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
122 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A bank account has starting balance, which shall be completely withdrawn in n steps, such that the sum of benefits of withdrawals is maximum.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
38 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
74 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 ...
2
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1answer
975 views

List all financial Assets data conditionally

I would like to get all the Financial Data that Mathematica respecting those constraints : The assets for which there are at least 20 years of daily price quotations. Or that have s price for each ...
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", ...
5
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2answers
331 views

Getting FTSE indices in Mathematica

I'm not sure if this is the best StackExchange to post this question, but I figured it had more to do with the specifics of Mathematica than Quantitative Analysis so I've posted it here. Basically, I ...
6
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1answer
573 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. ...
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, ...
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: ...
3
votes
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 ...
14
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3answers
912 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 ...
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 ...
19
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6answers
1k views

Historical Exchange Rates via FinancialData

FinancialData["name"] and FinancialData["name", start] return respectively; the last known price, and the daily closing values ...
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] ...
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: ...
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. ...
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 ...
2
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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
votes
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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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
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
votes
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....
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 ...
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 ...
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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?
2
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2answers
150 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 ...
3
votes
1answer
328 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 ...
3
votes
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 ...
5
votes
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 ...
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, ...
5
votes
0answers
171 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 ...
6
votes
1answer
175 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 ...
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"] ...
4
votes
2answers
373 views

Should we invest in Apple?

Ticker[comp_String] := Interpreter["Company"][comp] /. Entity[_, x_] :> x ticks = Ticker /@ {"Apple", "Google"} {"NASDAQ:AAPL", "NASDAQ:GOOGL"} ...
0
votes
2answers
332 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
votes
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 ...
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 ...
1
vote
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
votes
1answer
282 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 Ito'...
1
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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 ...