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Can someone please explain to me how we are in debt with China? Every weblog, article, journal I read have people in the comments going insane about how we "owe China monies" and "China owns the US" or how the world is being taken over by China!!
From my understanding we sell bonds to the open market (like most coun... |
Reference material about Group Theoretic Asset Allocation? |
Reference material about Quantified Asset Allocation? |
This is roughly what countries own US treasuries:
http://www.treasury.gov/resource-center/data-chart-center/tic/Documents/mfh.txt
As you can see China owns a lot. In fact they own way more than any other nation. Why does China own so many? Because of the trade deficit between the US and China. What's that? C... |
This is roughly what countries own US treasuries:
http://www.treasury.gov/resource-center/data-chart-center/tic/Documents/mfh.txt
As you can see China owns a lot. In fact they own way more than any other nation. Why does China own so many? Because of the trade deficit between the US and China. What's that? C... |
This is roughly what countries own US treasuries:
http://www.treasury.gov/resource-center/data-chart-center/tic/Documents/mfh.txt
As you can see China owns a lot. In fact they own way more than any other nation. Why does China own so many? Because of the trade deficit between the US and China. What's that? C... |
I want to use the following stochastic model
$\frac{\mathrm{d}S_{t}}{ S_{t}} = k(\theta - \ln S_{t}) \mathrm{d}t + \sigma\mathrm{d}W_{t}$
using the following change in variable
$X_t=e^{kt}ln(S_t)$
and the Ito lemma, we obtain the following SDE
$\mathrm{d}X_t = k(\theta -\frac{\sigma^2}{2k})e^{kt}\mathrm{... |
I want to use the following stochastic model
$\frac{\mathrm{d}S_{t}}{ S_{t}} = k(\theta - \ln S_{t}) \mathrm{d}t + \sigma\mathrm{d}W_{t}$
using the following change in variable
$X_t=e^{kt}ln(S_t)$
and the Ito lemma, we obtain the following SDE
$\mathrm{d}X_t = k(\theta -\frac{\sigma^2}{2k})e^{kt}\mathrm{... |
I want to use the following stochastic model
(1) $\frac{\mathrm{d}S_{t}}{ S_{t}} = k(\theta - \ln S_{t}) \mathrm{d}t + \sigma\mathrm{d}W_{t}$
using the change in variable $Z_t=ln(S_t)$
we obtain the following SDE
(2) $\mathrm{d}Z_{t} = k(\theta - \frac{\sigma^2}{2k} - Z_{t}) \mathrm{d}t + \sigma\mathrm{d}W... |
I'm looking to find a service that will allow me to download historical data on stocks, bonds, options, futures, indices, etc and also to pick up new files either on a daily or weekly basis. I've been a software engineer for a couple of years now but I'm new the world of quantitative finance. I've purchased a few books... |
I need to model the market value of CDS in a portfolio. My current approach is to calculate the present value of the future spread payments - does anybody have a better idea to solve the problem?
Edit:
I calculated the spread in the following way (as in Hull-White):
$PV_{surv} = \sum_{i=1}^T {(1−p_d )^i \cdot... |
What language or statistical package are you planning on using? There are multiple free options available. If you are thinking R, then you can just use yahoo finance and directly download the data into the R console. There is plenty of sample code available on the internet and also, this forum. |
I'm looking to find a service that will allow me to download historical data on stocks, bonds, options, futures, indices, etc and also to pick up new files either on a daily or weekly basis. I've been a software engineer for a couple of years now but I'm new the world of quantitative finance. I've purchased a few books... |
what do you think of strategies displayed on [timelyportfolio.blogspot.com][1]?
I really like the fact that there is some code to reproduce the strategies, but they seem very.... elementary, by the fact that he does not control for risk factors.
By that I mean that you can have a super complex strategy with lots ... |
@chrisaycock agreed that is the most common question (I'm guilty of it myself) -- I realized that even some of my questions were better answered by looking at other posts where people had thrown in their 2 cents.
@miggety *I've been researching the availability of data for some time as I wanted to create a model 'fr... |
@chrisaycock agreed that is the most common question (I'm guilty of it myself) -- I realized that even some of my questions were better answered by looking at other posts where people had thrown in their 2 cents.
