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
83 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 ...
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0answers
89 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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441 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 ...
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296 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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0answers
89 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 ...
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132 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
204 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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354 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 ...
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0answers
73 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. ...
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57 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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125 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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0answers
43 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 ...
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57 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 ...
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72 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 ...
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162 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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192 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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150 views

Binomial Distribution (binomial model inspired by Merton)

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, whereas their asset values are driven by a common economic ...