Quantitative Finance Weekly Newsletter - Thursday, January 28, 2016

Quantitative Finance newsletter

Top new questions this week: R Backtesters: Quantstrat vs SIT I am learning R, and want to start using a backtester. I have spent about a day reading all I can about R backtesters, and it seems there are 2 main contenders: quantstrat, which uses the packages ... r quant-trading-strategies backtesting   asked by Adam Crypt 6 votes answered by dysonance 2 votes What is the heat-map method of calculating VaR? I'm familiar with the historical full revaluation, VcV, and Delta-gamma methods, but a client keeps talking about a heat-map method and I'm not sure what he's talking about. Any ideas? var   asked by Brian Wilson 3 votes answered by Nicholas 0 votes Question in "Computational Methods in Finance" by Ali Hirsa - Chapter 2: Derivatives Pricing via Transform Techniques" Reference: "Computational Methods in Finance" by Ali Hirsa - Chapter 2: Derivatives Pricing via Transform Techniques" - Page 37* Background: The author prices call option using the Fourier Transform. ... option-pricing derivatives   asked by Liwei Zhang 3 votes answered by ocstl 2 votes What's the name of this nearly-brownian stochastic process? 1) Does the following algorithm (my question is math, not programming-related): n = 1000000 dt = 0.01 B = zeros(n) # [0, 0, 0, ..., 0] for i in range(1,n): B[i] = B[i-1] + random.normal(0, ... stochastic-processes brownian-motion   asked by Basj 3 votes answered by Richard 4 votes Downloading IB futures data and then making a datapump to another program I never have programmed before in my life but I wouldn't mind learning if I knew what i needed to do in order to solve my problem. I use neuroshell for day trading and use it extensively for trading ... programming automated-trading interactive-brokers   asked by user19145 3 votes Mathematical definitioln of Potential Future Exposure I have come across a risk measure called "Potential Future Exposure" and I have not really understood the meaning of it. Knowing that this has to do with counterparty credit risk, I read different ... risk credit-risk counterparty-risk finance-mathematics exposure   asked by Elekko 3 votes answered by Alex C 1 vote Integrated volatility Can someone give me an explanation of what integrated volatility is (and possibly why it is preferred) versus a standard measure of volatility eg variance? volatility   asked by azuric 2 votes answered by muffin1974 2 votes Greatest hits from previous weeks: Mapping symbols between tickers, Reuters RICs and Bloomberg tickers Is there any known solution (preferably open source) to map between ticker symbols, Reuters and Bloomberg symbols. For example: Ticker: AAPL Reuters: RSF.ANY.AAPL.OQ Bloomberg: AAPL US Equity ... market-data tick-data bloomberg reuters   asked by Datageek 18 votes answered by unixhacker2010 12 votes Usage of NoSQL storage in Finance I am wondering if anyone has used NoSQL (mongodb, cassandra, etc.) to store and analyze data. I tried searching the web but was not able to see if the financial firms had gotten in to using nosql ... data database   asked by user697697 22 votes answered by Dirk Eddelbuettel 21 votes Can you answer these? Mean Variance spanning test Is there any r code for performing Mean Variance spanning test. This test is used to check if the return from K+N assets are significantly different from K benchmark assets return. Huberman and Kandel ... portfolio-management econometrics portfolio-selection   asked by Sadhak 1 vote Estimating Daily Dynamics using Hourly Data This article gives a nice outline of how daily data can be used to estimate cointegration on a monthly horizon. http://papers.ssrn.com/sol3/papers.cfm?abstract_id=1404905 I'd like to use the same ... time-series high-frequency cointegration   asked by Bazman 1 vote Subclass Tracking Error I am currently doing a master program project regarding tracking errors. My assignment is to evaluate following question: How to find out the correlation structure of the passive (=second ... portfolio-management tactical-asset-allocation tracking-error   asked by tr_ad 2 votes

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