@miggety *I've been researching the availability of data for some time as I wanted to create a model 'fr... |
I need to model the market value of CDS in a portfolio. My current approach is to calculate the present value of the future spread payments - does anybody have a better idea to solve the problem?
Edit:
I calculated the spread in the following way (as in Hull-White):
$PV_{surv} = \sum_{i=1}^T {(1−p_d )^i \cdot... |
This is roughly what countries own US treasuries:
http://www.treasury.gov/resource-center/data-chart-center/tic/Documents/mfh.txt
As you can see China owns a lot. In fact they own way more than any other nation. Why does China own so many? Because of the trade deficit between the US and China. What's that? C... |
I've recently started reading some books on asset allocation and portfolio theory but I don't work in the field and don't have much knowledge yet.
So I've been reading up on mean-variance analysis and my question is regarding the computation of the expected returns for a particular asset. From what I understand hist... |
I need to model the market value of CDS in a portfolio. My current approach is to calculate the present value of the future spread payments - does anybody have a better idea to solve the problem?
Edit:
I calculated the spread in the following way (as in Hull-White):
$PV_{surv} = \sum_{i=1}^T {(1−p_d )^i \cdot... |
I've got a quanitative trading model I want to test out in the real stock market. Right now, I'm writing some code to pull "live" quotes from yahoo, feed them to my model, and keep track of the trades my model makes. However, I feel like I'm re-investing the wheel. Sites like [Investopedia][1] have free stock trading... |
use a vertical spread and delta hedge it.
http://www.wilmott.com/messageview.cfm?catid=3&threadid=65988 |
Arbitrage pricing theory states that expected returns for a security are linear combination of exposures to risk factors and the returns on these risk factors. Betas, or the exposures of the security to a given risk factor, can be estimated via a time-series regression of the excess returns of the security on the exces... |
Efficiency vs. Robustness - To use a constant or not in time-series model? |
Efficiency vs. Robustness - To use a constant or not in single factor time-series regression? |
I want to use the following stochastic model
$$\frac{\mathrm{d}S_{t}}{ S_{t}} = k(\theta - \ln S_{t}) \mathrm{d}t + \sigma\mathrm{d}W_{t}\quad (1)$$
using the change in variable $Z_t=ln(S_t)$
we obtain the following SDE
$$\mathrm{d}Z_{t} = k(\theta - \frac{\sigma^2}{2k} - Z_{t}) \mathrm{d}t + \sigma\mathrm... |
> Rebalancing and diversification go
> hand in hand. **There is no
> diversification benefit without
> rebalancing – otherwise the total
> return will simply be the weighted
> average of the long-term geometric
> returns.** If you don’t rebalance to
> asset types, you will get no
> diversification benefit.... |
i don't know how interested you are in the CME data but i have been learning about options and volatility modeling...i have been working with delayed CME data.
i have been able to extract the JSON queries and now have been able to run them in my .Net app to get data for every asset type.
exmaple of ES options dat... |
Let's say I have the following two positions:
1. Buy ATM SPX call, expires in 1 month
2. Sell ATM SPX put, expires in 1 month
This creates a synthetic futures position. How do I calculate how many futures are required to replicate (or hedge) my options position? |
How to calculate equivalent futures position? |
Would [this][1] work?
>EViews actually estimates the GJR-GARCH model when you select the GARCH/TARCH option and specify a threshold order. Original TARCH model works on conditional standard deviation. However, as you can verify it from the user's guide, EViews' TARCH model uses the same specification as GJR model do... |
> Rebalancing and diversification go
> hand in hand. **There is no
> diversification benefit without
> rebalancing – otherwise the total
> return will simply be the weighted
> average of the long-term geometric
> returns.** If you don’t rebalance to
> asset types, you will get no
> diversification benefit.... |
I have found many financial authors making generalizations about GM and AM but they are wrong in certain circumstances. Could someone explain their reasoning?
