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What is the difference between Close price and Settelment Price for future contracts?
Is there a define rule for evaluating the settlement price or each instrument/exchange different rules applied?
For example the CME Emini S&P500(ES) or ICE Russell 2000(TF).
TX in advance! |
I'm creating some .Net libraries for bond pricing and verifying its correctness with a bond pricing excel spreadsheet (Bond Pricing and Yield from [Chrisholm Roth][1]) but I believe it calculates the Yield to Horizon erroneously. This [site][2] describes how to calculate the Yield to Horizon, with the example given def... |
My objective is to show the distribution of a portfolio's expected utilities via random sampling.
The utility function has two random components. The first component is an expected return vector which is shocked by a random Gaussian variable ('ER'). The shock shifts the location parameter of the return distribution.... |
My objective is to show the distribution of a portfolio's expected utilities via random sampling.
The utility function has two random components. The first component is an expected return vector which is shocked by a random Gaussian variable ('ER'). The shock shifts the location parameter of the return distribution.... |
My objective is to show the distribution of a portfolio's expected utilities via random sampling.
The utility function has two random components. The first component is an expected return vector which is shocked by a random Gaussian variable ('ER'). The shock shifts the location parameter of the return distribution.... |
My objective is to show the distribution of a portfolio's expected utilities via random sampling.
The utility function has two random components. The first component is an expected return vector which is shocked by a random Gaussian variable ('ER'). The shock shifts the location parameter of the return distribution.... |
In algorithmic trading, can social media sites, like Twitter be used to analyse financial markets? If yes, how much research has been done on this topic? |
What is the difference between Close price and Settelment Price for future contracts?
Is there a define rule for evaluating the settlement price or each instrument/exchange different rules applied?
For example the CME Emini S&P500(ES) or ICE Russell 2000(TF). |
My objective is to show the distribution of a portfolio's expected utilities via random sampling.
The utility function has two random components. The first component is an expected return vector which is shocked by a random Gaussian variable ('ER'). The shock shifts the location parameter of the return distribution.... |
Since both $ER$ and $S$ are gaussian random, why not just assume their dependence is captured by their covariance, and make your draws from the bivariate normal distribution? It is hard to construct any *other* way of making two marginal gaussians cointegrated.
Even if the variables were not gaussian, you would pro... |
Personally, I am very skeptical of the claims in "[Twitter mood predicts the stock market][1]". A sounder approach is to relate social media activity to investors' attention and exploit this channel to say something sensible about the stock market.
The typical viewpoint is that social media mining provides info on ... |
Personally, I am very skeptical of the claims in "[Twitter mood predicts the stock market][1]". There are several other papers with similar claims, but not so much good quality research is available. Arguably, the sweet bits of these approaches are not public. A sounder approach is to dig at the relationship between so... |
Is there an understood way of determining how far out the money an option can be, before it starts/stops responding to the underlying asset price changes?
I usually look at the greeks, gamma, delta, theta and volatility to determine how an options price will change, but a certain many strikes out of the money (low g... |
My objective is to show the distribution of a portfolio's expected utilities via random sampling.
The utility function has two random components. The first component is an expected return vector which is shocked by a random Gaussian variable ('ER'). The shock shifts the location parameter of the return distribution.... |
I'd like to backtest some strategies involving earnings release surprises, as well as moves in corelated stocks.
Are there any sites that offer easy to 'scrape' tables/XML/JSON of all the past historical earnings, surprises etc dates?
The SEC.GOV site is a last resort as it's fairly convoluted to 'parse'.
than... |
What is a good site to download histroical stock 'events' such as earnings releases? |
I'd like to backtest some strategies involving earnings release surprises, as well as moves in corelated stocks.
Are there any sites that offer easy to 'scrape' tables/XML/JSON of all the past historical earnings, surprises etc dates?
The SEC.GOV site is a last resort as it's fairly convoluted to 'parse'. |
I'd like to backtest some strategies involving earnings release surprises, as well as moves in correlated stocks.
