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2k views

Why does the SMA and EMA appear to be relative to the timeframe?

Why does the value of the SMA and EMA for the current time appear to change when I change my timescale. I'm using ActiveTrader by Fidelity, but I'm hoping there's an general phenomenon so that someone ...
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votes
1answer
2k views

converting US tickers into Reuters RIC [duplicate]

I have a large list of US equity tickers such as: "GIRO", "ITUB", "BITA" etc and I would like to convert them into their corresponding RIC codes. Do you know how can I do it? I have access to ...
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votes
1answer
2k views

Deriving the par-yield curve

Given for example 6 bond prices and their respective 6 cashflows over a time period of 6 years, I have managed to derive the zero-coupon yield curve using the bootstrap method. However, it got lost ...
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votes
1answer
116 views

Plain vanilla risk parity with trends forecasting power

I have built an asset allocation model (plain vanilla risk parity) but I would like to adapt the initial asset allocation with respect to potential futures changes in the trends of the assets under ...
0
votes
1answer
384 views

adjusted close prices on SP500

When I look at the adjusted close prices of SP500, for example, I notice that the numbers are always significantly below the actual closing. In the explanation of what adjusted prices are, one gets ...
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votes
1answer
531 views

Where can I get real-time equity options quotes for a reasonable price (i am not a company) besides screen scrapping Yahoo! Finance? [duplicate]

Want to have electronic access to equity options quotes in real-time. Is there anyone offering this service to the individual investor for a reasonable price? Again it must be electronic, in other ...
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votes
1answer
1k views

How to compute a sector's volatility within a portfolio?

Assume I have a large portfolio of equities spread across three sectors. I am attempting to compute the volatility of these sectors within the portfolio considering the cross correlations among the ...
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votes
1answer
97 views

Liquidity and Prices

Do fewer transaction costs and higher liquidity relate to lower market prices? Are there any good resources that deal with these topics in more detail?
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votes
1answer
111 views

Analyst Forecasts for monthly unemployment rate

Are there any resources that tabulate past analyst forecasts for the monthly unemployment rate along with the dispersion of the forecasts
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2answers
2k views

expected value of the discounted payoff

I don't understand the following statement: The price of a contingent claim is the expected value of the discounted payoff value under the risk neutral probability measure Q defined in complete markets ...
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votes
1answer
239 views

Floor and Cap problem

So I have a problem from Marcel Finan's "A Basic Course in the Theory of Interest and Derivative Markets." We are going over floors and caps, covered puts and covered calls. Consider the following ...
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2answers
594 views

Matlab; How to specify Coupon frequency for Interest Rate Swap

I'm trying to price an interest rate swap and would like to change the default coupon payment frequency from 1 a year to 2 or 4 a year. I'm using ...
0
votes
1answer
215 views

Grokking Stochastic Oscillator for Stocks

In software, I'm trying to implement the Stochastic Oscillator (see here), and I'd like to figure out a few things. Let's say I use standard inputs 14, 3 and 3. If my 14 is for intraday ticks, what ...
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1answer
289 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 ...
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votes
1answer
432 views

Using OpenCL video cards to offload Quant Finance calculations, what features should I look for?

I'm benchmarking some software and am looking for cards that are better at parallel multiplication vs parallel addition. Is there any prior work that may have this information? What GPU features ...
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votes
4answers
1k views

How to do performance attribution for a few characteristics?

Let's say the characteristics that I am interested in are FX Country Security selection I have the benchmark weights and returns, the FX returns, and the portfolio weights and returns. Can someone ...
0
votes
1answer
5k views

Calculating pre-tax cost of debt

This is a simple problem but I'm not sure about one aspect of it. A company has 15 year bonds outstanding, with a 5% annual coupon, a face value of \$1000, and a current market value of \$1100. ...
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votes
1answer
620 views

S&P 500 P/E percentile

I am researching the past five year return for the securities in the top and bottom 10 percentile of the S&P 500 on date 5 years ago. I used Bloomberg to get this data. When I searched for the ...
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votes
1answer
6k views

Can someone explain what “Exotics Trade Capture” capture means in layman's terms?