My fact why they are wrong is based Jensen inequality:
$\sum^{n}_{i=1} p_{i} f(x_{i}) \geq f( \sum_{i=1}^{n} p_{i} x_{i})$
for concave up functions, ver... |
Benoit Mandelbrot, pioneer of fractals theory, has a set of papers on the [Multifractal Model of Asset Returns](http://users.math.yale.edu/~bbm3/web_pdfs/Cowles1164.pdf). I believe when most people in finance are saying they use "chaos theory", they are really referring to fractals, and particularly multifractals. I ... |
I am interested in coding a medium frequency (trading over minutes to hours, holding for days to weeks) quantitative trading strategy and trading it with Interactive Brokers.
I have seen many people here mention that they use Matlab (or R, SAS, etc.) for strategy development/backtesting, but that they would prefer t... |
Suppose you are running a portfolio of quantitative strategies and that you develop a new potential strategy to be added to the mix. Assume for simplicity that the new strategy is independent of the existing strategy. The new strategy relies on data which is available going back X years. You proceed by backtesting a... |
Benoit Mandelbrot, pioneer of fractals theory, has a set of papers on the [Multifractal Model of Asset Returns](http://users.math.yale.edu/~bbm3/web_pdfs/Cowles1164.pdf). I believe when most people in finance are saying they use "chaos theory", they are really referring to fractals, and particularly multifractals. I ... |
From [Quantitative Trading by Ernest Chan][1] (p. 53-54):
> **Out-of-Sample Testing** Divide your historical data into two parts.
> Save the second (more recent) part of the data for out-of-sample
> testing. When you build the model, optimize the parameters as well as
> other qualitative decisions on the first po... |
Stop loss simulation with strictly OHLC is not possible since you need to assume the ordering of the high and low (which one came first)? You can make an assumption when there is a straight line thru the price (open at low, close at high for example), however, in general you will have days where it is not clear what lo... |
Interestingly enough there is no scientific theory that suggests what fraction of the data should be assigned to training and testing and results can be very sensitive to these choices.
From [Quantitative Trading by Ernest Chan][1] (p. 53-54):
> **Out-of-Sample Testing** Divide your historical data into two part... |
Benoit Mandelbrot, pioneer of fractals theory, has a set of papers on the [Multifractal Model of Asset Returns](http://users.math.yale.edu/~bbm3/web_pdfs/Cowles1164.pdf). I believe when most people in finance are saying they use "chaos theory", they are really referring to fractals, and particularly multifractals. I ... |
I would say in the context of trading in general (for HFT see my comment above) further developments of [recurrent neural networks][1] (RNN), e.g. so called historical consistent neural networks (HCNN) together with forecasting ensembles, are state of the art.
I published an article on that which will be published ... |
I am interested in coding a medium frequency (trading over minutes to hours, holding for days to weeks) quantitative trading strategy and trading it with Interactive Brokers.
I have seen many people here mention that they use Matlab (or R, SAS, etc.) for strategy development/backtesting, but that they would prefer t... |
[Blitz and Van Vliet (2007)](http://papers.ssrn.com/sol3/papers.cfm?abstract_id=980865), published in the Journal of Portfolio Management, has also tested this proposition on a global dataset. Some other important papers on this phenomenon are:
- [Ang et al. (2006)](http://www.afajof.org/afa/forthcoming/ang1.pdf)
... |
Has anyone else here ever used Stata? It's probably closest to R and Matlab. Like both R and Matlab, it is remarkably flexible and has many good built-in routines for the standard statistical techniques and a decent-sized community contributing code for some of the less popular techniques. Like Matlab but unlike R, i... |
Since I, too, have been very interested in this question, I will share some of my findings in the dual hope of encouraging comments on the papers and eliciting more activity on this question.
- [Ammann, Skovmand, and Verhofen (2008): Implied and Realized Volatility in the Cross-Section of Equity Options](http://pap... |
There are many methods available for calculating the implied volatility of an American option. The most popular method is probably the Cox-Ross-Rubinstein model. However, since this model is numerical and not closed form (i.e. computationally intensive), it is infeasible for calculating implied volatilities on hundre... |
Why would an investor trade a var swap over a vol swap? Is it simply related to the leverage involved in a Var (i.e. sigma-squared) or is there something else to it?
|
This question sounds a lot like [this one](http://quant.stackexchange.com/questions/447/option-trading-api-other-than-ib).