Are there any sites that offer easy to 'scrape' tables/XML/JSON of all the past historical earnings, surprises etc dates?
The SEC.GOV site is a last resort as it's fairly convoluted to 'parse'. |
What is a good site to download historical stock 'events' such as earnings releases? |
> **Possible Duplicate:**
> [What data sources are available online?](http://quant.stackexchange.com/questions/141/what-data-sources-are-available-online)
> [Earnings and valuation data sources online](http://quant.stackexchange.com/questions/1207/earnings-and-valuation-data-sources-online)
<!-- End of automatic... |
If we suppose an instrument goes up or down 1 tick per delta t (binary
model), it's long term distribution will be normal, per the Central
Limit Theorem.
However, suppose we model as follows:
- The first tick is up or down with 50% probability.
- Every future tick is: 60% likely to be in the same directi... |
Can binary model lead to non-normal distribution? |
Can options volume affect the perception of asset price? I know that options buying/selling does not directly affect the price of the underlying asset (rather, the asset price contributes most to the option price). I do know of technical studies and alert systems that factor in options volume, and put/call ratios, but ... |
Can options volume affect the perception of asset price? I know that options buying/selling does not directly affect the price of the underlying asset (rather, the asset price contributes most to the option price). I do know of technical studies and alert systems that factor in options volume, and put/call ratios, but ... |
If we suppose an instrument goes up or down 1 tick per $\Delta t$ (binary
model), its long term distribution will be normal, per the Central
Limit Theorem.
However, suppose we model as follows:
- The first tick is up or down with 50% probability.
- Every future tick is: 60% likely to be in the same direc... |
Are there libraries in R for estimating time-varying joint distributions via copulas?
Hedibert Lopes has an excellent [paper][1] on the topic here. I know there is an existing packaged called [copula][2] but it fits a static copula.
[1]: http://faculty.chicagobooth.edu/hedibert.lopes/.../pdf/ausin-lopes-2010.... |
Tools in R for estimating time-varying copulas? |
[Ledoit and Wolf shrinkage methods ("Honey I shrunk the sample covariance matrix")][1]
[Ceria and Stubbs - Robust optimization literature (2006)][2]
[Stock & Watson (2002ab) - papers on large N small P estimation][3]
[Rockafellar & Uryasev (2000) - "Optimization of CVaR and coherent risk measures"][4]
[Sor... |
I'm happy how we store a *single* time series but we somehow lack a system that glues them all together. I'm talking about a few million time series coming from ~50 data vendors and representing maybe a million contracts.
It appears to me that hydrologists(!) have a pretty decent framework (KiTSM) but it takes _A L... |
I'm happy how we store a *single* time series but we somehow lack a system that glues them all together. I'm talking about a few million time series coming from ~50 data vendors and representing maybe a million contracts.
It appears to me that hydrologists(!) have a pretty decent framework (KiTSM) but it takes _A L... |
I'm happy how we store a *single* time series but we somehow lack a system that glues them all together. I'm talking about a few million time series coming from ~50 data vendors and representing maybe a million contracts.
It appears to me that hydrologists(!) have a pretty decent framework (KiTSM) but it takes _A L... |
Is it possible to combine different algorithms so as to improve trading performance? In particular, I have read about that social media sentiment tracking, digital signal processing and neuro networks all can be used for trading algorithms.
