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.
229
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Historical data of financial funds
I would like to obtain the historical data of some funds, of which I know the ISIN code. Is there any way to do this with mathematica?
For example, this fund here:
https://markets.ft.com/data/funds/...
- 349
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1
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78
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How to improve performance of making an Exponentially Weighted Correlation Matrix?
I would like to make an Exponentially Weighted version of Correlation (similar to https://pandas.pydata.org/pandas-docs/version/0.17.0/generated/pandas.ewmcov.html)....
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Speed up compoundReturn across an array
I am trying to calculate a moving-window of compounded returns on a large 2D-array. (ie some kind of MovingMap on geometric returns)
The Rows are time-steps and the Columns are different financial ...
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64
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How to Name a Path in TemporalData?
Preamble:
I am working with stock prices and need to perform calculations on them. And then extract the information for further calculations.
TimeSeries/...
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1
answer
106
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Legacy Finance package
There used to be an old package Finance which contained useful functionality for converting between different interest rate representations, ...
- 9,003
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63
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How do I retrieve the SOFR (Secured Overnight Financing Rate) index/value in Mathematica?
SOFR doesn't show up in FinancialData[] (despite being a Bloomberg symbol). When I ask Wolfram|Alpha, it thinks I'm talking about "Overnight: The Movie". ...
3
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1
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49
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Inconsistent Timing on FinancialBond valuations
I need to do bond valuations (lots of them across lots of data) using FinancialBond.
Context & Background
I have daily interest rate data on 30 year US Treasury ...
- 14.3k
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56
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How to leave empty space on the right in tradingchart
The Tradingchart function is very useful, although tremendously graphics heavy. For better understanding of the image I would like to leave a white space on the right but it is ignored. For example.
...
- 109
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65
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`CandlestickChart` how to display a separate x-axis tick for every single second?
I use CandlestickChart to display some price data. The data is only 30 seconds long and contains one candle per second. I'd like the chart to display a separate ...
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56
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Can I use Timeseries of a Data to plot the ARCHProcess?
So,
I have a list
s={Timeseries1,Timeseries2,Timeseris3}
I want to Plot a graph just like :Mathematica
I tried to do this but I didn't understand some parts of the ...
3
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Is the way TimeValue[s, i, {t, t1}] works with s being a Cashflow using date expressions a bug or a feature?
The documentation for TimeValue tells us that in TimeValue[s,i,t] we can have s be a Cashflow...
- 13k
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209
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How To Fit Heston Model To Stock Data Stochastic Volatility Model
The stochastic volatility model known as the Heston model can be expressed in Mathematica in the following way
https://reference.wolfram.com/language/example/HestonModel.html
Define the Ito process of ...
- 631
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1
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68
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Federal Reserve Interest Rate Data has years with differing number of weeks
I need to compute annual mean interest rates from public data. FRED mortgage rate data (available here: https://fred.stlouisfed.org/series/MORTGAGE30US) when downloaded as an Excel file, Imports as ...
- 790
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1
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83
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`FinancialData` anomaly
As I learned from this quantitative finance question, 1981-04-17 was a trading holiday. This is in agreement with the 0 volume in that day
...
- 1,068
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97
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How To Compile The Computation Of Cumulative Returns
I'm trying to compile this function, specifically the second line which computes the cumulative return of 100 daily returns.
...
- 631
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1
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99
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How to apply color function to my financial indicator?
My goal is to make a figure like this picture in a financial indicator,
I want to plot “a colored” financial indicator below a trading chart.
I prepared financial data and data of my indicator:
...
- 405
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Irregular interval Internal Rate of Return [closed]
Does anyone know of a function that has been written that takes a list of cash flows and a list of associated dates and returns the internal rate of return? In other words a function similar to ...
- 41
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2
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164
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Log of time series evaluated
I'm new to Mathematica and am trying to plot log-returns of a stock as a timeseries object. However, the following code gives me back elements of the form "Log[151.23$]" unevaluated. What am ...
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1
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93
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Currency Interpretation for VND
Bug introduced in v12.2.0 or earlier, persisting through v13.2.1. Case number: 4973722
As I was helping an OP with a question involving Vietnamese currency, I didn't realize at the time that the ...
- 37.8k
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1
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76
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About Internal mechanics in FinancialDerivative
I want to find the price of a call option,using mathematica.
