DataAdventurer
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Sharpe Ratio of ETFs in R
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5 votes

try: library(PerformanceAnalytics) SharpeRatio.annualized(Returns, Rf = 0.05, scale = 252, geometric = TRUE)

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How do binary options broker hedge themselves against losses?
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3 votes

If we are talking about brokers who making markets for https://en.wikipedia.org/wiki/Binary_option than I would guess that they aren't hedging at all. It's very common that maturities are in a ...

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Why are there no papers about stock prediction with machine learning in leading financial journals?
2 votes

I'm sceptical about the story of the "silent genius" who has a fantastic quant model, generating him more money than he can spend. The Nobel prize is waiting for you It is highly of interest ...

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Where can I find historical data for Europe listed ETFs?
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2 votes

Try the Bloomberg API: https://www.bloomberg.com/markets/chart/data/1D/IQQF:GR https://www.bloomberg.com/markets/chart/data/1D/EXW1:QT https://www.bloomberg.com/markets/chart/data/1D/IQQL:GR https:...

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Daily S&P500 close in JSON?
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2 votes

try the Bloomberg API: https://www.bloomberg.com/markets/chart/data/1D/SPX:IND I hope it's what you're looking for.

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Two practitioner questions about asset swap spreads
1 votes

I guess by "research desk" you mean a division at e.g. an investment bank and not academic research. To give others an impression of the credit market, practioners do not speak about one ...

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How do market makers make money
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1 votes

Lets construct a simple example that shows a use case of Market Making. Assumptions: You're are the only market maker for a very illiquid S&P 500 ETF S&P500 Level: 100 S&P500 Futures ...

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"Where is my money": CDS Sensitivities, Spreads and PnL Calculations
1 votes

@AlRacoon was completely right by suspecting convexity for this issue. The Chart below shows the impact of the convexity in this trade very well.

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Portfolio returns with unequal asset return histories
1 votes

You've two options: Just use dates for which data is available for all assets Transform the price vectors to xts format test <- xts([returnvector1], order.by=[column with date]) Merge the ...

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Why do CDS Spreads differ by currency?
1 votes

Thank you for your answers! I have found a currently published paper that analyses this explicit case: https://arxiv.org/abs/1512.07256 Conclusions and Further Work We analysed default–driven FX ...

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CDS for Funding
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1 votes

I'm not sure if I understood your question right. What is a CDS? "agreement that the seller of the CDS will compensate the buyer [...] in the event of a loan default [...]. The buyer of the CDS ...

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Should I use an arithmetic or a geometric calculation for the Sharpe Ratio?
1 votes

I didn't understand this either but after some googleing I understood the importance of geometric mean returns! The most stuff on the internet is in text form which is not easy to understand. So I ...

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Public Company Competitors?
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0 votes

Sure: Thompson Reuters Eikon and Bloomberg. I guess you are asking for a free version of this and it this point I have to say to the best of my knowledge that there is no such service.

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