Would it be possible to create a trading algorithm that combines elements fr... |
Yes. First, it is much easier to proceed if you standardize the output of your forecast so they are in the same units (returns, for example, or probabilities of an event/condition occurring). After you have done this, there are 3 general approaches:
1. Signal weighting: Then you need to define a weighting scheme fo... |
Yes. First, it is much easier to proceed if you standardize the output of your forecast so they are in the same units (returns, for example, or probabilities of an event/condition occurring). After you have done this, there are 3 general approaches:
1. Signal weighting: Then you need to define a weighting scheme fo... |
Yes. First, it is much easier to proceed if you standardize the output of your forecast so they are in the same units (returns, for example, or probabilities of an event/condition occurring). After you have done this, there are 3 general approaches:
1. Signal weighting: Then you need to define a weighting scheme fo... |
One typically models the log returns of a portfolio of equities by some unimodal, symmetric (or nearly symmetric) distribution with parameters like the mean and standard deviation estimated by empirical estimators. For example, the most basic model would be to assume the returns are normal (yes, I know the tails are n... |
What are some common models for one-sided returns? |
Whatever method you use, I recommend you test your implementation with Monte Carlo simulations as well as real data (although doing the latter subjects you to data mining bias, it can give a sanity check on your Monte Carlo simulations.) For most instances of multiple algorithms, the returns streams will not be indepe... |
Given a cointegrated set of price series, I am trying to compute the Hasbrouck's information share, as described in
page 12-13 of http://www.jamesgoulding.com/Research_II/S&P's/S&P%20(Price%20Dynamics%20in%20E-minis%20revised.pdf.
page 7-8 of http://www.isb.edu/EMFConference/File/Pricediscovery(1).pdf
I have ... |
I am writing a paper with case study in financial maths. I need to model interest rate $(I_n)_{n\geq 0}$ as a sequence of non-negative iid random variables. Which distribution would you advise me to use? Currently I am considering exponential one, but I am not sure that it is a right choice, though it is quite easy ot ... |
Given a cointegrated set of price series, I am trying to compute the Hasbrouck's information share, as described in
page 12-13 of [this article][1].
page 7-8 of [this article][2]
I have the vector error correction model (VECM) set up for the price series. But I am unable to understand how to derive the vector... |
As you mention neural network, in general, you may like to look further into various machine learning techniques.
On that side, Quant Guy also mentioned ensemble learning which is the general term to combine different learning models. I'd like to elaborate on this point a bit further:
In machine learning, traditi... |
Sorry if this is obvious, I am not a professional. I like to trade 30 year treasury zero's.
I have noticed that the price for a 30 year principle payment is never the same as a 30 year interest payment. The difference is small (~.3%), and I haven't tracked it long enough to confirm if it is always one greater than ... |
Why is there a price difference between 30 year strips based on if they are principal or interest payments? |
- [Theta Calculus][1], a system for representation of complex financial instruments.
- [Kupper & Drapeau's unification of risk concepts][2].
- Several papers by Schmid, Bodnar, Okhrin on optimal portfolio weights and tests of same. For example, [A test for the weights of the global minimum variance portfolio in an... |
Some years ago there was a proliferation of new products touting the ability of active managers to take short bets on securities: 130/30 funds, 150/50 funds, and the like.
What is the empirical performance of these actively managed funds vs. their benchmarks? For funds with positive alpha, is the contribution to al... |
Performance of 1X0/X0 funds vs. traditional benchmarks? |
Some years ago there was a proliferation of new products touting the ability of active managers to take short bets on securities: 130/30 funds, 150/50 funds, and the like.
What is the empirical performance of these actively managed funds vs. their benchmarks? For funds with positive alpha, is the contribution to al... |
Could anyone show how this could be done in R? The `dlm` package seems to be a good start, but I can't really find any good examples to learn from.
Currently I have two timeseries of the closing prices for two stocks. I then do a rolling regression that gives me the corresponding timeseries of the beta between the t... |
How does Kalman filtering of beta in pairs trading model work in R? |
Have checked out the vingette for [DLM][1] by Petris?
Incidentally, Petris also has an [R-book on the DLM package][2] which includes estimation of beta as an example.
[1]: http://cran.r-project.org/web/packages/dlm/vignettes/dlm.pdf
[2]: http://www.amazon.com/Dynamic-Linear-Models-Giovanni-Petris/dp/03877... |
Have you checked out the vingette for [DLM][1] by Petris?
Incidentally, Petris also has an [R-book on the DLM package][2] which includes estimation of beta as an example.
