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21 views

Appropriate Encoding for Stock Technical Indicators ? RSI

happy new year and i am new to machine learning + python.. so recently i am doing a project on my own to use machine learning models on technical indicators.. I have my technical indicators data ...
1
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2answers
42 views

TED Spread Replacement?

Will replacing the 3-month tenor of the US LIBOR with SOFR or CME 3-Month SOFR Futures work as well as an indicator of credit risk? I have my doubts given: SOFR reflects secured lending LIBOR is ...
0
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1answer
43 views

How required yield affects price of the bond and how the durations changes

can somebody answer, those two theoretical questions? How does the bond price depend on the desired yield (market interest rates)? How the duration changes if we have a shorter / longer maturity and ...
1
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0answers
35 views

Mean-reverting backtest between index and components

I am a beginner with ETF replication: I have to make a code to make the value of my assets go back to the average of the index Eurostoxx 50 with a subset of components. I am not sure how to implement ...
0
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0answers
16 views

Portfolio construction with volume based bars

In the book Efficiently Inefficient, Lasse Pedersen interviews Myron Scholes: LHP: Why do spreads tend to widen during some periods of stress? MS: Well, capital becomes more scarce, both physical ...
3
votes
3answers
374 views

How is market buy order executed when meeting both market sell order and limit sell order?

Currently, we all know how market buy order is executed when meeting only limit sell order for time-priority rule.
2
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0answers
83 views

Stochastic Volatility Models Real World Calibration

I am trying to find some research pertaining to the historical (or real world) calibration of stochastic volatility models. For example, in applications such as counterparty credit risk (IMM) or ...
5
votes
3answers
192 views

Intuition for Stock Price Numeraire Drift

I would like to ask whether there is an intuition for the drift of price processes under the Stock numeraire. I find it intuitive that the martingale measure under the Money Market numeraire induces ...
1
vote
1answer
49 views

Accounting profitability [closed]

Can anyone please help me how to solve this problem? Grocery Freshly want to open a new store. They expect an initial cost of 30,000 to buy the property in which the store will be. After ...
1
vote
1answer
78 views

Is Ornstein–Uhlenbeck process the continuous-time correspondence of AR(1) process?

I see the AR(1) process (with $|\alpha| < 1$) can be written in the following way: $$x_{t+1} = \alpha x_t + \epsilon_t$$ $$\Delta x_t = - (1 - \alpha) x_t + \epsilon_t$$ which looks quite like the ...
0
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1answer
61 views

LIBOR Curve bootstrapping and compounding

I am currently reading about swap pricing based on using the LIBOR curve to calculate spot rates, forward rates, and discount rates. From what I understand LIBOR is quoted as a simple interest rate ...
2
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0answers
85 views

Itô’s formula and Wiener process

The Wikipedia page on the formula https://en.wikipedia.org/wiki/It%C3%B4%27s_lemma and some textbooks I have looked at say we must assume that the relevant time-dependent function is over an Itô ...
2
votes
1answer
71 views

Risk Neutral Pricing and the Drift

For risk neutral pricing, why do we want to compute expectation of a martingale? why is this so important? Why do we dislike the drift so much? Avoid math heavy answers please.
10
votes
2answers
200 views

Solve the following SDE: $\mathrm{d}X_t = a(b-X_t) \,\mathrm{d}t + c X_t \, \mathrm{d}W_t$

Let $\mathrm{d}X_t = a(b-X_t) \,\mathrm{d}t + c X_t \, \mathrm{d}W_t$ be a stochastic differential equation where $a$, $b$, and $c$ are positive constants, so I tried to solve it but I got stuck in ...
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0answers
32 views

Priips : how can we proove that bootstrapping method converges to cornish fisher for category 2 priips products?

Bootstraping method used for category 3 products is in fact used also for category 2 products. but how can we mathematically proove that the first one is suitable for category 2 priips and that it ...
1
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2answers
68 views

Deltas on Barrier options vs Vanilla options

In "Heard on the Street" it states that $$\Delta_{\text{up and out call}} \leq \Delta_{\text{standard call}} \leq \Delta_{\text{down and out call}}$$ Is there an intuitive explanation for why this ...
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3answers
50 views

Formula for the discounted payoff of a digital option

In "Heard on the Street" it states that the expected discounted payoff of a digital option is $$H\exp^{-r(T-t)}N(d_2)$$ where $H$ is the payoff of the option, the exponential is the discounting. ...
1
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0answers
22 views

Fama-Macbeth practitioner's step by step guide?

