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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 ...
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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 ...
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1answer
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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41 views

Put-call parity for equity share and debt share

Considering Merton's structural approach" for credit risk modeling, we arrive to prove that the pricing formules are $S_t=V_t\phi(d_{T,1})-Fe^{-r(T-t)}\phi(d_{T,2})$ for equity share and $F_t=FP_0(t,T)...
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52 views

Factor Loading with multiple exposures?

How do I decompose portfolio exposures when assets may have exposure to a few of my risk factors? For instance I have some sector and state specific risk factors. If I have a bond with exposure to ...
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48 views

Where does this inequality come from?

We consider a market in which you can buy at $t=0$ only a risk-free asset, its yield at $t=1$ is the real number $r_{f}$, and one risky asset, its yield at $t=1$ is described by the random variable $...
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54 views

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 ...
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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 - ...
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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 ...
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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 ...
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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 ...
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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 ...
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87 views

“BTP ITALIA” Inflation Linker Pricing

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 ...
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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 ...
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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 ...
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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 ...
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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 ...
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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 ...
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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: ...
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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?
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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 ...
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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 ...
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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 ...
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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 ...
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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?
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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 ...
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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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2answers
234 views

From Libor Curve rates to “forward” zero-coupons

I am provided a 6M euribor curve, constructed from FRA's and swaps of tenor 6M on the euro, as well an EONIA curve, constructed from zero-coupons EONIA swaps. Both curves are provided as functions $d\...
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28 views

TurnbullWakemanAsianApproxOption function in R not very clear to me - tau

I would like to price an Asian Call Option with 0 carry using the formula by Turnbull and Wakeman in the book of Haug. I found a package in R, fOptions, that has ...
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32 views

why we seldom see application of copula-garch model in macroeconomic

I find a lot of reference about copula-garch in finance market,but it seems that articles about copula-garch model in macroeconomic are rare.Is there any instrinc problem when it comes to ...
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151 views

Option Prices on Thomson Reuters Eikon Database

I would like to get hist. option prices from Eikon. I am not looking for the entire option chain and I was wondering if Eikon offers average data/prices. Average European call and put option prices ...
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51 views

Why doesn't tenor of Euribor index change spot rate in Quantlib?

I'm trying to create a yield curve in QuantLib based on swap rates. The swap rates I'm using have a 6 months fixed frequency and a 3 month float frequency based on LIBOR. What I don't understand is ...
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1answer
109 views

Yield Curve Flattening Trade

Relatively simple question, but came upon it in class and have not been able to come up with an answer: The two-year bond yield is equal to 4% while the 10-year one is equal to 10%. You want to put ...
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92 views

Practical Skew Model For Equity Options?

I'm looking for a simple model I can use to calibrate equity implied volatility surface. There are several models published in the literature, and most of them seem far too sophisticated for my ...
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44 views

Dependence modelling in Finance

we have copula as a function of cdf of random variables to describe how they are related to each other. I have one question in my mind that, how can we generate a new copula function?
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27 views

Crank–Nicolson for Discrete Type Barrier: Backward propagation

The boundary conditions for Discrete Type Barrier (e.g. Up-and-Out) are: - Dirichelet boundary condition (set to 0 when spot is bigger than Barrier) on Barrier event dates - Otherwise (the other sides ...
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51 views

Gatheral's SVI implementation in Java/Scala

I am trying to fit equity option implied vols using SVI model in Java, and I am using apache math commons library. Some of the option expiries fit very well, but others are completely off, and I am ...
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2answers
167 views

Efficient market hypothesis vs random walk

I am having trouble to understand the distinction between the EMH and random walks. If I understand correctly, the EMH states that all available information is incorporated into prices, which ...
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1answer
63 views

BHAR Event Study Data

I am about to run a long-run event study on certain events. For a short-term event study, I previously have used daily log returns. My question is now, what data I need for the BHAR one. Just monthly ...
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37 views

What is the effect of covariance on the dynamics of a price

I want to know how can I see covariance affecting the dynamics of the price of an asset. I understand what the value for covariance and it's sign, but I do not get how it plays in the bigger picture. ...
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1answer
85 views

Interpretation conditional volatility plot

I have plotten the log differences of exchange rates and in the same plot, I show the conditional volatility $\sigma_t^2$. The conditional volatility follows approximately the same path, but is much ...
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13 views

Help understanding methodology of doing market expectations error analysis

I am a beginner in the value-growth analysis. I wanted to do a similar analysis Piotroski, J. D., & So, E. C. (2012). Identifying expectation errors in value/glamour strategies: A fundamental ...
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43 views

Equal weight correlation swap payoff derivation

I am aware that the payoff for a equal weighted correlation swap is; $$ (\rho_K-\rho)*\text{Notional} $$ where $$ \rho = \frac{2} {n(n-1)}\sum_{i < j} \rho_{ij} $$ I am wondering how I can derive ...
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36 views

Determine same issuer from a list of ISINs?

I have a list of ISINs for all the securities that make up a fixed-income fund. Is it possible to tell from this which securities are from the same issuer? I have securities of which I know they are ...
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59 views

European Knock-Out Option with European Barrier

I have two problems: 1) Actually i didn't find anywhere a precise definition of European Knock-Out Option with European Barrier. 2) Assuming that European means that it depends only on starting ...
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683 views

Swaption : Bloomberg Black implied volatility quotes and pricing in the Black model

I used a lot Bloomberg's VCUB for data, but never used its integrated swaption pricer "Quick Pricer for Swaptions", nor Bloomberg's "full" swaption pricer from "SWPM -OV". I am retrospectively quite ...
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51 views

Arbitrage strategy one-period model

Consider a one-period model with a stock $S_0=1$ and $S_1>0$. Introduce call options with strikes $K_1<K_2<K_3$ maturing at $T=1$. Assume further that $$ C(K_2)>\frac12(C(K_1)+C(K_3)) $$ ...
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45 views

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 ...
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62 views

Deriving Single Index Model (Market Model)

is the return of the stock of observation is the return of the reference market is the regression coefficient between the observed stock and the reference market is the regression intercept between ...
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36 views

How to retrieve greeks and IVOL historically for listed options (using Bloomberg)?

Is there a way to get Prices, IVOL and greeks on historic option contracts (eg on the underlying RXM15) on Bloomberg, and follow this particular option with Strike K throughout its lifetime (eg on ...

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