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What methods do I need to learn in order forecast asset price movements?
What about customizing KNIME (Open source aswell) for this particular problem? I am no expert, just my two cent. KNIME comes with Weka(I dont mean complete Weka, but a basic machine learning functions) & R integration aswell(Importing/Exporting R codes are easy), Text Mining, Neural Nets etc. I reckon, KINME(www.kni...
Does anyone know what time the [Bloomberg Open Symbology][1] precanned files are updated every day? I am planning on upating my view of them at 9 AM EST every morning. Further more will the files for equities have any IPOs from the day listed? [1]: http://bsym.bloomberg.com/sym/
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 but rise in the long run c) Would also expect correlation with Gold to dip in the short run and rise in the lon...
What would be the impact of the US Credit Rating downgrade on Crude Oil Prices?
In the footer of this page, you can find a list of brokerages, they provide API(web or stripped down) services and cheap brokerages. http://www.elitetrader.com/vb/forumdisplay.php?s=eff1f8fd5f8145d41006a327f286ca27&forumid=48 Thnks Roshan
In the formulation of your hypotheses you had to assume that this is relevant news to the market with an imidiate effect on prices and volatilities, in other words that a rating action leads to a structural break, not the other way round (that a structural break leads to rating action). The problem in testing will prob...
It is well documented that following the [stock market crash in 1987][1] the prices of options started to demonstrate skew and smile in the distribution of implied volatilities. This feature has been present in equity markets ever since. Could a future event change the shape of the implied volatility distribution aga...
Could the Implied Volatility distribution change agin?
Could the Implied Volatility distribution change again?
Are there any brokerages which use URL-based web APIs?
Does anyone know what time the [Bloomberg Open Symbology][1] precanned files are updated every day? I am planning on upating my view of them at 9 AM EST every morning. Furthermore, will the files for equities have any IPOs from the day listed? [1]: http://bsym.bloomberg.com/sym/
What time are Bloomberg Open Symbology Files updated daily?
What are some quantitative approaches to value investment?
How do I estimate convergence in monte carlo methods?
What is the ideal ratio of in-sample length to out-of-sample length?
What are some simple algorithms for hedging vanilla bonds?
What research is available on the performance of convertible bond arbitrage models?
How do I backtest a convertible bond arbitrage strategy in R/Matlab?
What are the advantages of switching platforms/languages between strategy development and implementation?
What sources of financial and economic data are available online? Which ones are free or cheap? What has your experience been like with these data sources?
What data sources are available online?
In the formulation of your hypotheses you had to assume that this is relevant news to the market with an imidiate effect on prices and volatilities, in other words that a rating action leads to a structural break, not the other way round (that a structural break leads to rating action). The problem in testing will prob...
How can I store tick data ? For example if I have IB trading account how can I download and store the tick data directly to my computer? Which software can I use ?
How should I store tick data? For example, if I have an IB trading account, how should I download and store the tick data directly to my computer? Which software should I use?
How should I store tick data?
Fund managers are acting in a highly stochastic environment. What methods do you know to systematically separate skillful fund managers from those that were just lucky? In other words, how do you separate the wheat from the chaff? Every idea, reference, paper is welcome! Thank you!
What quantitative methods are available to separate skillful fund managers from lucky ones?
How does one analyze diversification if stock prices follow a Cauchy distribution?
It is often convenient to parametrize the implied volatility curve to allow easy interpolation of volatility for any strike or maturity. What functional form describes the implied volatility curve for options at varying strikes and fixed maturity?
What functional form describes the implied volatility curve?
How should I calculate the implied volatility of an American option in a real-time production environment?
A forward contract has a premium of $ 0$ because it is an obligation to buy or sell something in the future (hence there is more risk). Call and put options, on the other hand, have premiums of $C$ and $P$ respectively where $C,P>0$ because one has the option to exercise it in the future (hence there is less risk). We ...
What exactly is the annualized forward premium?