I've been reading the original Fama-Macbeth (1973) paper as well as questions here and elsewhere. I feel like I'm beginning to run in circles and would like to clarify/confirm how FM regression is ...
3
votes
0answers
88 views

Robust bounds or approximations on implied volatility skew when $\lvert \rho \rvert \rightarrow 1$

Are there any robust / non-parametric results for pure stochastic volatility models, in terms of bounds or preferably accurate approximation, for the implied volatility skew $\partial IV(k) / \partial ...
0
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1answer
56 views

Trading after the close

Are there institutions that will fill stock trades after the close (from stock on there order book) at the official close price? If so would it be significant more expensive to execute a trade this ...
3
votes
2answers
104 views

Sending market order via FIX using R

I built a strategy in R and I would like to send the orders directly to a broker, instead of creating a CSV file that would be emailed later on. I was told to use FIX protocole, but I so far do not ...
1
vote
1answer
46 views

Bloomberg code for last trade price before the closing auction

I would like to run a study on stock prices before the closing auction. I would like the study to look at prices once a day for each stock. I do not currently have access to a Bloomberg terminal so ...
1
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0answers
34 views

Bloomberg SWPM Zero Rate Curve Conventions

Referencing : Bloomberg SWPM: Day count to calculate discount factor for US0003M Hi, I have a hard time reproducing the conversions between Discount factors and zero rates for an XCCY Swap I have ...
2
votes
1answer
100 views

Stock price value as a continuous-time stochastic process

I am studying a mathematics textbook on the modelling of stochastic systems. The textbook uses the price of a stock as an example of a continuous-time stochastic process: If $X(t)$ is the value of a ...
6
votes
2answers
265 views

Variance of a time integral with respect to a Brownian Motion function

Let process $$I_t = \int_0^t f(s) W_s \,\mathrm d s $$ where $W_s$ is standard Brownian motion. My question are the following: We know that $\mathbb{E} (I_{t})=0$ for all $t$ and $f$ a integrable ...
1
vote
1answer
66 views

Adjusting your delta hedge when the stock crashes and were originally delta hedged

You are long a call option on a stock and you are delta hedged. The stock crashes in price. How do you adjust your delta, do you buy or sell stock? Could answers please be quantitative (i am getting ...
2
votes
2answers
131 views

How would a FX price probability distibution function look?

I would like to see how the currency price levels are distributed in a probability function. But I don't even know if there is such a thing or if perhaps its just common knowledge and readily ...
-3
votes
1answer
96 views

Proof that adding some quantity of stocks in a portfolio of option does not change the portfolio Gamma

I would like to proof mathematically and intuitively that adding some quantity of underlying to a portfolio of option does not change the overall gamma. Can you help me?
0
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0answers
32 views

Calculation of upper stochastic dominance bound of an option

I’d like to calculate, for a call option on a stock, the upper stochastic dominance bound as proposed by Constantinides et al. in their 2002 paper 'Stochastic dominance bounds on derivatives prices in ...
1
vote
1answer
55 views

Calculating Delta of option portfolio using average of inputs

Trying to think through two options portfolio scenarios, which are highly similar. I'm wondering if you can take a portfolio of options, all written against the same underlying product, and use ...
0
votes
1answer
39 views

return volatility calculation with respect to different time period

in the BS model, if an option has 3 year expiration periods, and if the time of maturity of that option is calculated( periods between the grant period 2011-9-15 and exercise periods 2014-9-15 ), and ...
2
votes
0answers
84 views

Feller condition - PDE local analysis

In Paul Wilmott on Quantitative Finance, he claims that we can retrieve the (generalised) Feller condition $\eta \geq -\frac{\beta\gamma}{\alpha} + \frac{\alpha}{2}$ with a local analysis of the ...
0
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0answers
50 views

Why is SPY daily adjusted close negatively autocorrelated?

