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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1answer
123 views

Which data tabulation concept is best suited for discrete dynamic programming problems (e.g. for optimum series of account withdrawals)?

A bank account has starting balance, which shall be completely withdrawn in n steps, such that the sum of benefits of withdrawals is maximum. Remaining balance yield interest between steps such that ...
2
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0answers
42 views

Why FinancialDerivative fails for the Spread case?

According to the documentation center for FinancialDerivative in version 10.4, when there are multi assets, we still may use ...
3
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1answer
75 views

Obtaining Historical Financial Data

I'm trying to get the historical P/E ratio for a number of securities. WolframAlpha makes this seem easy: However, when I try to obtain a subset (or even just a single value) of this information in ...
1
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1answer
79 views

How to speed up this code with NMaximize?

I want to maximize the expected exponential growth rate of the portfolio, which contains 3 stocks. I get the adjusted stock price for General Electric, Du Pont, and IBM. ...
3
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0answers
63 views

CVaR Portfolio Optimization

I am looking for help on CVaR Portfolio Optimization based on the article . I have to solve the following problem: CVaR cannot be negative by design. Therefore, (a)+ is defined as max(a, 0). Withe ...
3
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2answers
79 views

How can I find the Quandl codes for metals?

Probably not the right site to ask this, but how can I find out the Quandl codes for different commodities? For example, gold against USD? Tried "CURRFX/XAUUSD", ...
3
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1answer
91 views

Theoretical value of a financial option

I am using the following function to get option pricing but it does not give me the right answer ($10.50). Where is my problem: ...
6
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3answers
245 views

Creating a custom distribution with specified skew and kurtosis

Let's say I want to create a simulated sample of returns for a given investing/trading strategy. I know that my strategy is profitable on 64% of trades, that the ratio of mean win / mean loss is 0.72, ...
6
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4answers
596 views

Paying off an installment

How do I determine the weekly installment I have to pay, if my loan is, let's say, loan=5000, with interest rate of 2% every ...
0
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1answer
97 views

getting stock price from financial data

I would like to print only the stock price from below input , i have been trying since a couple of hours with no luck..this is what I did ...
2
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1answer
80 views

Can not Solve FinancialDerivative for volatility

Although Solve can solve FinancialBond for an input parameter (e.g. par) given the price of a bond: ...
3
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1answer
137 views

I want to compute the derivative of Black and Scholes option

Good evening to everybody, my question is about computing the derivative of a Black and Scholes option and to draw it. My code is ...
7
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0answers
91 views

Mathematica and Wolfram Alpha - Long data series [duplicate]

Let's say I want a long series of data with the Mexican peso / US dollar exchange rate. The old code I used back in the day was FinancialData["USD/MXN", All] ...
3
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2answers
112 views

Plotting a DateListPlot and a CandleStickChart together

I'm trying to plot a DateListPlot and a CandleStickChart together. Initially I was trying to add a FinancialIndicator by spelunking TradingChart, but it's quite complex, I think I could manage to do ...
3
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1answer
114 views

Why is TimeSeriesForecast linear?

When I use FinancialData with TimeSeriesForecast, the resulting graph is always linear and thus not very accurate. ...
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0answers
42 views

How to find euro zone equivalent of treasury data in U.S. using FinancialData?

For example I use FinancialData["^TYX", "Price", {{2004}, {2014}, "Week"}]; to get data for U.S. treasury data, can I do the same for eurozone yield curve? I know I ...
2
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2answers
49 views

Partition a list into TradingChartformat

I want to make a stock chart by using TradingChart with my own data. But, the imported data is in the format ...
4
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2answers
173 views

Initializing FinancialData indices … never finishes

Bug introduced in 10.3.0 and fixed in 10.3.1 Retrieving data using FinancialData became more unreliable in the last couple of months, but simply retrying was ...
4
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1answer
149 views

Finding Distribution based on quantile data

I am trying to determine an approximate distribution based on quantile data. I have the following information regarding Profit/Loss from an investing strategy backtest, and I want to use the data to ...
7
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1answer
214 views

Methods Available for Derivative Pricing in Mathematica?

I am using Mathematica to price options (built in functions, no need to reinvent the wheel, right?). In the documentation, the Binomial method is used as an example of specifying a non-standard method....
2
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1answer
254 views

Can Mathematica 10 do elliott wave calculations?

Seems like there are quite a few fibonacci / Golden Ratio type functions but nothing in the doc's or Financial implementations ...
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0answers
52 views

Autocorrelation in Tail Events

I have a single time series of financial data (stock index returns) and would like to study the autocorrelation among (log-)returns that are classified as "extreme", for example via exceedance of a ...
1
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0answers
46 views

Problem with `NMinimize` [closed]

I wrote a code inspired by Rod's answer to this question. It is supposed to find the minimum variance portfolio of stocks and allows for arbitrary constraints on the weights of each stock: ...
-1
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0answers
59 views

Relative Volatility Index in Mathematica [closed]

How does Mathematica calculate Relative Volatility Index?
3
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0answers
79 views

Possible bug in fetching price index data?

I seem only able to fetch price index data for the U.S. For example, the following fails (Mathematica 10.2): ...
1
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1answer
87 views

Comparing stock indices using TradingChart [closed]

Below I show a TradingChart specific to the SP500 index for a one month period. How do I produce a similar plot where three other indices (ASX200, Shanghai Comp, ...
7
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1answer
166 views

Determining FinancialData for Countries

How do I determine the FinancialData for Australia. For instance the one for USA follows as: FinancialData["NYSE", "Members"] ...
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2answers
334 views

“Part specification is longer than depth” warning in Position function [duplicate]

I'm working on a project which analyzes financial data. I download the price and dividend information for the SPY ETF which tracks the S&P 500: ...
4
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2answers
170 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
108 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 ...
3
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1answer
143 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 ...
1
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1answer
214 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
212 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 prices,...
0
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1answer
198 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 ...
2
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2answers
100 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[]?
1
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1answer
77 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
127 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 ...
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2answers
170 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 ...
1
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0answers
156 views

Create trading chart from Bloomberg historical data [closed]

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. ...
1
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1answer
106 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 ...
1
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1answer
93 views

Defining a Function

I've been reading about functions in Mathematica and playing with this for hours, but I'm clearly missing something. The following code correctly calculates "fail", the number of failed scenarios. I ...
6
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1answer
101 views

Why is CurrencyConvert so slow?

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4
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1answer
147 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 <...
5
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2answers
264 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 ...
4
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0answers
91 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
194 views

MovingMap maps to second level unexpectedly

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

Missing elements using FinancialData

I have a list of stock symbols which I selected with FinancialData["Menbers"] that looks like the following list: ...
3
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3answers
330 views

Median household income for each county in Maryland

I found that Wolfram|Alpha knows the median household income for every county in the US. I wanted to get a list of all counties in Maryland, and the median income in each county. The only way I could ...
15
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1answer
211 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
208 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