[1]: http://cran.r-project.org/web/packages/dlm/vignettes/dlm.pdf
[2]: http://www.amazon.com/Dynamic-Linear-Models-Giovanni-Petris/dp/0... |
Is there any way to calculate theta at X day in future based solely on knowing
1) Total Current Option Price
2) Days Till Expiration
How would this be done? Thank you |
Can options volume affect the underlying asset price indirectly? I know that options buying/selling does not directly affect the price of the underlying asset (rather, the asset price contributes most to the option price). I do know of technical studies and alert systems that factor in options volume, and put/call rati... |
Can options volume have an impact on the price of the underlying asset? |
Is it possible to combine different algorithms so as to improve trading performance? In particular, I have read that social media sentiment tracking, digital signal processing and neural networks all can be used for trading algorithms.
Would it be possible to create a trading algorithm that combines elements from th... |
How to combine multiple trading algorithms? |
How do you price calender spread options, that is, options on the difference between future prices with different time to maturity? |
How do you price calendar spread options, that is, options on the same underlying and the same strike but different times to maturity? |
How to price a calendar spread option? |
Sorry if this is obvious, I am not a professional. I like to trade 30 year treasury zero's.
I have noticed that the price for a 30 year principal payment is never the same as a 30 year interest payment. The difference is small (~.3%), and I haven't tracked it long enough to confirm if one is always greater than the... |
Why is there a price difference between 30 year principal and interest STRIPS? |
If a thinly traded stock has not traded for last few days (vol=0), is it better to use last known close price (i.e. roll over last non zero close price) or use last know bid/ask/valuation price ? This is for stock chart application.
Thank you. |
I see that term tossed around a lot, in articles relating to HFT, and ultra high frequency data. It says at higher frequencies, smaller intervals, microstructure noise is very dominant. What is this microstructure noise that they refer too? Googling for microstructure noise says it's a branch of finance...
Thanks |
What exactly is meant by "microstructure noise"? |
If an underlying doesn't pay dividends (for our purpose defined as any distribution to the underlying's holder) directly or indirectly (e.g. options on futures) how does put-call parity change from the usual assumption of a European option?
In particular, I'm thinking of bond options like the [10-year Treasury Note]... |
What changes to put-call parity are necessary when evaluating american options on non-dividend paying stocks? |
What changes to put-call parity are necessary when evaluating american options on non-dividend paying assets? |
Consider american options on interest rate futures such as the [10-year treasury note](http://www.cmegroup.com/trading/interest-rates/us-treasury/10-year-us-treasury-note_contractSpecs_options.html). When is early exercise optimal? |
When is it rational to exercise a bond option early? |
I have a simple stock market trading hypothesis ...
Something along these lines:
> Based on a certain deviation from a stock market index over a 30-day
> period, 5 certain stocks tend to drift in a particular direction
> during the next 30-day period.
I'd like to run this hypothesis on historical data to... |
Testing a simple stock market trading hypothesis? |
In John Hull's *[Option's, Futures and Other Derivatives][1]*, it states in the chapter "Properties of Stock Options" that from put-call parity, it follows for American options that
$$
S_0 - K \le C - P \le S_0 - K e^{-rT}
$$
where $C$ and $P$ are the American call and put prices.
In the book, the derivation is ... |
I'm using KPSS Method to check if the series is stationary, but I would also like to use another test to confirm if the series is stationary or not, what method coudl I use?
Thanks |
How to check if a timeseries is stationary? |
I'm using KPSS Method to check if the series is stationary, but I would also like to use another test to confirm if the series is stationary or not, what method coudl I use? |
I'm using KPSS Method to check if the series is stationary, but I would also like to use another test to confirm if the series is stationary or not, what method coudl I use?