1. The author's article does not predict constant interest rates. On the contrary, "...if nothing is politically accomplished in reducing our long-term debt liabilities, a large risk premium could be established in Treasury securities." The reason why this is the case is because in interest rates (R in the equation) ad...
The author's article does not predict constant interest rates. On the contrary, "...if nothing is politically accomplished in reducing our long-term debt liabilities, a large risk premium could be established in Treasury securities." The reason why this is the case is because in interest rates (R in the equation) adjus...
The author's article does not predict constant interest rates. On the contrary, "...if nothing is politically accomplished in reducing our long-term debt liabilities, a large risk premium could be established in Treasury securities." The reason why this is the case is because in interest rates (R in the equation) adjus...
How do I calculate the skewness of a portfolio of assets?
How can I estimate degrees of freedom for Student-T distribution?
How can I estimate the degrees of freedom for a Student's T distribution?
Which brokers offer a .NET stock trading API?
What is the role of Credit Valuation Adjustment (CVA) desks in investment banks?
Is there any good research on support and resistance?
A Polynomial of degree 2 or 3 ?
A Polynomial of degree 2 or 3 ? But Linear interpolation on a datapoints vector works fine in my experience, let's say you have an index whose options strike : 80/82/84/86/88/90 You usually don't need to calculate vol @ 83. The only case is if you have a different volatility smile (estimated vol. for example) ...
In reference to this paper: <br> Can risk aversion indicators anticipate ﬁnancial crises?<br> http://www.banque-france.fr/gb/publications/telechar/rsf/2006/etud3_1206.pdf and the investable UBS Risk Adjusted Dynamic Alpha Strategy:<br> http://www.ibb.ubs.com/mc/strategyindices/ubsrada/downloads/rada_fac...
Can risk aversion indicators anticipate ﬁnancial crises? Research and/or strategies
[John Hussman][1] has a [recession forecasting methodology][2] he often posts about on his blog, and I am trying to replicate it using publicly available data. I would like to assess his accuracy in predicting recessions, and try my own hand at the same problem. Here is Dr. Hussman's criteria for a recession 'warning:...
Post-crisis there has been some research that uses return series for financial institutions to predict downturns. I think the major ones are [CoVaR][1] (Adrian and Brunnermeier) and [CATFIN][2] (Allen, Bali, and Tang). These lit reviews in these papers should provide a lot of background. [1]: http://papers.ssrn....
[John Hussman][1] has a [recession forecasting methodology][2] he often posts about on his blog, and I am trying to replicate it using publicly available data. I would like to assess his accuracy in predicting recessions, and try my own hand at the same problem. Here is Dr. Hussman's criteria for a recession 'warning:...
The general question I have is visualization of the implied distribution of returns of a currency pair in the future. I usually use QQplots for historical returns, so for example versus the normal distribution: ![enter image description here][1] [1]: https://i.stack.imgur.com/fAeEf.png Now I would li...
The general question I have is visualization of the implied distribution of returns of a currency pair in the future. I usually use QQplots for historical returns, so for example versus the normal distribution: ![enter image description here][1] [1]: https://i.stack.imgur.com/fAeEf.png Now I would li...
In teaching myself about bonds, I am writing some software, one piece of which will calculate the maturity of a bond given the yield curve as a function and a requested duration. The tricky part is that duration depends on interest rates, and the interest rate depends (through the yield curve) on maturity, which depen...
Closed-form formula for approximate maximum duration of a bond?
There is considerable literature on the role of sentiment in predicting stock market returns. Sentiment is often used as the proxy variable to explain Risk Aversion. I would check out the following for details: 1. [Neal & Wheatley][1] - Do measures of investor sentiment predict stock market returns 2. [Stambau...
I am building a global tactical equity allocation model. The model will help determine an optimal allocation amongst a number of major developed and emerging stock markets (represented for my purposes by the MSCI country indices). The model will use inputs such as macroeconomic indicators, local currency yield curves a...
Should I use currency hedged or unhedged returns for a global equity allocation model?