I am trying to find out what Exotics Trade Capture entails. I can't find anything on Google that isn't a job posting, which is where I saw this term. Say you did this for a living, how would you ...
0
votes
1answer
218 views

What would be the impact of the US Credit Rating downgrade on Crude Oil Prices? [closed]

From a modeling point of view, here are my primary assumptions for Monday: a) I would expect the US$ to depreciate and crude oil to rise in the long term. b) Expect crude oil to dip in the short run ...
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0answers
4 views

What is the formula that considers periodic (week/fortnightly/monthly) repayments

I am writing some code that can take in variables such as loan amount,payment freq (weekly, fortnightly, monthly),...
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0answers
6 views

Information asymmetry models

I am searching for some textbook in financial mathematics that presents information asymmetry models (maybe more advanced models), so as to make some practice. Does anbody know such a book?
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votes
1answer
24 views

What is the SDE of this equation?

I am new and struggling to understand how to solve this using Ito lemma. Can someone please explain it to me: dSt=-0.5*(sigma^2)StdWt what is the solution with explanation please
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0answers
30 views

Help with R normalization function [closed]

after reading the paper "Custom v. standardized risk models" (Kakushadze, Zura; Liew, Jim Kyung-Soo (2015)) I tried to understand the R functions they provided at the end (eg: Appendix A) and the very ...
0
votes
1answer
52 views

To use daily volatility or annual volatility

From Joshi's Quant Interviews books: The statistics department from our tell you that the stock price has followed a mean reversion process for the last 10 years, with annual volatility 10% and ...
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0answers
26 views

Pricing Autocallable Structured Products using Finite Difference Method [closed]

I am trying to price autocallable structured products, with single underlying asset and discrete call dates. I am stuck by the boundary condition when the underlying asset price $S$ hits the call ...
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0answers
30 views

Robust Sharpe ratio

The denominator of the Sharpe ratio is sample portfolio volatility, $\sigma_p$, which is the square root of portfolio variance based on the quadratic squared loss, L2. Alternatives for the denominator ...
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votes
0answers
17 views

Finding stock symbols for alpha vantage api

So i just made my first program in Python wich reads stock symbols in excel. I tried going to "data" in excel and importing a text file with symbols and company names and some other stuff as well but ...
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0answers
25 views

Benchmark for fund in Fama French 3 factor setting

I found this question during my preparation for an exam. It looks easy, but I am not quite sure how to answer it. Consider a fund A with following factor exposures $\beta_{M}=0.8$, $\beta_{SMB}=0.4$,...
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0answers
35 views

Fama French Question(China) [closed]

I am from china, I can't use USA factors for SMB,HML,WHL....directly from website, my question is how can I calculate these kind of factors? for example, SMB. is it very difficult? any example code ...
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0answers
30 views

Macro momentum analysis

I am conducting macro momentum analysis. In this, first I rank countries based on each macroeconomic indicator such as GDP, inflation, monetary policy etc. After this according to each indicator rank, ...
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0answers
20 views

How to approximate expectation and variance of an integral from a discrete Time series financial dataset?

I have discrete time series financial data, with time($u$), price($S$) and someVariable($q$) which looks something like this. ...
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votes
2answers
85 views

Implied volatility is returning infinity

I am trying to calculate implied volatility using javascript , I have following code ...
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votes
0answers
18 views

Is callable bond pricing available in Quantlib XL?

I am able to find documentation for pricing callable bonds in Quantlib Python or C++, however, I am struggling to locate it for Quantlib XL. Is there a way to price callable fixed-rate bonds in ...
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0answers
36 views

St. Petersburg Paradox [closed]

I am currently trying to solve the St. Petersburg paradox from the lecture notes, but somethings bugs, me. Bernoulli shows that we can solve it using marginal utility theory. This is how it is derived:...
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0answers
53 views

Exercise: does Ito integral of a simple stochastic process have normally distributed increments?

