Questions related to quantifying risk and the allocation of assets and liabilities over time under conditions varying uncertainty--including questions on the use of the built-in financial functions of Mathematica.

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30 views

Interpolating function for data with five independent variables [on hold]

I have to optimize the risk reward of a financial structured product depending on several variables: the tenor (between 12 and 36 months), the type (american, european), the Knock In (KI) ...
3
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2answers
72 views

Use of Ito's lemma in ItosLemma.m (or any other method in Mathematica)

This is a follow-up question on this question: Use of Ito's lemma in ItoProcess My problem is to find some method how to use Ito's lemma in Mathematica. As an example: How can I apply Ito's ...
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1answer
74 views

InteractiveTradingChart and ChartElementFunction

I want plot a similar candlestick chart as on the picture below with blue down-candles and white up-candles with blue edges. With TrendStyle -> {White, Blue} I don't see shadows on up-candles ...
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1answer
83 views

Intra day data with TradingChart

I am trying to use TradingChart to display some intra day data (60 s. resolution). Is there a way to modify the time displayed when moving the mouse over the data. The default setting (see top left of ...
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0answers
43 views

FinancialData, comparing returns accounting for different holidays

At the moment I am trying out the FinancialData feature of mathematica. I am a bit struck with the problem of dropping returns for dates of a list of different stocks not being equal for all stocks ...
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1answer
70 views

How can I connect the Interactive Brokers TWS API to Mathematica using RLink for automated trading?

I do know there is documentation for the IB TWS Java API. However, instead of Java, I would like to establish a connection between Mathematica and the IBrokers API module using RLink as a 'proxy' to ...
5
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0answers
83 views

Forecasting problem with Geometric Brownian Motion in Wolfram Mathematica [closed]

I'm a full time undergraduate student from Peru, and I'm trying to use the Geometric Brownian Motion example used in the help section from Wolfram Mathematica in order to forecast future stock ...
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1answer
80 views

Financial data source change

So I am using the command FinancialData["name"] to get the live price for any given stock. The openings are very important in my studies that I am conducting and it ...
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2answers
60 views

Is there any way to pull interest rates, or an interest rate curve, with FinancialData[]?

Let's say I want to know the 5 year swap rate and the 10 year swap rate right now, is there a way to get this with FinancialData[]?
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1answer
52 views

How can I plot bollinger bands on financial time series? [closed]

I can't find any options for this in CandlestickChart[], but it's a pretty basic measure, is it not supported?
0
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2answers
82 views

Martingale pricing_Simulation random walk stock price

I need to make an example of a walk of a stock price.I have this data: and i need to resolve this equation: where "W" is a Wiener process [0,Δt]. I need to make a path of 157 steps(date of ...
0
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2answers
117 views

Simulation of LogNormal process for an asset pricing

I'm new to Mathematica programming, so forgive my rather unsophisticated question. I need to simulate 5000 "walks" of a process value (of a stock) that starts from its current value, at ...
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0answers
72 views

Create trading chart from Bloomberg historical data

I am using Mathematica 9 with the Finance Platform, and have pulled historical data for the Bloomberg Commodity Total Return Index using the following code. ...
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0answers
57 views

Investigating the correlation between this 2 set of data

The picture below shows the growth of the traffic and the total number of published articles on that website. Which functions can I use to investigate if there is a correlation between them? Both ...
1
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1answer
70 views

Traffic growth forecast: showing the change of linear regression

The following picture shows a changement in the trend of data. (The data used are available here). Is there any tool that can show this change of trend? Until now I managed to show even more ...
4
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1answer
85 views

How to use Epilog with Tradingchart

I am making a Tradingchart with data returned from Financialdata. I find I cannot add a line to the chart by giving the option ...
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0answers
72 views

How to Fit a Generalized Pareto Distribution to data in Mathematica

I'd like to know how to fit a Generalized Pareto distribution in Mathematica to implement the Peak Over Threshold method for tail estimation of operational risk losses. Does anybody have a toy example ...
3
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2answers
187 views

Time Zone Conversion

I use Mathematica to administer my share depots. The depots contain shares of many different time zones. I update the depot values several times a day. My problem is that Sidney, Australia, (it might ...
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0answers
56 views

Wrong Cashflow of Annuity with initial payment

If we use TimeValue to look at the PV of an Annuity with initial payment: The initial payment ...
4
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1answer
161 views

MovingMap maps to second level unexpectedly

I'm trying to build a financial indicator in mathematica. I import some historical data ...
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1answer
101 views

Missing elements using FinancialData

I have a list of stock symbols which I selected with FinancialData["Menbers"] that looks like the following list: ...
8
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0answers
89 views

FinancialData[], what does “members” include?

I am doing some manipulation of historical stock prices on the NYSE. I want to go through each stock. To find the number of entities on NYSE, one can use: ...
1
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1answer
122 views

How do you graph the confidence intervals that results from a GARCH over a time series?

Please, does someone know how to draw a confidence intervals (from the results of a GARCH (1,1)) in a way similar to these: *Asume an ARMA(1,1) fit the time series. Thank you very much
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0answers
122 views

How can I model the volatility, using a GARCH(1,1), of a time series of returns (and plot it) using Mathematica?

