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I am doing research on analyst recommendations on Finnish stock market, using Can Investors Profit from the Prophets? Security Analyst Recommendations and Stock Returns by Barber etc. as reference paper....
Asked on 11/26/2020 by Mr Sandwich
0 answerFor a CIR process, which has SDE$$dr_t = alpha (mu - r_t) dt + sigma sqrt{r_t} dW_t$$how can I derive the increments over the discrete...
Asked on 11/19/2020 by John Smith
1 answerEmpirical studies have shown that market impact can be linked to the following parameters: $$ mathcal{I}(Q) = kappa . sigma ...
Asked on 11/12/2020 by mbz0
1 answerI am writing an academic paper on calibration of inflation vanilla options. I need to generate examples for the paper. Is there anywhere I can get example data for the...
Asked on 10/21/2020 by Kiann
1 answerMy model exports a vector that have for each day b-buy s-sell or h- holdit's look like this:sig [1] b b s s b b b s...
Asked on 10/17/2020 by alonch7
3 answerIf I want to calculate the Covariance between two stocks but there are missing days in both, how can I deal with missing data? I want to use Pairwise deletion...
Asked on 10/14/2020 by johnCena12345678
1 answerReading Algorithmic Trading: Winning Strategies and Their Rationale, Ernie Chan and there is a short section about the Johanson test for cointegration where it is mentioned that...
Asked on 10/09/2020 by lampShadesDrifter
1 answerSummary: long-story cut short, the question is asking for what types of functions $f(.)$, the Cameron-Martin-Girsanov theorem can be used as follows: $$ mathbb{E}^{mathbb{P}^2}[f(W_t)]=mathbb{E}^{mathbb{P}^1}left[frac{dmathbb{P}^2}{dmathbb{P}^1}f(W_t)right] $$ Long story: the...
Asked on 09/27/2020 by Jan Stuller
1 answerWhen a option's market maker receives a quote from a broker, usually the underlying spot prices is locked with a reference. Let's suppose the following example: Broker: "Buy 10k call...
Asked on 09/18/2020 by DUM03
1 answerI am trying to calculate the FX carry on let's say USDILS for a task. I was given the 3M Forward Implied Yield (ILSI3M CMPN Curncy on Bloomberg) and I...
Asked on 09/12/2020 by ZGZ
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