It's going to be difficult to find everything you need completely for free. In order to simulate trading sensibly, you will need a real-time data feed, and even the Yahoo! quotes you are gettin... |
The optimal re-balancing strategy takes account of factors including i) objective function, ii) current portfolio weights, iii) expected return vector containing updated views/alpha forecasts, iv) uncertainty in the alpha forecasts, v) transaction costs, vi) risk aversion, and vii) constraints (long-only, turnover, etc... |
Is your question more about approaches taken on the buy side vs. sell side? If so, you may want to read [Attilio Meucci's paper, P vs. Q](http://www.symmys.com/node/62), on this topic. He breaks down the dichotomy as derivatives pricing (the "Q" world), which uses a lot of very sophisticated modeling involving Ito ca... |
Is your question more about approaches taken on the buy side vs. sell side? If so, you may want to read [Attilio Meucci's paper, P vs. Q](http://www.symmys.com/node/62), on this topic. He breaks down the dichotomy as derivatives pricing (the "Q" world), which uses a lot of very sophisticated modeling involving Ito ca... |
I believe the reason no one has been able to come up with an example of a quant fund employing the academic factor-based approach with stellar performance is because there aren't any (at least not any with decent sized AUM). For a while, now, there has been a debate amongst institutional investors and quantitative pro... |
There are many models available for calculating the implied volatility of an American option. The most popular method, employed by [OptionMetrics](http://www.optionmetrics.com/pdf/DividendForecasting_WhitePaper.pdf) and others, is probably the [Cox-Ross-Rubinstein](http://en.wikipedia.org/wiki/Binomial_options_pricing... |
I believe the reason no one has been able to come up with an example of a quant fund employing the academic factor-based approach with stellar performance is because there aren't any (at least not any with decent sized AUM). For a while, now, there has been a debate amongst institutional investors and quantitative pro... |
The basic principles of [convertible bond arbitrage](http://en.wikipedia.org/wiki/Arbitrage#Convertible_bond_arbitrage) have been clear at least since [Thorp and Kassouf (1967)](http://www.edwardothorp.com/sitebuildercontent/sitebuilderfiles/beatthemarket.pdf). For those who are not familiar, the arbitrage entails pur... |
A good place to start learning about option market making using quantitative techniques is [Euan Sinclair's Option Trading](http://www.amazon.com/Option-Trading-Volatility-Strategies-Techniques/dp/0470497106/ref=sr_1_1?ie=UTF8&qid=1311689220&sr=8-1) (chapter 10 is devoted to market making techniques). He also gives a ... |
Can you point to a source saying that the risks really are different? See the risk section of the [wikipedia](http://en.wikipedia.org/wiki/Contract_for_difference) page. The market risk of an equity CFD and the corresponding equity should be the same. A CFD trader also faces additional liquidation (leverage) risk an... |
You may also be interested in a series of papers by [Easley, de Prado, and O'Hara (2011), Flow Toxicity and Volatility in a High Frequency World](http://papers.ssrn.com/sol3/papers.cfm?abstract_id=1695596&rec=1&srcabs=1748633). This paper follows up on a measure of the effect of trades on prices developed by two of th... |
What are the advantages of buying basket equity swaps derivative compared to single equity swap? Will correlation play a role in basket equity swap?
Thanks in advance |
I'd like to use the [PerformanceAnalytics R package][1] to view various metrics from a list of trades with profit values. From looking at the documentation from the PerformanceAnalytics package that most functions are set up to use a time series of prices rather than an array of profit values (which of course can be n... |
> ...is there a way to convert the profit values to a format that makes sense to input into most PerformanceAnalytics functions?
Assume trade outcomes of 10, -5, 15,... for example, and starting equity of 100, then your equity time series will be 100, 110, 105, 120,... from which *returns* can be calculated.
Tak... |
The [PortfolioAnalytics][1] package will create weights without reference to current weights, if that's what you want. It should also have much of the reporting that you like from Rmetrics fPortfolio.
There is a longer seminar presentation on Portfolioanalytics from 2010's R/Finance conference here: [Complex Portfo... |
Does anyone have any experience with or knowledge of [livevol](http://www.livevol.com)? They are the only source I've found for historical intraday options data, especially including implied volatility and Greeks calculation, and pricing seems not bad. Even the real-time service seems decent, although it is unclear h... |
Student of finance here (self teaching). i am going through Hull's book (latest edition)..i am on chapter 23. I have gotten a good grasp of option pricing models. I am going start with learning time series soon.
