All Questions
22,814
questions
2
votes
1
answer
593
views
How to calculate two-time scale variance?
I am having trouble understanding how to calculate two-time scale variance as I do not have a strong mathematical background. Suppose I want to calculate the TSRV at 5 min intervals. Do I calculate ...
- 351
15
votes
3
answers
8k
views
What continous adjustment methods are firms using for futures backtesting?
There are several methods available between data vendors and associated software programs to adjust futures contract data for historical simulations.
Some of the methods are:
1) Back or forward ...
- 775
3
votes
1
answer
373
views
What are $d_1$ and $d_2$ for Laplace?
What are the formulae for d1 & d2 using a Laplace distribution?
user3232
2
votes
3
answers
52k
views
Which brokers offer a Python stock trading API?
I would like to automate my trading strategies.
My strategies are not high-frequency and are written in Python.
I have a trading account in Interactive Brokers, and I know some non-official Python ...
- 1,210
4
votes
2
answers
117
views
Imputed values in a multi-index
I have an equal-weighted index on a number of different Indices (from US, Europe and Asian markets). This compound index is constructed from a time series that has missing values (for example, those ...
- 161
7
votes
1
answer
956
views
is there a mapping from Altman Z-score for private companies to bond ratings or probability of default?
On wikipedia, there is a formula to calculate the Altman Z-score for private companies:
Z-score estimated for private firms:
T1 = (Current Assets − Current Liabilities) / Total Assets
T2 = Retained ...
- 71
2
votes
1
answer
3k
views
Multiple (linear) regression
I am looking for some inputs on a pair trading strategy that I am trying to improve with some semi-fundamental input.
The basic idea is to use multiple linear regression to estimate the price of a ...
- 21
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 ...
0
votes
2
answers
272
views
Intangible assets as underlying for Futures contracts
How is it possible for a Futures contract to have an intangible underlying? For example, to my knowledge, there exist Futures that have interest rates as their underlying, come delivery date, how is ...
- 111
15
votes
3
answers
14k
views
Daily returns using adjusted close
I want to chart the daily returns of a stock, and I'm using Yahoo finance data to download historic data. I was told to use Adjusted Close, but there seems to be an issue with this.
For ANTO.L, you ...
- 253
2
votes
1
answer
430
views
Testing for stationarity in large sample sizes
I keep struggling with testing 9 samples if they are stationary. Each of these samples is a real valued time series with 714.000 values. If I use the KPSS test with the each compleete sample set, the ...
- 21
3
votes
2
answers
626
views
NYSE binary data, convert to ASCII
The data product "TAQ NYSE Order Imbalances" from the New York Stock Exchange is in a format that is described pretty well in sections 4.8, 4.9, 4.10, and 5 of the document "NYSE Order Imbalances ...
- 131
5
votes
1
answer
702
views
Quantitative risk model for an open real estate mutual fund in Europe
How useful are quantitative techniques for the risk analysis/management of a open real estate fund?
I am thinking about an approach for Europe (US and other markets are probably quite different - ...
- 13.7k
11
votes
1
answer
3k
views
What do eigenvalues/eigenvectors of the yield/forward rates covariance matrices mean?
I have 5 bonds (with maturities 1,2,3,4,5 years) which I calculated the yield curve for 10 days. I also calculated the forward rates from the yield rates. Now I've been told to calculate the ...
- 351
20
votes
2
answers
16k
views
Kelly criterion and Sharpe ratio
Whats the relationship between the Kelly criterion and the Sharpe ratio?
$$
f=\frac{p(b+1)-1}{b}
$$
where $f$ is a percentage of how much capital to place on a bet, $p$ is the probability of success,...
- 2,108
-4
votes
2
answers
295
views
How to use mean-variance weights in practice (when going short is allowed)? [closed]
I have calculated my optimal portfolio weights following the mean-variance framework where I go $w_1$ in the risky asset and $1-w_1$ in the risk free rate.
I get the following result: $w_1$ = 1.5, 1-$...
7
votes
2
answers
4k
views
Position management and market-making techniques
Suppose, there is a HF strategy (agent) that is based on order book microstructure, and it is able to make good executions locally. More formally, in average its execution price is better than asset ...
- 1,022
20
votes
10
answers
12k
views
Usage of Random forests in Quantitative analysis of stocks
I have a question about Random forests and how they could be utilized in trading?