I know that if I use this code: tsm = TimeSeriesModelFit[ret, {"GARCH", {1, 1}}]; I can get the parameters using this: ...
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2answers
160 views

How do I remove the quotation marks from each element of a list containing dates that I have import from excel?

I've been stuck in this problem for 1 week. I just want to make a graph (Log-Return vs time (in year, month, day)). The code is: ...
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1answer
64 views

FRED api reports all data in given month with same date

When I use the FRED package to retrieve weekly data, all of the data points for a given month have the date as the last day of the month instead of the date for the week of the data. ...
2
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1answer
103 views

How do you get a country's GDP per capita in Euros?

Right now, I'm getting the data in U.S. Dollars and converting it to Euros like this: ...
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1answer
89 views

FinancialData Input

What does the function FinancialData require as input for natural gas: http://finance.yahoo.com/q?s=NGG15.NYM Is it easier to export the natural gas data to ...
2
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1answer
122 views

Finding maximum value with LinearProgramming command

So here is a HW problem I was assigned: *Thriftem Bank is in the process of devising a loan policy that involves a maximum of $12 million. The following table provides the pertinent data about ...
5
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0answers
295 views

How to download and combine S&P 500 stock prices

I want to download historical S&P 500 stock prices and combined them into one big file, having only one column of date referencing all stocks. Here is what I have do so far. ...
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1answer
103 views

Problem using Compiled Function within NProbability

I've built a very simple function to estimate the probability for a Long Straddle (derivative strategy) to be positive at expiration. ...
2
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1answer
121 views

Converting in various currencies

I was just playing around with Mathematica converting some currencies: ...
4
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0answers
89 views

How can I program my own financial indicator to be plotted in a TradingChart?

FinancialIndicator["ind",par1,par2,...], represents a financial indicator "ind" with parameters par1,par2, etc. All available financial indicators can be displayed with FinancialIndicator[]. Is it ...
7
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1answer
219 views

How to find the positive region of this function?

I'm new-ish to Mathematica and I'm using it to learn the basics of derivative trading (for fun not for trading!). I've defined a simple function to calculate the pay off of a trading on a call. I have ...
3
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1answer
197 views

Use of Ito's lemma in ItoProcess

In the documentation for the ItoProcess it says: Converting an ItoProcess to standard form automatically makes use of ...
1
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1answer
84 views

Limit the output of financial indicators list

Imagine I have a list of Forex data as below: ...
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1answer
458 views

Look up a non-US stock price

I need to get historical prices of certain non-US stocks (specifically, they are traded at Prague Stock Exchange, Czech Republic) but I am not able to find the proper "name" that Mathematica would ...
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2answers
50 views

Quick question about the FinancialBond function

If I want the fair price of a bond with coupon interval twice per year with interest rate $i$ p.a., I use "CouponInterval"->1/2. However, the InterestRate should be the effective, or nominal interest ...
2
votes
1answer
198 views

Plot A Function Of A Stochastic Process

I am trying to do something very simple in Mathematica 9. I want to play around with option pricing and for that I thought it best to use the new stochastic process functionality. So, first of all I ...
8
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3answers
500 views

Historical Exchange Rates via FinancialData

FinancialData["name"] and FinancialData["name", start] return respectively; the last known price, and the daily closing values ...
13
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1answer
3k views

How to request financial data from Yahoo's YQL and Quandl?

How can I download historical data from Yahoo ? Although Mathematica's FinancialData function uses Yahoo it could be useful to have more control on how to retrieve data from Yahoo's YQL. Edit ...
5
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2answers
414 views

Extracting financial indicator data from trading chart

How can the data of the directional movement index below be extracted from this chart? It seems to be embedded in some kind of dynamic module. ...
2
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1answer
207 views

What is an elegant way to aggregate two cash flows

When modeling a swap contract a common operation is to sum up two cash flows producing a resulting cashflow with netted amounts in the highest granularity of the two initial cash flows. What is a ...
6
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2answers
2k views

Optimization of a portfolio of stocks

I would like to use Mathematica to perform an optimization of a portfolio composed by 10 stocks. I did the first part to compute yields and expected yields, but I don't know how to finish the ...
5
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1answer
118 views

Why DateDifference returns machine number?

Is there any specific reason why DateDifference cannot give an exact number in this case? ...
4
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0answers
132 views

What is the signature for a callback function for FinancialIndicators?

I'd like to write my own indicators to use with functions like TradingChart. From the context, it's clear that one needs to write a function whose parameters ...
0
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0answers
162 views

Discrete distribution binomial set up

I hope one of you guys can help me out. I am trying to visualize a discrete distribution based on a binomial distribution and a mixed binomial distribution. In the first step I started to determine ...
0
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1answer
260 views

Using Log when working with a time-series

I have a time-series list of stockA, which I call bas. I have taken the natural log of bas by using ...
0
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0answers
191 views

How to define delayed coupon payment for FinancialBond?

When the coupon calculation end date falls on a holiday, it is customary to delay the coupon payment to the next working day. E.g. a bond may have a monthly coupon calculation period of 2013 Jul 18 to ...
2
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0answers
63 views

Is FinancialData for India available? [duplicate]

FinancialData["IndiaNSE", "Members"] // Shallow gives ...