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How to compute the volume of an index from the volume of its constituents? 26 Aug 2013 | 05:04 pm
I'm trying to understand how to compute the daily volumes of the Dow Jones Industrial Average but I haven't found the proper formula yet. I thought it was the sum of the price*volume of each constitu...
How to test that a distribution has infinite mean? 26 Aug 2013 | 02:03 pm
I observe a sample from a distribution that I expect to be the hitting time $$\tau = \inf\{t>0| X(t)>a\}$$ where $X(t)$ is a Lévy process with $X(0)=0$ and $a$ is some constant. $X$ is not a Brownia...
Increasing Market Depth 26 Aug 2013 | 07:37 am
Are there any sure-fire ways to increase market-depth that people have experience with? Has much research been done/published on this subject?
Example code for "Gauge Invariance, Geometry and Arbitrage" paper 26 Aug 2013 | 02:21 am
In http://arxiv.org/abs/0908.3043, they describe an algorithm for computing arbitrage opportunites using a gauge connetion. Has anyone written a python program or C++ or C# program that shows how to ...
Black Scholes options pricing 25 Aug 2013 | 02:01 am
I am investigating how involved creating a very simple options trading platform will be(not for profit but for learning purposed). Can someone please explain the process flow of how Black Scholes opti...
Inferring the maximum drawdown depth for a different sample size 24 Aug 2013 | 06:02 pm
Let's say there's a trading system that has a 10 % chance of getting a maximum drawdown >= 50 % over a sample of 10000 trades. My question: Is there a way to infer from these numbers how big the maxi...
reinsurance pricing equivalent to option pricing 24 Aug 2013 | 12:37 am
Is it true that pricing a reinsurance contact is equivalent to pricing an option. Basically a reinsurance just cuts off the risk exposure of the insured institution to a threshold say $K$. So if we as...
Has there been success in applying Mandelbrot's ideas to financial markets? 23 Aug 2013 | 10:03 pm
More specifically, I am looking for recent research papers that have harnessed Mandelbrot's ideas too successfully predict asset prices. I have read many papers about wavelets, and I would like to rea...
Portfolio optimization with absolute position constraints 23 Aug 2013 | 08:35 pm
I'm looking to optimize a portfolio maximizing expected return for a particular risk budget, but with absolute constraints on the individual instrument positions. I've been experimenting with QP, but...
Definition of gearings, spreads and curve in RQuantLib's Floating Rate Bond function 23 Aug 2013 | 04:10 pm
Consider the RQuantLib package function FloatingRateBond(). This takes as inputs gearings and spreads, whose correct definition is unknown to me. Let I have a floating rate bond, e.g. the BACRED Flo...
