Questions tagged [finance]
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.
4
votes
1answer
110 views
Decomposition of a time series into sinusoids
I've noticed this interesting study on metatrader 4; see the picture below:
Where the financial timeseries is "decomposed" (deconvolved?) into a series of periodic sinusoidal functions. In the ...
3
votes
0answers
32 views
SlowStochastic definition changed in MM 11.3?
I'm a bit puzzled because it seems that with MM11.3 the output of SlowStochastic on trading data has changed regarding the previous MM10 version. I can't seem to find any documentation about this. ...
1
vote
0answers
33 views
Formula for “Return” in FinancialData
After I get the data for the return, divident, and price of a stock with e.g.
...
3
votes
2answers
54 views
EntityValue timeline
I try to use EntityValue to get the returns of a stock from January 1st 2019 to today. When I use
...
1
vote
1answer
46 views
How to change all stock prices to USD?
I want to create DateListPlot that compares prices of cellphone manufacturers' stocks over the last 13 years. Stocks include Nokia, Blackberry, Samsung, LG, Motorola, and Sony-Ericsson.
The problem is ...
0
votes
1answer
82 views
Graphing the compound interest formula correctly
To preface, I'm very, very new to Mathematica.
I've written a few functions to calculate compound dividends from stocks.
...
3
votes
1answer
44 views
Fast extraction of earliest NYSE listing date with FinancialData
I would like to know the fastest way to find the earliest listing date of a given symbol on the New York Stock Exchange - for example,
...
1
vote
1answer
88 views
Obtaining the data from a Renko chart
How can I obtain the data of the trace of a RenkoChart? Any code available?
Something like obtaining the range of dates or the middle point of the box.
3
votes
1answer
51 views
How to add a line to a CandlestickChart
I seek to add a horizontal line to a CandlestickChart.
This question is similar to this post
Here's the code:
...
3
votes
0answers
71 views
Can FinancialData really get the data of options?
The "Wolfram reference" says that the function "FinancialData" can get the data of stocks, options and other financial derivatives. But till now, I can't use it to get the data of options such as AAPL ...
2
votes
1answer
41 views
Why does Mathematica stay on an endless evaluating loop with Manipulate?
I have built Manipulate to see the impact of a change in time and volatility to the profit of an option strategy, bull spread.
To calculate the price of the option, I built the good old Black-Scholes:
...
0
votes
0answers
66 views
Is this a one-day value-at-risk?
Mathematica's help page for StableDistribution (ref/StableDistribution) gives a great way of calculating the value-at-risk using a few lines of code only:
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1
vote
0answers
118 views
List of Financial Index in Mathematica
I have to work with different Financial Futures Index in Mathematica using the function "InteractiveTradingChart". But, I can't able to find a complete list of all the available Financial Futures ...
1
vote
1answer
84 views
Work with real time interactive trading chart with a different time frame
I would to work with real time interactive trading chart, for example:
which is the daily chart of Dow Jones Industrial Index
But, the problem is that Mathematica "InteractiveTradingChart" function ...
3
votes
0answers
46 views
How to find the block number of a transaction in a Wolfram Blockchain?
For example, in block 1004 of the Wolfram Blockchain, I can get the 4th transaction's ID by using the following code:-
...
3
votes
2answers
139 views
How can I plot the price of Bitcoin since last week?
What is the best way to plot the price AND volume of Bitcoin (or any other currency) in USD for the past week/month/year? Is it a good idea to use CurrencyConvert? ...
2
votes
0answers
60 views
“EventLabels” option no longer working for TradingChart in 11.3
I used EventLabelsoption with TradingChart and CandlestickChart functions in Ma 11.1. I ...
3
votes
1answer
115 views
FindRoot with lists as input
I have to calculate different Internal Rates of Returns by using the FindRoot function.
...
5
votes
1answer
131 views
Current QuantLib implementation for Mac OS
Does anyone know of a current QuantLib implementation that can run on Mathematica version 10.3.0 (or higher) for Mac OS X x86 (64-bit)?
About QuantLib:
The QuantLib project is aimed at providing ...
0
votes
5answers
237 views
Find all the closest positive integer solutions within a bound for a simple linear equation
Suppose I have a linear equation/inequality like
$$xA+yB \leq C,$$
with $x,y \in \mathbb{Z}^{+}_{\neq 0}$ and $A,B,C \in \{x | x = 0.01\mu, \forall \mu \in \mathbb{Z}^+_{\neq0}\}$. I want to find ...
4
votes
2answers
158 views
MATLAB to Mathematica CorrelationMatrix implementation
This question focuses on translating/adapting custom defined MATLAB code for creating a CorrelationMatrix to Mathematica.
Software and hardware used:
Mathematica Version 10.3.0.0
Computer: Mac Pro (...
0
votes
1answer
45 views
What are “Inception” and “AverageSoFar” parameters in the FinancialDerivative[{“AsianGeometric” … function?
I cannot find parameterisation manual anywhere for the FinancialDerivative function. Kind thanks!
By experimentation, my guess is that ...
1
vote
0answers
138 views
What's the dataset site/provider from which Mathematica import Financial Data price?
I tried to download a lot of Financial Data Time series of different financial assets (Exchange, Commodity, Index, Stocks, etc etc...).
In the most part of cases, I try to found, and download it, ...
2
votes
0answers
95 views
Plotting Time Series in the same currency value [closed]
I'm working with Financial Data and I'm using this code:
...