I am trying to solve the following problem (exercise 4.3 from Shreve's Stochastic Calculus for Finance, Vol. 2, my adaptation): Let $W(t)$, $0\le t\le T$ be a Brownian motion, and $\mathcal{F}(t)$ ...
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votes
1answer
71 views

Calculate duration of zero coupon bond

I am currently studying interest rate risk management, and i can't seem to get the derivation right, and I would like to do all of the steps, to be sure that I understand what is going on. Let Pz (t, ...
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votes
0answers
43 views

Measure how cheap is the Gold? [closed]

It's possible to measure how cheap stocks are, because we can compare asset price to its output. $$Rate = {Revenue \space \over Capitalisation}$$ And then at any given moment we know how cheap ...
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0answers
46 views

American options & Optimal Stopping Time

From Shreve's book (Stochastic Calculus for Finance II), assuming stock dynamic as standard GBM (without any dividends), the discounted American put price process (which is a super-martingale), ...
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0answers
31 views

Use AM-GM inequality to generalize price process [closed]

Consider the following 2 investing strategies. Strategy $A$ buys $1$ share in every period. Strategy $B$ invests a fixed amount of money in every period. $B$ seems better because for the same ...
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0answers
20 views

Forecast dates and related actions

My question is quite general and is about the coherence between forecast horizon, then forecast dates, and related actions. As example we can keep in mind the asset allocation problem. It seems me ...
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0answers
36 views

Classical Ruin Theory - Lundberg Model

In classical risk/ ruin theory, I see this formula crop up in my notes but my lecturer didn't explain to me why/ when it's employed: $M_X(r) = \int_{-\infty}^{\infty} e^{rx} f(x) dx$ I understand ...
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0answers
61 views

How to get started with Quant Analysis/Algo Trading? [closed]

I’ve been a crypto trader for about a year, using mainly technical and fundamental analysis to trade. I want to start spending some time learning how to perform quantitative analysis and perhaps build ...
0
votes
0answers
22 views

Share percentage offers to potential investors [closed]

I'm delighted to join your community as a new member to learn a lot from you as a founder of a new start up in my country. Recently after I finalized my business plan, I've started searching for ...
0
votes
0answers
35 views

Does anyone have any pproximate idea what it would cost to get a FIX and OUCH connection from NASDAQ

I would like to know how much the exchange fees would be to connect and place orders directly with NASDAQ using one of their third party suppliers or directly. I took a look at the pricing page but it ...
0
votes
1answer
67 views

Simulating correlated Stock Prices python

has anyone tried simulating correlated stock prices via a geometric Brownian motion? I have done it in python but I have no idea if my code is correct since I can't compare it to anything. I would ...
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votes
1answer
54 views

Making portfolio Delta and Gamma neutral using 2 derivatives

We have an option portfolio with delta =2 and gamma 3 and we want to making this portfolio delta and gamma neutral using two derivatives D1 and D2: ...
0
votes
1answer
41 views

How Were These Depreciation Percentages Calculated? [closed]

This is for my second year finance class in university. The chapter is on "Using Discounted Cash Flow Analysis to Make Investment Decisions." Here is the example problem: This is the solution written ...
0
votes
1answer
115 views

Girsanov Theorem and Probability Measures

The Cameron-Martin-Girsanov theorem, in a simplistic way, states that: The probability measure $\mathbb{P}$ is induced by a Wiener process $W(t)$. There exists another process $X(t)$ under the same ...
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0answers
23 views

Deriving CAPM from APT framework

I was wondering if it is possible to derive the CAPM from the APT? My argument is that CAPM basically just is a 1 factor model, where the APT has multiple factors. Can any of you guys help me?

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