Most Popular
1500 questions
8
votes
2 answers
time series management system
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…
hroptatyr
- 995
- 8
- 17
8
votes
4 answers
Which database to choose for storing and aggregating finance data?
I'm planing to store stock market data in realtime and aggregate ticks for draw volume based cluster graph. Something like this:
Every tick (or second) data will be grouped by period (1,5,10 minutes; 1,4,24 hours), type (buy, sell) and price;…
Kroid
- 181
- 1
- 1
- 3
8
votes
2 answers
What happened to the French franc value in August 1969?
I stumbled onto a bit of a mystery. A strange financial blip in a historical database crossed my path and I was wondering if anyone could explain its meaning/cause for me? If this is not the right forum please advise.
The database blip is here. I…
O.M.Y.
- 183
- 1
- 5
8
votes
1 answer
How can I simulate portfolio risk (diversification) with a 'Wheel of Fortune' like investment options/returns?
Say I have 6 possible investment options with the following probability of success and the corresponding returns:
| Investment | Probability of Success | Return |
| I1 | 0.5 | 2x |
| I2 | 0.3 …
PhD
- 185
- 5
8
votes
1 answer
High frequency trading and trading costs
What kind of deals do high frequency traders have with brokers or exchanges regarding commissions for stock trading? For an individual, it is nowadays possible to get to as low as 10 basis points per a round-trip trade. However, if one is buying and…
ktaks7
- 81
- 2
8
votes
7 answers
Proof that no trading system always wins
I am pondering on the existence/impossibility of a trading system (or algorithm) that ALWAYS ends up winning money, no matter how the price of a futures moves. In a context where one can go long or short at will to make a profit.
If the trader has…
Manuel Lafond
- 189
- 4
8
votes
1 answer
Which is a more appropriate choice of risk measurement in a utility function, CVaR or VaR?
What is the consensus on which risk measure to use in measuring portfolio risk? I am researching what is the best risk measure to use in a portfolio construction process for a long/short option-free equity portfolio.
Since the late '90s thru today,…
Ram Ahluwalia
- 13,492
- 3
- 61
- 96
8
votes
2 answers
Data exported from Capital IQ, FactSet, Bloomberg, Compustat
I'm looking for reliable data on US equity fundamentals, but not sure which vendor provides these features:
Unlimited data export
Coverage of disbanded entities (bankruptcies, M&A)
Financial statements, including values initially stated by the…
Anton Tarasenko
- 723
- 8
- 11
8
votes
1 answer
Should cointegration be tested using close or adjusted close prices?
When doing cointegration tests should I use the adjusted close price or just close price for the time series?
The dividend of each stock is on different dates and can cause jumps in the data.
Freewind
- 811
- 2
- 8
- 12
8
votes
2 answers
Are there financial instruments that make a bet on traded volume instead of price or its derivatives?
For most financial instruments we can go long or short and make a bet on the price. In the case of options we can bet on derivatives of price and other factors (e.g., interest rates).
Is there an instrument or a strategy that can benefit from…
icequations
- 121
- 5
8
votes
1 answer
What procedure do leveraged ETFs use to limit losses?
I've skimmed through more than one ETF prospectus trying to find the procedure for clamping losses at the limits of an ETF, and so far, no help. Has anyone found a description of the "clamping" procedure?
For example, if the S&P drops 35% in one…
bill_080
- 3,864
- 1
- 19
- 20
8
votes
1 answer
What is the forward rate for a Black-Karasinski interest rate model?
I was wondering if anyone could help me with the instantaneous forward rate equation for a Black-Karasinski interest rate model?
I was also after the Black-Karasinski Bond Option Pricing Formula.
Ian
- 81
- 2
8
votes
4 answers
How to compute momentum from equity time series?
Let's say I have time series of stock prices for many stocks. What's the best way to sort the stocks based on which have been going up/stayed the same relative to others? Can this be done with a weighted average, putting more weight on the most…
user2664
8
votes
2 answers
How can one determine approximately what percentage of options trades are buyer-initiated vs. seller-initiated?
How can one determine approximately what percentage of options trades are buyer-initiated vs. seller-initiated? What measures of order flow are available specifically for options, preferably for individual contracts covering specific strikes and…
user322
8
votes
1 answer
How to perform basic integrations with the Ito integral?
From the text book Quantitative Finance for Physicists: An Introduction (Academic Press Advanced Finance) I have this excercise:
Prove…
Philip
- 183
- 5