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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3
votes
0answers
58 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
vote
1answer
62 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
votes
1answer
127 views

Determining FinancialData for Countries

How do I determine the FinancialData for Australia. For instance the one for USA follows as: FinancialData["NYSE", "Members"] ...
0
votes
2answers
45 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: ...
3
votes
2answers
83 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 ...
0
votes
1answer
80 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 ...
0
votes
1answer
101 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 ...
0
votes
0answers
45 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 ...
1
vote
1answer
85 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
votes
0answers
96 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 ...
0
votes
1answer
90 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 ...
1
vote
2answers
65 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
vote
1answer
53 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
votes
2answers
86 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 ...
1
vote
2answers
123 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
vote
0answers
92 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. ...
0
votes
0answers
59 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
vote
1answer
74 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 ...
6
votes
1answer
94 views

Why is CurrencyConvert so slow?

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4
votes
1answer
91 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 ...
0
votes
0answers
77 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 ...
5
votes
2answers
221 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 ...
1
vote
0answers
60 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
votes
1answer
163 views

MovingMap maps to second level unexpectedly

I'm trying to build a financial indicator in mathematica. I import some historical data ...
1
vote
1answer
109 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
votes
0answers
91 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
vote
1answer
130 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
2
votes
0answers
136 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: ...
1
vote
2answers
172 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: ...
1
vote
1answer
69 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
votes
1answer
107 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: ...
1
vote
1answer
90 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
votes
1answer
125 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 ...
4
votes
2answers
341 views

Should we invest in Apple?

Ticker[comp_String] := Interpreter["Company"][comp] /. Entity[_, x_] :> x ticks = Ticker /@ {"Apple", "Google"} {"NASDAQ:AAPL", "NASDAQ:GOOGL"} ...
5
votes
0answers
319 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. ...
1
vote
1answer
105 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
votes
1answer
123 views

Converting in various currencies

I was just playing around with Mathematica converting some currencies: ...
5
votes
0answers
109 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 ...
7
votes
1answer
225 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
votes
1answer
203 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
vote
1answer
85 views

Limit the output of financial indicators list

Imagine I have a list of Forex data as below: ...
1
vote
1answer
502 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 ...
1
vote
2answers
51 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
201 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
votes
3answers
554 views

Historical Exchange Rates via FinancialData

FinancialData["name"] and FinancialData["name", start] return respectively; the last known price, and the daily closing values ...
13
votes
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
votes
2answers
426 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
votes
1answer
210 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
votes
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
votes
1answer
119 views

Why DateDifference returns machine number?

Is there any specific reason why DateDifference cannot give an exact number in this case? ...