What are the best sources of quantitative finance research? I will list a couple and note an asterisk if the research is available by request (i.e. non-clients) or online: 1. BAC-Merrill Lynch - Savita Subramanian 2. Deutsche Bank - Yin Luo* 3. Credit Suisse - Pankaj Patel 4. Barclay's - Matthew Rothman ...
sources for quantitative research?
sources for equity quantitative research?
I would consider a [motion chart][1] that plots the eigenvalues of the covariance matrix over time. For a static view you can create a table: rows represent dates, and columns represent eigenvectors. The entries of the table represent changes in the angle of the eigenvector from the previous row. This will show how ...
What are the best sources of quantitative finance research? I will list a couple and note an asterisk if the research is available by request (i.e. non-clients) or online: 1. BAC-Merrill Lynch - Savita Subramanian 2. Deutsche Bank - Yin Luo* 3. Credit Suisse - Pankaj Patel 4. Barclay's - Matthew Rothman ...
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...
If you're able to work with the results from the paper cited (Pianca, [Maximum Duration of Below Par Bonds: A Closed-Form Formula][1]), congratulations! You have the hard part done! Maximum durations for par and premium bonds are trivial. Here is a figure directly from the cited paper: ![enter image description...
Someone has told me that mean reversion can be implied by the different valuations of bermudan swaptions when using different method for volatility calibration. Does anyone know what this mean?
How is Mean Reversion implied?
I m recently doing my dissertation and faced with problem in estimation basic rolling GARCh (1,1) process. I have 2500 observation and need to forecast 1 day ahead volatility in rolling form. I will highly appreciate if advanced users provide me assistance in that issue.. I looked guideline but there was no information...
What are the best sources of quantitative finance research in equities? I will list a couple and note an asterisk if the research is available by request (i.e. non-clients) or online: 1. BAC-Merrill Lynch - Savita Subramanian 2. Deutsche Bank - Yin Luo* 3. Credit Suisse - Pankaj Patel 4. Barclay's - Matt...
What are the best sources for equity quantitative research?
Someone told me that mean reversion can be implied by the different valuations of bermudan swaptions when using different methods for volatility calibration. Does anyone know what this means?
How is mean reversion implied by different valuations of Bermudan swaptions?
[John Hussman][1] has a [recession forecasting methodology][2] he often posts about on his blog, and I am trying to replicate it using publicly available data. I would like to assess his accuracy in predicting recessions, and try my own hand at the same problem. Here is Dr. Hussman's criteria for a recession 'warning:...
The old [3-Month Commercial Paper Rate (CP3M)][1] on FRED was discontinued in 1997. I would like to reconstruct this series in a reasonable fashion, so I can use it to analyze more recent events. I was thinking of using some combination of [3-Month AA Financial Commercial Paper Rate (CPF3M)][2] and [3-Month AA Nonfi...
I'm just trying to determine the appropriate naming convention for a category that holds cap or spread, or in other words, what category can I put cap and spread (in this context) into? Are they "Features" of a monthly sum option, or "Limits" ... I really don't know.
How Would You Categorize A Cap or Spread On A Monthly Sum Option?
[John Hussman][1] has a [recession forecasting methodology][2] he often posts about on his blog, and I am trying to replicate it using publicly available data. I would like to assess his accuracy in predicting recessions, and try my own hand at the same problem. Here is Dr. Hussman's criteria for a recession 'warning:...
After trying to write some pseudo-code which might or might not have helped you, I googled this forum discussion: http://forums.eviews.com/viewtopic.php?f=5&t=1048 - maybe it is helpful for you, because it describes a similar problem.
How do I replicate John Hussman's recession forecasting methodology?
I ahve a very basic data question: how to get a list of all common stocks traded on NYSE, NASDAQ and AMEX? I would need to be able to get the approximate list of common stocks as is aailable in Telechart... I can not get this data at eoddata.com, for example... I would like to calculate market breadth indicators and...