3
votes
0answers
112 views
FinancialData price adjustments no longer work?
TL;DR
The following properties of FinancialData appear to no longer work:
...
0
votes
1answer
74 views
Portfolio Skewness and Kurtosis
I have 10 different stocks. I can easily calculate the skewness and kurtosis for each stock. But how to do it for the whole portfolio? Is there a specific function in Mathematica?
2
votes
1answer
285 views
Monte Carlo simulation of a financial market
I'm fairly new to Mathematica and i want to review the average prices of this model. In order to do that i need to perform a Monte Carlo simulation on my financial markets model:
...
1
vote
0answers
84 views
Historic Financial Data
The Mathematica line DateListPlot[FinancialData["L:ULVR", DatePlus[-1865]]] does not work now. It generates the output "DateListPlot::ntdt: The first argument to DateListPlot should be a list of ...
9
votes
2answers
4k views
Use Alpha Vantage as an alternative to Yahoo FinancialData, and how to use financial indicators on these data
Alpha Vantage Inc. is a leading provider of free APIs in JSON and CSV formats for real-time and historical stock market data.
With the recent glitch of the Yahoo Finance API, and with ...
1
vote
2answers
228 views
Bug in “FinancialData” while downloading monthly stock price
I am not sure whether it a bug. Documentation on FinancialData states that we can choose possible frequency as "Day", "Week", "Month", "Year". However, when I choose "Month" as frequency to download ...
0
votes
0answers
36 views
Bulk Exchange Rate Call
I have a function which gives me the exchange rate of GBP to USD as follows:
...
1
vote
1answer
107 views
Quadratic optimisation problem
I'm trying to solve the optimisation problem $\mathbf x^\top\mathbf A\mathbf x$ such that $x_1 + \ldots + x_n = 1$, where $\mathbf x$ is the vector of variables to be optimised and $\mathbf A$ is some ...
1
vote
0answers
116 views
FinancialData — Yahoo problem or Wolfram problem?
Last May, problems surfaced with FinancialData (see FinancialData no longer fetches historical prices?). This week, FinancialData ignores mutual fund prices for the last day of May, although ...
7
votes
1answer
117 views
American option priced incorrectly by `FinancialDerivative`?
The following gives a price of 1.13:
...
8
votes
1answer
248 views
FinancialData no longer fetches historical prices?
Starting sometime after May 12, 2017, Historical Data from FinancialData seems to have stopped working. Has anyone else seen this? Here is some input:
...
3
votes
0answers
83 views
How to setup FrameTicks for TradingChart
I'm trying to setup FrameTicks for TradingChart, but it dosn't work.
...
4
votes
1answer
93 views
How does TimeValue calculate value of Cashflow?
The code below calculates the future value of a Cashflow. I intend that the cashflow adds 1 unit on each period for 10 periods, and specifies an effective interest rate of 1% per period. The table is ...
1
vote
0answers
49 views
FinancialData - differents results in time
I use FinancialData to get historical stock prices (see code below). I update them each year to get new data. I found out that stock price for particular month (e.g....
11
votes
2answers
418 views
Reinvention of TradingChart
Functions TradingChart and InteractiveTradingChart are slow even with few hundreds of candles. On ...
0
votes
0answers
56 views
FinancialData returns a Failure[] object
What is the recommended way to deal with this (basically, if I get "Failure", I would like to say that the data is missing, and I can obviously call the function inside another function, check if the ...
2
votes
1answer
109 views
Stock peer valuation
I can display various metrics for one stock and want to know if I can do it easily for many stocks. In my example, I used Microsoft and the code works. Is there a way of setting up another list like ...
1
vote
0answers
38 views
FinancialDerivative with a delayed start
Using the function FinancialDerivative with an Asian style option doesn't seem to have a parameter that allows for a contract that averages over a specific time period in the future rather than over ...
1
vote
1answer
99 views
Transpose erroring
I am using the code from this answer, to optimize a portfolio of stocks. This is the code:
...
2
votes
0answers
55 views
2
votes
1answer
83 views
Suggestions for Buy/Sell signals overlaid on TradingChart
To visually evaluate a backtester, I would like to overlay "buy" and "sell" signals on TradingChart, while preserving the interactive functionality of ...
8
votes
2answers
499 views
Creating a Stock Dataset
I've been looking into how to create a stock database in Mathematica using Dataset. This may or may not be a sensible idea, depending on the quantity of data required, although the possibility of ...
1
vote
0answers
83 views
ItoProcess with log
I would like to use ItoProcess to simulate some paths of $r(t)$, a process that follows the sde
$$d\ln\left(r\left(t\right)\right)=\left(\theta-\ln\left(r(t)\right)\...
3
votes
1answer
555 views
Historical S&P500 prices using FinancialData[
After some poking around, I found how to get the price of the S&P500:
FinancialData["^SPX"]` and `FinancialData["^SPX", "Company"]
However, I am trying to ...
2
votes
1answer
136 views
Application of American Option Valuation
I am trying to work backwards from a binomial tree. To make it clear right away, here is a graph
The basic concept is that price of a financial asset (for ex. a stock) starting from t=0 (the initial ...
2
votes
1answer
201 views
Getting index member with FinancialData[]
How can I use FinancialData to get the ticker symbols for a given index? For example suppose I want the tickers for all 500 stocks currently listed on the S&P ...
