Questions on the financial functions of Mathematica.

learn more… | top users | synonyms

32
votes
6answers
5k views

Learning Finance with Mathematica

Background My math background is strong by CS standards, probably normal by mathematica standards. (i.e. familiarity with real analysis, linear algebra, managed to read the proof of the prime number ...
14
votes
3answers
789 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 ...
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 ...
9
votes
2answers
3k views

Problem with Financial Data

I'm following http://reference.wolfram.com/mathematica/ref/FinancialData.html I get the following: In[6]:= DateListLogPlot[FinancialData["^DJI", All]] During ...
9
votes
1answer
230 views

How can I convert the dates returned by FinancialData into decimal representation?

I'm trying to run a regression using Fit on the output of FinancialData["SPY", "Jan. 1, 2011"]. However, the dates returned ...
9
votes
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 ...
8
votes
3answers
466 views

Historical Exchange Rates via FinancialData

FinancialData["name"] and FinancialData["name", start] return respectively; the last known price, and the daily closing values ...
8
votes
2answers
336 views

How do I define the “Coupon” within the function FinancialBond with a time-varying coupon

Is it possible using FinancialBond function to calculate the yield of a bond paying a gradual coupon ? An example : A bond with maturity of 7 years pays ...
7
votes
1answer
215 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 ...
7
votes
0answers
84 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: ...
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 ...
6
votes
3answers
499 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 ...
6
votes
1answer
237 views

Under what conditions does FinancialData return a ::notent message?

I tried retrieving FinancialData for a few companies but when I tried doing it for NTDOY, I couldn't. As of 25/12/2012, querying ...
6
votes
0answers
440 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 ...
5
votes
2answers
410 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. ...
5
votes
1answer
118 views

Why DateDifference returns machine number?

Is there any specific reason why DateDifference cannot give an exact number in this case? ...
5
votes
1answer
566 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: ...
5
votes
1answer
132 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 ...
5
votes
0answers
73 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 ...
5
votes
0answers
279 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. ...
4
votes
1answer
158 views

MovingMap maps to second level unexpectedly

I'm trying to build a financial indicator in mathematica. I import some historical data ...
4
votes
1answer
77 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 ...
4
votes
0answers
85 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 ...
4
votes
0answers
203 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 ...
3
votes
2answers
186 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
1answer
60 views

RandomVariate does not evaluate a Hyperbolic Distribution

Any Idea why I can't get a result from this expression: ...
3
votes
0answers
139 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 ...
3
votes
0answers
128 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 ...
2
votes
2answers
1k 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 ...
2
votes
1answer
638 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 ...
2
votes
1answer
500 views

Can I customize a TradingChart?

What I would like to do is generate a chart similar to the TradingChart but to have two lines on it instead of the candlestick. The lines I want to plot will look something like this; And what I ...
2
votes
1answer
195 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 ...
2
votes
1answer
99 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: ...
2
votes
1answer
110 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 ...
2
votes
1answer
114 views

Converting in various currencies

I was just playing around with Mathematica converting some currencies: ...
2
votes
1answer
206 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 ...
2
votes
0answers
63 views

Is FinancialData for India available? [duplicate]

FinancialData["IndiaNSE", "Members"] // Shallow gives ...
2
votes
0answers
348 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 ...
1
vote
2answers
127 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 ...
1
vote
1answer
48 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?
1
vote
2answers
49 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 ...
1
vote
1answer
99 views

Missing elements using FinancialData

I have a list of stock symbols which I selected with FinancialData["Menbers"] that looks like the following list: ...
1
vote
2answers
153 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
101 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. ...
1
vote
1answer
409 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
1answer
208 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 ...
1
vote
2answers
57 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
66 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 ...
1
vote
1answer
62 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. ...
1
vote
1answer
123 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 ...