Meanwhile, i had a question as to what is the standard model used to forecast asset price movement.
... |
What method do i need to learn in order forcast asset price movement? |
I need to model the market value of CDS in a portfolio. My current approach is to calculate the present value of the future spread payments - does anybody have a better idea to solve the problem?
Edit:
I calculated the spread in the following way (as in Hull-White):
$PV_{surv} = \sum_{i=1}^T {(1−p_d )^i \cdot... |
You can forecast stock prices thru time-series models, cross-sectional, or panel models. There are variations within these categories.
In time-series models you would use an auto-regressive model such as an AR(1) where the independent variable is the dependent variable lagged by one period. Naturally, an AR(2) would... |
You can forecast stock prices thru time-series models, cross-sectional, or panel models. There is considerable variation within these categories.
In time-series models you would use an auto-regressive model such as an AR(1) where the independent variable is the dependent variable lagged by one period. Naturally, an ... |
Since no one was able to answer my [previous question](http://quant.stackexchange.com/questions/1514/performance-of-convertible-bond-arbitrage-models), I am going to try to backtest a modern convertible bond arbitrage strategy myself (perhaps I'll report the results back here, if you're lucky :)). What suite of R pack... |
You can forecast stock prices thru time-series models, cross-sectional, or panel models. There is considerable variation within these categories.
In time-series models you would use an auto-regressive model such as an AR(1) where the independent variable is the dependent variable lagged by one period. Naturally, an ... |
Suppose funds X and Y are the same but X has 0.25% higher management cost. Suppose we are analyzing 2 year interval. The simple models with discrete/continuos interval -assumptions are not really right below. I will get more specific in the end.
1. discrete intervals `0.9975**2`
2. continuous intervals $e^{0.0025*... |
Suppose funds X and Y are the same but X has 0.25% higher management cost. Suppose we are analyzing 2 year interval. The simple models with discrete/continuos interval -assumptions are not really right below. I will get more specific in the end.
1. discrete intervals `0.9975**2`
2. continuous intervals $e^{0.0025*... |
Suppose funds X and Y are the same but X has 0.25% higher management cost. Suppose we are analyzing 2 year interval. The simple models with discrete/continuos interval -assumptions are not really right below. I will get more specific in the end.
1. discrete intervals `0.9975**2`
2. continuous intervals $e^{0.0025*... |
I'm trying to make up my mind and choose a broker, however much of my choice depends on the trading API offered.
I'm definitely not interested in FIX solutions and I'd very much like a .NET implementation of the client interface.
So far I've looked at MBTrading (poorly implemented, not compatible with modern softwa... |
Given this equation, according to the article [at this location][1] , which provides the following equation as an argument, the author claims that he predicts "deflation" in the last paragraph of the article.
![enter image description here][2]
[1]: http://hoisingtonmgt.com/pdf/HIM2011Q2NP.pdf
[2]: https://... |
Will price levels fall even though money supply increases? |
I would suggested you have a look @ Interactive Brokers, they seem to have a very decent API and reasonable fee structure.
[http://www.interactivebrokers.com/en/p.php?f=programInterface][1]
[1]: http://www.interactivebrokers.com/en/p.php?f=programInterface |
I need to calculate skewness of portfolio consisting of 6 assets. I know for that I need coskewness matrix between assets. Does anybody know the formula of coskewness or any simple software to calculate coskewness matrix?
Any usefull information is highly appreciated,
Pasha |
Is the management fee deducted daily or annually? Or perhaps are you trying to quantify the difference between the two? If annually, are fees in this example deducted based on average daily balance, or ending balance?
I think you are also confusing yourself regarding economic vs. accounting cost. Look at how much... |
Martijn Cremers and Antti Petajisto have a [series](http://papers.ssrn.com/sol3/papers.cfm?abstract_id=891719) of [papers](http://papers.ssrn.com/sol3/papers.cfm?abstract_id=1685942) using the concept of "Active Share," a new measure of active portfolio management which represents the share of portfolio holdings that d... |
How do I graphically represent the evolution of a covariance matrix over time? |
Can anyone point me to some Hedge Fund index data - daily levels of the HFRX or something similar, that is available for free and has history back to 2007? The data available through my broker seems to only go back to beginning of 2010. |
> would you expect your financial data to qualify as being a good random number generator
Financial time-series, specifically price-change series, would make terrible random number generators because they generally contain significant dependencies.
