Questions on the financial functions of Mathematica.

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1answer
58 views

Returns vs. Volume [on hold]

Why do the "Return" and "Volume" outputs of FinancialData differ? Consider the following ...
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0answers
42 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 ...
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1answer
52 views

Limit the output of financial indicators list

Imagine I have a list of Forex data as below: ...
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1answer
127 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
36 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 ...
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1answer
75 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 ...
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2answers
141 views

Historical Exchange Rates via FinancialData

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

How to request financial data from Yahoo's YQL?

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.
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2answers
253 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. ...
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1answer
55 views

RandomVariate does not evaluate a Hyperbolic Distribution

Any Idea why I can't get a result from this expression: ...
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1answer
180 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 ...
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2answers
903 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 ...
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1answer
107 views

Why DateDifference returns machine number?

Is there any specific reason why DateDifference cannot give an exact number in this case? ...
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0answers
102 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 ...
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0answers
124 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 ...
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1answer
181 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 ...
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0answers
111 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 ...
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0answers
61 views

Is FinancialData for India available? [duplicate]

FinancialData["IndiaNSE", "Members"] // Shallow gives ...
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0answers
98 views

Binomial Distribution (binomial model inspired by Merton)

Binomial Distribution (binomial model inspired by Merton) Hi I want to do the following and I hope that anyone of you can help me out. In short, I have a portfolio consisting of 10 companies, ...
9
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1answer
878 views

Making a Stock Options Database in Mathematica

I am trying to use Mathematica to create a stock options database of sorts. That is I wish to write a function that imports the option chain of a given stock. Unfortunately Wolfram has yet to put ...
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2answers
103 views

In FinancialData what is the difference between FractionalChange and Change?

In FinancialData there are two similarly named properties one can request for a given stock symbol: Change and ...
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3answers
382 views

Share experiences, preferably the surprising ones, with using ItoProcess

Can people please share their experiences, preferably the surprising ones, with using ItoProcess? I am a big fan of ItoProcess and have already used it for several finance-related tasks, though I ...
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1answer
469 views

ItoProcess function

While looking in the help manual of Mathematica concerning the ItoProcess function I found the following: ItoProcess[{a,b,c},x,t]: represents an Ito Process y(t)=c(t,x(t)), where ...
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1answer
102 views

Counting Stochastic Processes and displaying relative value

Counting Stochastic Processes and displaying relative value I have two watermarks and multiple stochastic processes given. I want both to display and count the stochastic processes which are below ...
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1answer
209 views

Plotting the simulation of Brownian Motions with multiple thresholds

I have the following problem: I have a watermark in this model where not only the mean of all stochastic processes is calculated, but also the mean of those processes which remain beyond a given ...
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1answer
105 views

Displaying Values of Fuction at end of Period by Grid

My intention is to place the values of two function into a small box within my chart. To be more precise I have two vectors. A meanvector which shows the average value of all simulated stochastic ...
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1answer
117 views

Stopping- threshold and stopping- time of stochastic processes.

Rod Lm helped me to generate the following code, which I want to extend a little bit. So my intention is to use the threshold (the green line) as boundary in the following way: as soon as the process ...
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1answer
191 views

Brownian Motion with stopping threshold

I just want to generate one stochastic process, whereas I want to be able to manipulate the start value and the volatility. Furthermore, the process should stop when it reaches 5 However, as soon as ...
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1answer
405 views

Plot two functions within manipulate

I just want to plot all stochastic processes and their average process. The original code without the average is: ...
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1answer
182 views

Calculating mean of multiple stochastic processes and setting a lower threshold

Thanks to “Rod Lm” I got some very nice input for the following problem. My intention is to simulate within a Manipulate function a given number of possible stock ...
2
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0answers
251 views

Forecasting future Stock Prices II

I intend to do the following: I want to forecast future stock price under the following assumptions: The stock price is governed by the stochastic differential equation: dS = μSdt + σSdWt whereas ...
2
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2answers
591 views

Forecast Future Stock Prices - Brownian Motion - Again

excuse me, I think I have here a technical problem with Mathematica yesterday I posted the question with the title: Forecast Future Stock Prices - Brownian Motion I am still not very experienced but ...
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1answer
631 views

financial data behind Wolfram|Alpha and Finance Platform

I need to price 23,000 securities from 1999 to 2007, and they are surprisingly hard to find on subscription-based services, like Bloomberg LP, ThomsonReuters or S&P CapitalIQ offerings. Probably ...
2
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1answer
346 views

Can I customize a TradingChart?

What I would like to do is generate a chart similar to the TradingChart but to have two lines on it instead of the candlestick. The lines I want to plot will look something like this; And what I ...
6
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1answer
206 views

Under what conditions does FinancialData return a ::notent message?

I tried retrieving FinancialData for a few companies but when I tried doing it for NTDOY, I couldn't. As of 25/12/2012, querying ...
5
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1answer
116 views

How to retrieve the remaining cashflows from a FinancialBond object

I would like to get the cash flows and dates for the remaining coupons and principal repayment for a FinancialBond object. These must be calculated internally by ...
4
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0answers
185 views

FinancialData property value at a given date

I was trying to get the volatility value of a specific equity on a given day. Based on the Mathematica Help, the syntax is ...
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1answer
164 views

how to get modify the following correlation matrix with a specific list of financial prices?

The following takes the last 5 members of the Dow Jones index and plots the correlation matrix of the last 5 years of daily prices: ...
9
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2answers
2k views

Problem with Financial Data

I'm following http://reference.wolfram.com/mathematica/ref/FinancialData.html I get the following: In[6]:= DateListLogPlot[FinancialData["^DJI", All]] During ...
28
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6answers
4k views

Learning Finance with Mathematica

Background My math background is strong by CS standards, probably normal by mathematica standards. (i.e. familiarity with real analysis, linear algebra, managed to read the proof of the prime number ...
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1answer
194 views

How can I convert the dates returned by FinancialData into decimal representation?

I'm trying to run a regression using Fit on the output of FinancialData["SPY", "Jan. 1, 2011"]. However, the dates returned ...
6
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0answers
396 views

Increasing recursion speed in Hull-White trinomial tree calculation

First timer here and have been finding these boards very useful in learning Mathematica. I'm trying to implement a numerical procedure for the Hull-White trinomial tree in Mathematica. Despite using ...
14
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3answers
675 views

Mathematica usage (success stories) for financial back-ends

I've been working for about 5 years in Java, developing financial back-offices (web-services, business logic, report generation etc.). I think Mathematica is very suitable for such calculations and ...
8
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2answers
318 views

How do I define the “Coupon” within the function FinancialBond with a time-varying coupon

Is it possible using FinancialBond function to calculate the yield of a bond paying a gradual coupon ? An example : A bond with maturity of 7 years pays ...