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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34
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 ...
18
votes
6answers
830 views

Historical Exchange Rates via FinancialData

FinancialData["name"] and FinancialData["name", start] return respectively; the last known price, and the daily closing values ...
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: ...
14
votes
3answers
834 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 ...
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 ...
10
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
259 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
2k 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
2answers
347 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
2answers
3k 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 ...
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 ...
7
votes
1answer
153 views

Determining FinancialData for Countries

How do I determine the FinancialData for Australia. For instance the one for USA follows as: FinancialData["NYSE", "Members"] ...
7
votes
1answer
289 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
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] ...
6
votes
3answers
561 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
250 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
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 ...
6
votes
1answer
97 views

Why is CurrencyConvert so slow?

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6
votes
0answers
415 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
votes
0answers
460 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
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 ...
5
votes
2answers
499 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
124 views

Why DateDifference returns machine number?

Is there any specific reason why DateDifference cannot give an exact number in this case? ...
5
votes
1answer
632 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
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 ...
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 ...
4
votes
1answer
761 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 ...
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 ...
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 ...
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"} ...
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 ...
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 ...
4
votes
1answer
121 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
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
0answers
142 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 ...
4
votes
0answers
212 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
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 ...
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
114 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 ...
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. ...
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 ...
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 ...
3
votes
1answer
147 views

Converting in various currencies

I was just playing around with Mathematica converting some currencies: ...
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): ...
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 ...
2
votes
1answer
590 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
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[]?
2
votes
1answer
129 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
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 ...