I took daily adjusted close prices (all history) from Yahoo Finance and ran the following code: ...
1
vote
1answer
55 views

Question regarding fitting Euribor curve using different basis quotes using Quantlib Python

I am trying to fit a EUR curve based on the following instruments:- EONIA quotes 1m vs 6m basis quotes 3m (outright) quotes 6m (outright) quotes 6m vs 12m quotes (1) , (3) & (4) are simply ...
1
vote
1answer
48 views

Constant continuous forward rate interpolation

Assume that the continuously compounded forward rate is constant between two node points. What is the interpolated discount factor between these two points? So you have the two discount factors $D_{...
1
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0answers
41 views

Pricing of the compound coupon bond with PDE

I am now studying finance math using Steven E.Shereve's book. Using Interest Rate models, We can the price for zero-coupon with maturity price $1$ under Hull-White interest rate model[page 274] and ...
1
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0answers
55 views

Calculate upper bound for put option prices?

I need to know historical option prices for backtesting. The problem is I don't have such historical data. Is there a way to calculate the upper bound for out of money (American) put option selling ...
2
votes
0answers
47 views

Approximate Asian option price under Heston Model

I am looking to see if there is a formula or a derivation at least of an approximation of an Asian (Average Price) option under the heston model of stochastic volatility. Please advise
0
votes
0answers
4 views

ADX Graph not clear [migrated]

I have to calculate ADX for a given dataset and then plot it.The dataset consist of a 2-second candlestick of an instrument for a period of 5 days.i have verified the values of ADX from excel and it ...
6
votes
2answers
156 views

Differencing vs Detrending financial time series

I'm quite newbie to time series analysis and I have to understand what's the difference between differencing time series (i.e considering $Y_t= X_t-X_{t-1}$) and detrending (using linear regression ...
4
votes
2answers
153 views

Correlation Gold and SPX in BBG

I was always under the impression that gold as a safe haven was more or less inversely correlated to the general market. After using the HRA function in Bloomberg I saw that the correlation is just -...
0
votes
1answer
82 views

Duration of portfolio equals to zero

I am solving the following problem: Consider a 2000 dollars bond with maturity of 5 years and a half-year coupon of 25 dollars at a nominal interest rate of 8% p.a and a consolidation bond (...
0
votes
0answers
32 views

Quantlib for Amortizing securitized loans with option for prepayment

I have not had much experience with QuantLib, but from a brief look through the docs it doesn't necessarily seem suited to my task. Consider a mortgage backed loan. There are various options on ...
1
vote
1answer
75 views

Construction of Butterfly Spread as sum of Call Options

I have rigorously stated my problem here. The task at hand is to express a butterfly spread [no transaction fees] as a sum of long and short call options. I have found the solution on Wikipedia: $$\...
0
votes
2answers
70 views

The similarity between a bond's quoted bid price and its clean price?

Is the Best Quoted Bid Price the same as the Clean Price for bonds? I understand that the Clean Price is the Dirty Price less Accrued Interests, however, I am a bit confused of why the Bid Price = ...
1
vote
1answer
43 views

Differences in bull put spread option strategy

I am supposed to construct a profit and loss diagram for a bullish spread strategy: −1put($X_{1}$) + 1put($X_{2}$) and compare it to the profit and loss diagram for the strategy: −10put ($X_{1}$)+ ...
0
votes
1answer
38 views

Market vs. Credit Loss distributions: differences

If we define the Loss distribution of a portfolio as $$L_{t+h}=-(V_{t+h}-V_{t})$$ where $V_{t}$ is the value of the portfolio at time $t$ and $h$ is the time horizon, which are the (graphical) ...
1
vote
0answers
25 views

What is the effect of put call open Interest on price action

how option put call open Interest affects price actions as put sellers feel price when price goes down or call sellers feel pain when price goes up and how this affects price action. ie when price ...
0
votes
1answer
63 views

What is the go-to method for numerical pricing of discrete barriers?

There are tons of methods for pricing discrete barrier options in various models? What is the go-to "classical" method that is most popular? Hopefully not Monte Carlo (significant accuracy would ...
0
votes
0answers
26 views

How to calculate RSI if the available data has missing values in between?

I have to calculate RSI for a dataset which consists of the Open-High-Low-Close Prices of 2-second candlestick of an instrument for a period of 5 days.It contain some missing values in between.how ...

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