Questions on the financial functions of Mathematica.

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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
162 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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42 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 ...
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1answer
139 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
78 views

Missing elements using FinancialData

I have a list of stock symbols which I selected with FinancialData["Menbers"] that looks like the following list: ...
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72 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: ...
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1answer
67 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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83 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
113 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
58 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. ...
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1answer
76 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
82 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 ...
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1answer
79 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 ...
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222 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
93 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. ...
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1answer
100 views

Converting in various currencies

I was just playing around with Mathematica converting some currencies: ...
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0answers
73 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
200 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 ...
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1answer
111 views

How to get matching starting dates for different `FinancialData` properties? [closed]

Why do the "Return" and "Volume" outputs of FinancialData differ? Consider the following ...
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0answers
119 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
77 views

Limit the output of financial indicators list

Imagine I have a list of Forex data as below: ...
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1answer
276 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
47 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
174 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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3answers
355 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
2k 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 ...
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2answers
375 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
59 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
199 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
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 ...
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1answer
114 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
125 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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150 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
229 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
154 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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62 views

Is FinancialData for India available? [duplicate]

FinancialData["IndiaNSE", "Members"] // Shallow gives ...
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0answers
131 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, ...
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1answer
1k 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
120 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
461 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
586 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
112 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
313 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
111 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
160 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
212 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
537 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
203 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
317 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
916 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 ...