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470 views

Trading strategies for illiquid markets [closed]

Is there any literature on trading strategies for illiquid equities markets, such as research papers or articles? I've done some searching but haven't turned anything up.
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votes
1answer
224 views

Why does the partial derivative, $X_t$, of an ABM $X(t)$ not involve standard Brownian motion $Z(t)$, even though $Z(t)$ varies with $t$?

Consider the arithmetic Brownian motion $X(t) = \alpha t + \sigma Z(t)$ and evaluating $dX(t)$ using Ito's lemma. We have $\frac{\partial X}{\partial t} = \alpha$, which does not involve $Z(t)$, even ...
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votes
1answer
53 views

Clarification on the payoff of a portfolio consisting of a long Up&In Put and short Up&In Call

I am trying to make sense of this example: I'm not following the second line in red: "If you buy an up-and-in put and sell an up-and-in call, the payoff is the strike price minus the stock price ...
-1
votes
1answer
135 views

Zero-coupon Loan Investment [closed]

Zero-coupon default-free interest rates maturing over the next five years are listed below (in percent per annum, continuously-compounded): Maturity Years -- Yield 1 --------------------1.9 2 ------...
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votes
1answer
128 views

Yahoo finance CSV Thursday only data [closed]

Using python 3.5 In yahoo finance I downloaded banknifty .csv the sheet needs to depict three coin toss per day. At random time . However i couldnt automate the date to repeat three times before ...
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votes
1answer
234 views

What are the difference between LCDX vs CDXHY?

I would like to understand what the main differences between LCDX and CDXHY are. Also, can anyone explain what the cancellable feature for LCDS, which is not there for CDS's, is and what it means for ...
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votes
1answer
34 views

Nature of the sample [closed]

When we calculate a difference between the market price and modelled price. so to test the significance whether we apply dependent test or independent test.
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votes
2answers
573 views

Extract Corporate Bond volume

Is it possible to extract the volume of Corporate bonds in Bloomberg with BDP, BDH or BDS function ? Example : 958254AC8 Corp; 98389BAM2 Corp; 94974BFP0 Corp. Doesn't seem like it's possible, even if ...
-1
votes
1answer
2k views

Forward 12m EPS Growth and its Earning Revision using Bloomberg

I'm currently trying to figure out how to use data from Bloomberg to create some analysis on a company's performance using Excel/R. How can I find the Forward 12m EPS Growth, its 1m Earning Revision ...
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votes
3answers
140 views

Is there a stochastic equation which can model returns according to its four moments?

The normal stochastic equation only models mean and standard deviation. For now, I'm randomly picking returns from a historical CDF of the returns. I'd like to have some flexibility when it comes to ...
-1
votes
1answer
5k views

Why do two perfectly negatively correlated assets not return 0%? [closed]

So, per the title, why would a combination of two risky assets that have the same exact expected return and standard deviation while being perfectly negatively correlated not return 0%? Why do you ...
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votes
2answers
71 views

NPV of two annuities

For exam preparation we are given some past papers, however there are no solutions and I would like to know if my logic is correct for the following question: Assume you are 25 years old. An ...
-1
votes
1answer
49 views

Liquidity effect in case MS decrease

What is the result if the liquidity effect is grater than other effects in case of decreased money supply? I got this question on the exam, In case of an increase in the money supply by the central ...
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votes
1answer
440 views

Swaption on a swap with 0 year tenor

Any ideas on valuation of IRS swaption on a swap with 0 year tenor? As an example, we have a 5 year swaption, on expiration it is cash settled; the underlying swap tenor is 0 years with excercise and ...
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votes
1answer
138 views

Where can I find data source for structural models?

