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
1answer
115 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 ...
18
votes
6answers
832 views

Historical Exchange Rates via FinancialData

FinancialData["name"] and FinancialData["name", start] return respectively; the last known price, and the daily closing values ...
7
votes
0answers
89 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
votes
1answer
162 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
votes
2answers
82 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
votes
1answer
100 views

Why is TimeSeriesForecast linear?

When I use FinancialData with TimeSeriesForecast, the resulting graph is always linear and thus not very accurate. ...
4
votes
2answers
149 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
votes
0answers
35 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
41 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
votes
0answers
86 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
115 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
158 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 ...
1
vote
1answer
89 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 ...
1
vote
1answer
200 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 ...
1
vote
0answers
45 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
vote
0answers
43 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
votes
0answers
51 views

Relative Volatility Index in Mathematica [closed]

How does Mathematica calculate Relative Volatility Index?
2
votes
2answers
145 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
275 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
134 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
241 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
votes
0answers
77 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
73 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
153 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
167 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
votes
1answer
154 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
355 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
146 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
127 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
vote
1answer
158 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
97 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
239 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
2answers
153 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 ...
0
votes
0answers
61 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 ...
5
votes
0answers
165 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
137 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
votes
2answers
84 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
69 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
102 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
0answers
128 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
vote
1answer
92 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 ...
14
votes
1answer
4k 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 ...
4
votes
1answer
122 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
97 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 ...
4
votes
1answer
188 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
145 views

Missing elements using FinancialData

I have a list of stock symbols which I selected with FinancialData["Menbers"] that looks like the following list: ...
2
votes
0answers
169 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
1answer
159 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
1
vote
2answers
220 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: ...