> or would it fail in many of these tests?
If you test for **... |
I can't answer your question about the data, since my sources for data like that are Reuters and Bloomberg, neither of which are cheap.
For testing trading strategies, I'll separate them into three camps.
For 'simple' optimization schemes, RMetrics fPortfolio can likely do the trick. This would be for weight-bas... |
Since no one was able to answer my [previous question](http://quant.stackexchange.com/questions/1514/performance-of-convertible-bond-arbitrage-models), I am going to try to backtest a modern convertible bond arbitrage strategy myself (perhaps I'll report the results back here, if you're lucky :)). What suite of R pack... |
I was reading Derman's latest [blog post](http://blogs.reuters.com/emanuelderman/2011/07/28/sophisticated-vulgarity-1/) on [Vanna Volga pricing](http://en.wikipedia.org/wiki/Vanna_Volga_pricing), which, according to the linked Wikipedia article, is used mostly for pricing [exotic options](http://en.wikipedia.org/wiki/E... |
Why are exotic options most popular in FX? |
How does diversification actually lead to less variance in a portfolio? I'm looking for a formal reason why this is the case. There are a number of explanations I have been able to find, but they make the assumption that stocks are wiener processes - that is they assume that the daily changes in a stock's price are n... |
Let's say we have a predictive distribution of expected returns for N assets. The distribution is not normal. We can interpret the dispersion in the distribution as reflection of our uncertainty (or estimation risk) in the expected returns.
Question - What is the set of optimal portfolio weights that is mean-varian... |
Let's say we have a predictive distribution of expected returns for N assets. The distribution is not normal. We can interpret the dispersion in the distribution as reflection of our uncertainty (or estimation risk) in the expected returns.
Question - What is the set of optimal portfolio weights that is mean-varian... |
I think this is a very good and valid question. I will try to give a more general answer here.
It is by now a well known fact that much of the classical stuff won't work in the manner it was thought and supposed to work.
One of the points that are not clear when it comes to real financial time series is how they... |
How does diversification actually lead to less variance in a portfolio? I'm looking for a formal reason why this is the case. There are a number of explanations I have been able to find, but they make the assumption that stocks are wiener processes - that is they assume that the daily changes in a stock's price are nor... |
Let's say we have a predictive distribution of expected returns for N assets. The distribution is not normal. We can interpret the dispersion in the distribution as reflection of our uncertainty (or estimation risk) in the expected returns.
Question - What is the set of optimal portfolio weights that is mean-varian... |
We already have a list of [brokerages that provide apis][1]. What about brokerages that provide web apis?
For example, [Collective2][2] has a url-based web [api for entering trades][3]. Are there any brokerages that provide a similar interface for getting data or entering orders?
[1]: http://stackoverflow.c... |
I am imagining an interesting possibility: correlation network analysis + motion chart
Thanks for the hot research and efforts in social network analysis, the network analysis and graphics library are now easily accessible like [R and Gephis][1]. I think these can be easily adopted for correlation analysis. I have s... |
There is, in fact, a large literature on this subject, but you may have been searching for the wrong terms. This issue is broadly explored within the literature regarding a preference for higher moments. Cauchy distributions, themselves, are very hard to work with because they don't have *any* well-defined moments. ... |
There is, in fact, a large literature on this subject, but you may have been searching for the wrong terms. This issue is broadly explored within the literature regarding a preference for higher moments. Cauchy distributions, themselves, are very hard to work with because they don't have *any* well-defined moments. ... |
I need to calculate the skewness of a portfolio consisting of 6 assets. I know that for that I would need the co-skewness matrix between the assets. Does anybody know the formula for co-skewness or any simple software to calculate a co-skewness matrix?
Any useful information would be highly appreciated. |
What are the standard models used to forecast asset price movements? For example, if I were to trade an option, what model would I use in conjunction with option pricing models to forecast the stock price? Should I use GARCH or one of its variants? |
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