I am starting a project to implement the Black-Merton-Scholes model from this book in R. However, I am looking for, ideally free, data sources. Still I have access to a Bloomberg terminal. Can you ...
-1
votes
1answer
37 views

What is wrong in my investment calculation [closed]

I am thinking to start investing monthly and i am trying to calculate my investment using excel with a compound interest of 5% monthly plus addition of certain amount. First month investment is 10000 ...
-1
votes
1answer
77 views

Monthly Return Net of Fees [closed]

How can I calculate the monthly return net of fees if the fee is annual?For example, if every year there is a 20% incentive fee, is there a formula to adjust the return of each month to compensate for ...
-1
votes
1answer
52 views

dividend cash in month [closed]

I like know how much money dividend cash I get. For example I own two shares of the stock dividend cash will be 4.54$ ? ...
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votes
1answer
63 views

Discounting factor depends on [closed]

Does discounting factor only depends on issuer, or it also depends on structure of payments ( i.e. fixed or float)? Thank you in advance.
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votes
1answer
634 views

How to download intraday data regarding a particular stock exchange from bloomberg at one time

Good day I would like to know how to download the intraday data regarding a particular stick exchange at one time, (I need to analyse all the equities listed on it) Second I need to verify that my ...
-1
votes
1answer
1k views

Probability distribution and Stock Price Movement [closed]

How can we use normal distribution for finding the probability of a stock price offer where current price offer depends upon the last price offer. The price offer on some day can go 10% above (at the ...
-1
votes
1answer
231 views

Why didn't my order get filled?

So I placed an offer to sell a few liquid options on an already illiquid stock the other day. I put an offer to sell a deep OTM put, the market makers who had their offers in place had, lets say $1, ...
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votes
2answers
188 views

Automatic trading strategies - what are benchmarks for PL on serious backtesting?

There are plenty books and sites which offer automatic trading strategies (robots) and claim they are very profitable. On the other hand many people do not believe in such things, saying that: if ...
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votes
1answer
149 views

How to learn finance? [closed]

I have a background in programming of about 6 years. Now I decided to learn finance and trading as well. How can I get my foot in the door in that area?
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votes
1answer
95 views

Equity Chart - design and granularity

I am looking to build a web based Equity chart to display performance of FX trading strategies. I would like to hear opinions and advice on a few areas that I am unsure about. Granularity Equity ...
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votes
1answer
1k views

Difference between Total Long Term Debt and Net Total Long Term Debt

What is the difference between Total Long Term Debt and Net Total Long Term Debt? Below you can see a picture revealing that they are not equal.
-1
votes
1answer
81 views

European Option Technical Exercise

I like to ask a practical question regarding the exercise of European Options: As we know, one may exercise a European option only at maturity $T$. But for example, if the option can be exercised ...
-1
votes
1answer
281 views

Is the market really Normal. Is Implied Volatility Historically Correct?

Ok. So as of 6/10/2014's market close the SPY was 195.6 and the VIX closed at a ridiculous recent low of 10.99. Now because the VIX (IV) is the implied volatility of 1 month contracts on the SPX and ...
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votes
1answer
87 views

Calculating the sensitivity of the modified bond duration to changes in the coupon rate

Given that $B=Ce^{-y} + Ce^{-2y}+ (100+C)e^{-3y}$ where B is the bond price, C is the coupon. and It is a 3 years annual coupon bond. I want to find $\frac{dD}{dC}$ where $D$ is the modified duration....
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votes
1answer
348 views

Converting time series returns into euro

I am trying to convert various series of returns into one currency (euro). I saw from aprevious post that soemone suggested using conversion factors, where would I find these? Also, given that the ...
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votes
1answer
116 views

Regression extensions

I'm trying to find extensions for my regression and obviously would like to use PE, BV and CFO. But I've got monthly data, while all company's fundamentals are semi-annually... Can I deal with it ...
-1
votes
0answers
40 views

ZigZag Indicator in Python [closed]

I would like to reply a Metastock Formula (ZigZag based on Close Price) I had some similar results but not the right ones! Formula: ...
-1
votes
1answer
57 views

Equity Risk Premium calculation [closed]

Can someone help me understand the intuition of the following? The formula for calculating the nominal return is: I have the following problem for which I know the answer is A (5.4%). I was told it ...
-1
votes
0answers
49 views

How do I achieve a Long Gamma, Short Theta Exposure?