![enter image description here][1]
[1]: https://i.stack.imgur.com/jDPkm.png |
I'll teach an introductory course on mathematical finance in the near future. The course is intended to entertain and broaden some *well-prepared* advanced undergrad mathematics majors, some physics majors may attend as well. It need not cater the sort of poorly prepared students one typically finds in quantitate fin... |
Any recommendations for textbooks for an undergraduate course in mathematical finance? |
I'll teach an introductory course on mathematical finance in the near future. The course is intended to entertain and broaden some *well-prepared* advanced undergrad mathematics majors, some physics majors may attend as well. It need not cater the sort of poorly prepared students one typically finds in quantitate fin... |
I'll teach an introductory course on mathematical finance in the near future. The course is intended to entertain and broaden some *well-prepared* advanced undergrad mathematics majors, some physics majors may attend as well. It need not cater the sort of poorly prepared students one typically finds in quantitate fin... |
Yet another alternative are wavelet based tests. With comparable size, they often have higher power, especially for *very near unit root* alternatives. An example is [here][1] (free pre-print versions of this paper are available, [too][2]).
[1]: http://journals.cambridge.org/action/displayAbstract?fromPage=online... |
How GARCH/ARCH models are useful to check the volatility? |
I subscribe to various blogs and twitter feeds which I use to parse for keywords. Many times these subscriptions do not include topics which are of the primary concern.
Are there multiplex channels to subscribe to which aggregate over a very diverse range of financial topics? Is the only solution for each person to ... |
single channel for multiple feeds of news? |
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 application to get data for every asset type.
Exmaple of ES op... |
My objective is to show the distribution of a portfolio's expected utilities via random sampling.
The utility function has two random components. The first component is an expected return vector which is shocked by a random Gaussian variable ($ER$). The shock shifts the location parameter of the return distribution.... |
Could anyone explain the difference between STOXX and STOXXE? Which is the right index for benchmarking European stocks?
Thanks. |
What is the difference between STOXX and STOXXE? |
By *stock chart application* you mean you are making a charting tool for traders? Typically there is a choice to plot trade, bid or ask, and almost all the time they will want to look at trade prices. If a stock hasn't been trading then the flatline (or gap) on the chart communicates that.
|
Which algorithm should I look into to kick off my research in algorithmic trading? |
Your question if ***very*** vague, which makes it almost off-topic.
I would suggest you to look into trend-following algorithms, as the most basic ones are very easy to understand; look for trading strategies involving [moving averages][1].
However, if you want to improve an algorithm within 8 months, alone, I th... |
If a thinly traded stock has not traded for last few days (vol=0), is it better to use last known close price (i.e. roll over last non zero close price) or use last know bid/ask/valuation price?
This is for stock chart application. |
I see that term tossed around a lot, in articles relating to HFT, and ultra high frequency data.
It says at higher frequencies, smaller intervals, microstructure noise is very dominant.
What is this microstructure noise that they refer to? |
Your question is ***very*** vague, which makes it almost off-topic.
I would suggest you to look into trend-following algorithms, as the most basic ones are very easy to understand; look for trading strategies involving [moving averages][1].
However, if you want to improve an algorithm within 8 months, alone, I th... |
How sensitive are vertical spreads to changes in volatility / implied volatility in the money, at the money, and out of the money?
I'm thinking for 1 point spreads this would be very small / neutral for ITM, ATM, and OTM, but I'm not sure.
For larger spreads, it would become larger / less neutral, but follow... |
How sensitive are vertical spreads to changes in volatility / implied volatility in the money, at the money, and out of the money?
I'm thinking for 1 point spreads this would be very small / neutral for ITM, ATM, and OTM, but I'm not sure.
For larger spreads, it would become larger / less neutral, but follow... |
[Ledoit and Wolf shrinkage methods ("Honey I shrunk the sample covariance matrix")][1]
[Ceria and Stubbs - Robust optimization literature (2006)][2]
[Stock & Watson (2002ab) - papers on large N small P estimation][3]
[Rockafellar & Uryasev (2000) - "Optimization of CVaR and coherent risk measures"][4]
[Sor... |
[Community wiki]
I'm interested to know what are the critical reference texts you rely on for portfolio or risk management? I mean those texts that you come back to because they are chock full of insight and know-how. For example:
Bernd Scherer - Portfolio Construction and Risk Budgeting (2005)
Grinold and Kah... |
What books should any quantitative portfolio manager or risk manager have as reference? |
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