I heard Random forests are used for classification, is that accurate? If so, could someone give an example of what ...
- 325
2
votes
1
answer
3k
views
How to calculate implied volatility and greeks in Bull Put Spread option strategy?
Ok, obviously I am buying lower strike put and selling higher strike put. What is the recommended volatility and greeks to consider in my trade?
Volatility:
Average volatility between both legs?
...
- 355
5
votes
3
answers
307
views
How to work out weights for a portfolio based on an inverse ratio with positive and negative values?
I am trying to work out how to determine weights for the assets in order to form a portfolio. The ratio I am using is EV/EBIT, hence the smaller the better. The problem is I don't know how to handle ...
- 51
2
votes
0
answers
176
views
What to do with linear regression or regression splines outside of the training range?
This is a cross-post from here
In my question on a load forecast model using temperature data as covariates I was advised to use regression splines. This really seems to be a/the solution.
Now I ...
- 13.7k
17
votes
6
answers
42k
views
How to calculate stock move probability based on option implied volatility and time to expiration? (Monte Carlo simulation)
I am looking for one line formula ideally in Excel to calculate stock move probability based on option implied volatility and time to expiration?
I have already found a few complex samples which took ...
- 355
2
votes
3
answers
667
views
What do these maturity codes mean?
In fitting a curve I found that people are using the following tenors:
U1 Z1 H2 M2 U2 Z2 2Y
Could you please let me know what exact time periods they stand for? Is there a web page describing ...
- 21
8
votes
1
answer
787
views
Calculating VaR/CVaR on high frequency data and returns
As we converge on the minute time scale and below for our unit time interval, the return distributions tend to be leptokurtotic and more discretized (due to fixed values such as minimum price ...
- 5,260
3
votes
4
answers
1k
views
How much does a Grid Computing software cost?
So far, I have been performing computations either on my own computer, or using an in-house scheduler that basically chooses a one of the employees' available workstations to run tasks in the ...
- 11.2k
2
votes
1
answer
3k
views
Predict Quadratic Trend in Time Series
Can anyone kindly point out if I made any mistakes in making predictions using quadratic regression model in time series? I called the predict() function with the appropriate data vector and model, ...
- 121
4
votes
0
answers
166
views
Simple question concerning Jump process (Lévy process) model for a risky actif price process [closed]
Consider $X= \left( X_t \right)_{t\geq 0}$ is a Lévy process whose characteristic triplet is $\left( \gamma, \sigma ^2, \nu \right)$ and where its Lévy measure is
$$ \nu \left( dx\right) = A \sum_{n=...
- 608
3
votes
1
answer
366
views
Why are there different estimators for stock volatility? (realized variance, RAV, etc)
I am very confused about why different volatility estimators (RV, RAV, BPV, etc) exist. If the goal is to find the best estimator for stock volatility, and volatility is latent, how do I know which ...
- 351
8
votes
2
answers
5k
views
Derivation of Ito's Lemma
My question is rather intuitive than formal and circles around the derivation of Ito's Lemma. I have seen in a variety of textbooks that by applying Ito's Lemma, one can derive the exact solution of a ...
- 275
14
votes
1
answer
646
views
Consistency of economic scenarios in nested stochastics simulation
I am interested in references on research regarding the consistency of economic scenarios in nested stochastics for risk measurement.
Background:
Pricing by Monte-Carlo:
For pricing complex ...
- 2,023
11
votes
4
answers
2k
views
What are the options for a mathematician to break into QF without working for a fund? [closed]
I have a degree in mathematics, and I've worked as a statistician and done some programming work. I'm very strong in my math/stats/programming background and have browsed some QF books, and I'm very ...
- 111
3
votes
2
answers
1k
views
Statistical significance of a pair trading strategy
How can I test the significance of a pair trading strategy, i.e. that the H0 is "The strategy has no predicting power".
I was considering to use the technique in Evidence Based Technical Analysis ...
- 1,210
9
votes
2
answers
6k
views
Simulation of GBM
I have a question regarding the simulation of a GBM. I have found similar questions here but nothing which takes reference to my specific problem:
Given a GBM of the form
$dS(t) = \mu S(t) dt + \...
- 275
0
votes
1
answer
401
views
Numerical difficulties in fitting option prices
In [1], the authors state that "Although some studies apply the curve-fitting method directly to option prices, the severely nonlinear relationship between option price and strike price often leads to ...