How I understand it is that if I: Sell OTM near dated put which will pay high theta and have low gamma Buy ATM long dated put which will have low theta and have higher gamma However, if there is a ...
-1
votes
0answers
29 views

Intuition of risk neutral probability [duplicate]

I would like to ask a question: Can I understand risk-neutral probability as a "natural force" that every one has to accept in order to have no-arbitrage in the market (i.e, in the real ...
-1
votes
1answer
40 views

Net volume reference for uptick and downtick

I am new to finance and I have been looking at market data in terms of prices, volumes and net volumes. From what I have gathered: Volume - number of transactions (buying-selling) throughout the ...
-1
votes
1answer
48 views

Time varying weights in a portfolio

As I have seen in my portfolio theory class, we define the weights of some assets and quantify the risk and return of the whole portfolio. In this setup, the weights do not change in time. What if the ...
-1
votes
1answer
102 views

Why does a Bermudan option have a higher implied volatility than its European counterpart?

I get that the premium for an earlier exercise should be higher to compensate the seller but intuitively you would think that the spot has "less room to run" in a potentially shorter period of time (...
-1
votes
1answer
72 views

Cash-or-Nothing Call Option

I am trying to price a cash or nothing call option and I know know that the Cash or Nothing formula for a call option is $C(t,s)=Xe^{-r(T-t)}*N(d)$ If I have payoff X=100 r=0.03 T=2 $\sigma=0.3$ I ...
-1
votes
1answer
89 views

project curve spot risk (PV01) into forward risk (PV01)

is there a (simplistic?) formula to convert spot risk PV01 into the forward risk PV01? For example, if I have a a) PV01 spot risk : 1yr = 100k/bp, 2yr = 50k/bp, 3yr = 25k/bp b) how can I project ...
-1
votes
1answer
22 views

What's the relationship between the risk-neutral probability in HJM and the risk-neural probability under domestic money market?

In shreve's book, we model the stock price dynamics as: $$S_i(t) = \alpha(t)S_i(t)dt +S_i(t)\sum ^d_{j=1}\sigma _{ij}(t)dW_j(t)$$ and the forward rate can be written as : $$df(t,T) = \gamma(t,T)dt + \...
-1
votes
1answer
65 views

Credit default swap price quote conversion

How to convert cds prices quoted in PTS or PRICE to BPS? Eg. If CDS price quoted as 37 PTS then what is the equivalent in BPS and how to calculate that?
-1
votes
1answer
96 views

Hull White Cap/Floor calibration

I have a problem and I hope someone could help me. I calibrated the Hull-White model to Caps and Floors from t=0 so the bond prices are equivalent to todays term structure. See: Hull-White zero-...
-1
votes
1answer
94 views

Backtesting a stock scoring model

I'm working on a simple stock scoring model consisiting of 3 factors: 1.market cap 2.liquidity of the stock 3.the value at risk we defined 3 intervals for each factor and we assigned the ...
-1
votes
1answer
68 views

Fama French Three Factor

How to calculate the value weighted or equally weighted returns for the six portfolios SL,SM,SH,BL,BM,BH of fama french 3 factor model?
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votes
1answer
218 views

Anyone need a daily Ticker to CIK mapping?

Since I've seen several "Ticker (symbol) to CIK" mapping questions over the years, thought I'd put this out here. I had a need to map this myself for another project. I finally have a baseline that ...
-1
votes
1answer
36 views

Holding Period Return [closed]

Bought stock for $12.00$/share. Sold 3 years later at $20$/share. Paid $1$ dividend each year for 3 years. Stock's value at the end of the first year was $18$ and $15$ at the end of the second. Find ...
-1
votes
1answer
51 views

Smoothing of Implied Volatilty

I'm using ATM 30D implied volatility in a model I'm building, but need to smooth out the data. Is the best way just to use exponential smoothing or are there any better alternatives?
-1
votes
1answer
39 views

Differences Between Portfolio Daily Average Returns

I have a doubt about the average daily return for a 2 stock porfolio. I have the data of both stock returns over a 1511 day period. I used 2 approachs to calculate the average return. In the first one,...
-1
votes
2answers
380 views

Position Sizing Algorithm for Multi Asset Portfolio

I'm currently working on a position sizing algorithm for my trading system. By combining fixed ratio money management and setting the stop loss based on the current ATR value I receive reasonable ...

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