{t}\lambda_{s}ds<+\infty)$ a ...
31 views

Is there an official way to access all SICs code for a huge list of CIKs code from Edgar?

after reading this https://opendata.stackexchange.com/questions/857/is-there-a-resource-to-look-up-the-standard-industrial-classification-codes-that I realized that the CIK-to-SIC mapping list is not ...
44 views

Equivalent of recovery rate

I'm trying to understand the functioning of "recovery of face-value" approach. Let $V_t$ the fair-value, that is the price that the holder of a defaultable bond must pay for hedging of default of ...
42 views

Extended Hours Percent Change

I have created a personal screener application. I would like to add extended hours percent change to my screen. I have been searching all over for premarket and after hours data to help with this. I ...
87 views

I have some issue with pricing of Italian linker bonds (http://www.dt.tesoro.it/export/sites/sitodt/modules/documenti_en/debito_pubblico/titoli_di_stato/BTP_Italia.pdf) . The issue is their specific ...
40 views

How Free Of Payment (FOP) trade works? How it impacts NAV and P&L?

I want to understand how the Free of Payment(FOP) trades work from accounting point of view. My questions are: What data we collect while capturing FOP trade? How it impacts NAV and P&L? e.g. say ...
31 views

How can i fit the following regression in R? Why is the coefficient [second Columns] for R so low?

'Rwml' is the monthly log return So the first column is clear, I got nearly the same values, at least the same magnitude. But: If I regress on the variance, my input values are way too low to get a ...
60 views

2 ways to calculate profits, which both seem legit, but produce different results - what am I missing?

I'm trying to calculate this simple example with 2 ways which both seem legit, and getting different results. Way 1: at the beginning of day $t$, first reset the holdings to 0, then buy the number of ...
45 views

Value of portfolio with fixed discrete dividends

I know that this is a very simple question, but i want to make sure to grasp the concept of ex dividend and value of portfolio. Suppose that we have a two period binomial tree of a stock with initial ...
20 views

Pricing barrier option under Levy process: Biased estimate?

I want to price a down and out call, barrier option, with the underlying asset following a Levy process. I am interest on the Kou double exponential model or the NIG process, to capture asymmetric ...
64 views

Bootstrapping spot rates based on swap rates using QuantLib

I am bootstrapping the shibor curve and fr007 curve using swap rates in China. I created my own index like following: ...
34 views

Is the implied volatility surface relative or stationary?

Do different strike values of options attain their volatility value dependent on their % distance from the ATM price continuously, or is the volatility surface stationary during a single day?
58 views

Wave Method and Implied Duration

I am pricing an MBS under three different rate scenarios: a base case, +5bps and -5bps I compute partial durations on the base case using the wave method (P. Hagan: Calculating Delta Risks and Hedges ...
142 views

Free dividend data API for non-US stocks

Is there are any free API for dividend data that does also include non-US stocks? I know of this question from three years ago. However, the situation has changed since then apparently, as there are ...
20 views

How to forecast monthly volatility with daily gjrGarch estimates

I'm currently writing a paper and need to regress the 22 days realized volatility of the following month on its GARCH estimate and the 126days realized volatility up to t=1 The paper im referring to ...
61 views

How is Kalman Filter used to estimate Term structure Models

I am implementing "The Term Structure of Variance Swap Rates and Optimal Variance Swap Investments" . This paper is using kalman filter to estimate the state and the mean variance and a parameters on ...
39 views

Choquet integral risk measure

I have one question that cannot fully understand why. What is the definition of the Choquet integral risk measure?
38 views

Strange results in Fama-Macbeth regression estimates

I am reading the paper Chordia, Tarun and Subrahmanyam, Avanidhar and Anshuman, V. Ravi, Trading Activity and Expected Stock Returns (Undated). Available at SSRN: https://ssrn.com/abstract=204488 or ...
26 views

One-day Binary Event Implied Moves

What is the convention for pricing the expected 1-day move of a binary event based off of the implied volatility of the nearest series which contains that event? How do you distinguish between the ...
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What 10 year bond data to use when making a risk/return scatter plot?

I am making a risk/return scatter plot (seen below) (from this site): What data must be used for bonds (e.g. 3 month or 10 year US bonds)? I thought you would use this data, but if you take the years ...