Where to download list of all common stocks traded on NYSE, NASDAQ and AMEX?
How do you explain what a stationary process is? In the first place, what is meant by process, and then what does the process have to be like so it can be called stationary?
What is a stationary process?
[John Hussman][1] has a [recession forecasting methodology][2] he often posts about on his blog, and I am trying to replicate it using publicly available data. I would like to assess his accuracy in predicting recessions, and try my own hand at the same problem. Here is Dr. Hussman's criteria for a recession 'warning:...
What are the best sources of quantitative finance research in equities? I will list a couple and note an asterisk if the research is available by request (i.e. non-clients) or online: 1. BAC-Merrill Lynch - Savita Subramanian 2. Deutsche Bank - Yin Luo* 3. Credit Suisse - Pankaj Patel 4. Barclay's - Matt...
Here is another paper I found recently on using sentiment to predict equity markets: [Risk Sentiment Index (RSI) and Market Anomalies][1] [1]: http://papers.ssrn.com/sol3/papers.cfm?abstract_id=1503305
In reference to this paper: <br> Can risk aversion indicators anticipate ﬁnancial crises?<br> http://www.banque-france.fr/gb/publications/telechar/rsf/2006/etud3_1206.pdf and the investable UBS Risk Adjusted Dynamic Alpha Strategy:<br> http://www.ibb.ubs.com/mc/strategyindices/ubsrada/downloads/rada_fac...
How can I learn about the quantitative aspects of market making in illiquid single stock options?
I have a very basic data question: how to get a list of all common stocks traded on NYSE, NASDAQ and AMEX? I would need to be able to get the approximate list of common stocks as is available in Telechart... I can not get this data at [eoddata](http://www.eoddata.com), for example... I would like to calculate market...
[QuantNet Master List](http://www.quantnet.com/forum/threads/master-list-of-free-financial-data.1036/) ---------- ## Economic Data ## UK - <http://www.statistics.gov.uk/> US - <http://www.census.gov/> - <http://www.bls.gov/> - <http://www.federalreserve.gov/> - <http://www.ssa.gov/> ...
What is the basis risk between cash and futures government bonds?
Due to the ongoing turmoil in the financial markets a short-selling ban is being considered (again, one has to say, but this time in Europe): <br> http://www.nytimes.com/2011/08/12/business/global/europe-considers-ban-on-short-selling.html Aside from the point that this seems to serve purely political reasons (since...
How will a ban on short-selling affect the derivatives markets?
I want a list of all CUSIPs/ISINs. It would be nice if they were also categorized (e.g. Bonds/Funds etc). Where can I get such a data?
How to get list of all CUSIPS/ISIN?
Barry, How did your test of arbing Oanda's continuous interest versus other fx broker's rollover go? I ran a similar test before and found it did not overcome the spread costs, although starting on Wednesday (triple pay day) helped, the weekend interest at Oanda would catch up. There are other ways of trading ...
Various studies out there have demonstrated the very large and growing influence of high frequency trading (HFT) on the markets. HFT firms are clearly making a great deal of money from somewhere, and it stands to reason that they are making this money at the expense of every other participant in the market. Defenders...
Has high frequency trading (HFT) been a net benefit or cost to society?
Most brokers compute rollover once a day (2200 GMT), but OANDA calculates it continuously. I thought I'd cleverly found an arbitrage opportunity, but it turns out OANDA knows about this and advertises it. Quoting from http://www.oanda.com/corp/story/innovations Professional traders can exploit ...
This stuff is not exactly my area of expertise, but since you're offering the bounty, I'll start things out and we'll see if the community can get us further along. I believe the essence of your question is actually to find the implied distribution of returns given the B-S volatilities. Once you have an implied dis...
Due to the ongoing turmoil in the financial markets a short-selling ban is being considered (again, one has to say, but this time in Europe): <br> http://www.nytimes.com/2011/08/12/business/global/europe-considers-ban-on-short-selling.html Aside from the point that this seems to serve purely political reasons (since...

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