- 163
2
votes
2
answers
337
views
Liquidity in a market risk model based on historical simulation
I would like to model liquidity effects in my risk model which is based on historical simulation. I would like to develop a practical solution that still captures liquidity effects.
Most probably I ...
- 13.7k
5
votes
0
answers
378
views
Estimation of ranks of log-returns via copula
I have successfully chosen and estimate a copula for the ranks of the log-returns of my actions. My question is, since I have worked with the ranks instead of directly the log-returns (in order to be ...
- 151
18
votes
4
answers
6k
views
Topological methods in finance
Recently a promising start-up (Ayasdi) has made headlines. They are a spin-off of the Applied and Computational Algebraic Topology group of Stanford University (ComTop). What they basically do is ...
- 27.5k
6
votes
1
answer
2k
views
Robust Bayesian portfolio optimization in matlab?
I am working through this paper.
I want to implement the robust Bayesian optimization (see pages 6 onward) in Matlab using fmincon.
Here is a brief overview of my problem:
Let $\alpha$ be the ...
- 165
4
votes
2
answers
2k
views
What are the advantages/disadvantages of OHLC over VWAP?
I would like to ask about maybe obvious thing for many people, but cannot find a good answer for it.
In many, many places I see OHLC data along with OHLC analysis tools.
As I deduce step by step in ...
- 143
5
votes
2
answers
792
views
How to quickly sketch a second order greek profile for a vanilla position?
Assume that you are given an arbitrary payoff profile for European vanilla position (e.g. butterfly). How to make a back of the envelope sketch of a second order greek profile for it (i.e. plot ...
- 3,237
5
votes
1
answer
1k
views
How do you estimate the capacity of a strategy from historical data?
What are some good ways to estimate the capacity of a strategy from historical data (including full market depth)?
Obviously, a naive approach is that you want the strategy's returns to exceed its ...
- 5,260
1
vote
1
answer
291
views
Are Papers and Funds reporting Monthly drawdowns using daily granularity?
I'm curious as to how many academic studies and industry white papers are actually using daily data to report intramonth drawdowns; specifically, when the papers are often reporting monthly signals, ...
- 775
12
votes
1
answer
1k
views
A non parametric study of VaR with kernel density
I'm working in order to compare the calculation of the VaR between the methodology of copulas and kernel density, all this by using the software r.
The process that I follow is:
Obtain a sample (...
Michelle
1
vote
1
answer
2k
views
Liquidity detection based strategy in HFT
This article contains the following statement.
In terms of liquidity detection, traders intend to decipher whether
there are large orders existing in a matching engine by sending out
small ...
- 1,018
4
votes
4
answers
3k
views
What is the industry standard Quant Finance modeling library for F#
If it exists, has been agreed on, and F# programmers have used it extensively, I would like to know what is the industry standard Quant Finance library for F#.
What typical finance scenario(s) have ...
- 345
2
votes
4
answers
249
views
Are there any derivatives which pay amount $a(p-b)^{2}-c$ where $p$ is the price of underling asset?
Are there any derivatives which pay amount $a(p-b)^{2}-c$ where $p$ is the price of underling asset ? (or in the case of options $max(0,a(p-b)^{2}-c)$) I'm not very strict here but I only want to know ...
- 1,018
5
votes
1
answer
648
views
Robust-Bayesian optimization in Markowitz framework
Suppose we are in the mean-variance optimization setting with a vector of returns $\alpha$ and a vector of portfolio weights $\omega$.
In a robust setting, the returns are assumed to lie in some ...
- 165
17
votes
2
answers
2k
views
Copula models and the distribution of the sum of random variables without Monte Carlo
There is a vast literature on copula modelling. Using copulas I can describe the joint law of two (and more) random variables $X$ and $Y$, i.e. $F_{X,Y}(x,y)$.
Very often in risk management (credit ...
- 13.7k
6
votes
3
answers
2k
views
Is there a copula that can estimate negative tail dependence?
I have encountered numerous copula estimators that can estimate time-invariant and time-varying linear and non-linear correlations on the interval $[-1,1]$, and these estimators are fully consistent ...
- 1,510
12
votes
4
answers
14k
views
How to create charts in WPF finance applications?
How to create charts for market data in WPF?
Are there any charting controls provided by microsoft or you need to use only third party controls?
Which are the popular third party charting controls ...
- 123