However, I found a question when using Financial Derivative.
The following two codes are to get the price of the call.
...
- 1
2
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1
answer
81
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select the right numbers based on a condition
I want to optimize my stock portfolio based on three components:
the price of the different stocks
the number to buy of each of the stocks
the expected return of each stock (after 12 months)
For ...
- 2,585
1
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2
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89
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Rearrange a matrix with new Table Headings-List
I have used a procedure to rearrange my data in a more appropriate way for data analysis such that more similar elements lie next to each other and dissimilar ones far apart.
Let's say I have a 5x5 ...
- 53
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0
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88
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Customize FinancialIndicator
I have a set of financial data in a 5-minutes (download here) and 1-day timeframe (download here)
Since the ordering of my dataset is different than the ordering taken by ...
- 1,628
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2
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136
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Antithetic Variates in Monte-Carlo simulations (code taking too long to execute)
I am trying to use the Antithetic Variates method to reduce error in stock price estimates. Essentially, I generate pairs of negatively correlated RV's and use them to simulate stock price. The ...
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1
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97
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List industry segment members using FinancialData [closed]
I'm trying to select get price, div yield and PE ratios for a given Sector (Industrial Segment) from the LSE. At the moment I'm trying to just get a list of the companies
Unfortunately my script is ...
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165
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Portfolio optimization
Mathematica provides codes for a portfolio optimization https://www.wolframcloud.com/objects/summerschool/pages/2017/AndresLopezMartinez_TE that do not work anymore.
Any reason why?
I have been trying ...
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0
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79
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How can I use TradingChart without volume data?
I am trying to use the Mathematica Function TradingChart to produce a chart. I am using data produced by me for the plot and I do not have the volume data.
Here is ...
- 117
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2
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283
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Is there a CryptocurrencyData alternative to FinancialData?
What's the easiest way to ingest time series data on cryptocurrencies into Mathematica?
I'm looking for up-to-date price, volume, and other properties for both major coins and altcoins.
- 3,561
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1
answer
209
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Doing calculations on values input in USD currency format (e.g., $1,234.56)
I'd like to be able to copy and paste, into MMA, numbers that have a standard USD currency format, i.e., that include dollar signs and comma separators, and get the output in the same format. I'd ...
- 3,548
3
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2
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166
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Calculating Average Price and P&L Efficiently Without Loops
A very common task is stock portfolio evaluation is to calculate the average price of stock holdings for a sequence of trades and from there to calculate the (realized) profit or loss. Obviously one ...
- 1,294
4
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102
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How to show net income geographically of a company in a certain city
Let's say that I have a company, and I already extracted it's net profit with time series.
...
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2
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91
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1
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2
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251
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Exporting Stock Financial Data into Excel
I would like to pull 3 attributes (Open, Close, Volume) for a variety of stock symbols. I would like to pull the stock data within a specific range and export it to an excel spreadsheet. I would also ...
- 139
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1
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47
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Index (SPX) weekly return with a condition
I am looking at statistics of the weekly returns of SPX. Taking all the weeks starting from 1st Jan 2010, the hisotgram of the returns is:
...
- 1,271
2
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2
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199
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How to plot a new numerical FinancialIndicator in TradingChart
I plot a trading chart by using TradingChart for early December data:
...
- 405
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154
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Getting the source code of the custom indicator MESA
I would like to ask how to get the source code of a custom indicator offered by the InteractiveTradingChart function, in particular the MESA indicator (Maximum ...
2
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1
answer
72
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InteractiveTradingChart with date and time displayed for selected data
It is possible to modify TradingChart such that instead of just the date, date and time are displayed for a selected data point. Is there a "trick" that ...
- 459
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1
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87
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Manipulate InteractiveTradingChart or lazy Manipulate
Back in 2012, it seems that something like Manipulate[InteractiveTradingChart[ticker], {ticker, {"AMZN", "GOOGL"}}] worked fine. Mathematica 12....
- 459
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The server returned the HTTP status code 406 + how to obtain stocks data
Any solution for this:
Import["https://es.investing.com/indices/germany-30-futures-\
historical-data"]
not successful. The server returned the HTTP ...
- 135
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votes
1
answer
339
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Overlay a line plot onto a candlestick chart?
With the command CandlestickChart one can create charts such as
CandlestickChart[data]
Let's say, we take the 20-period moving ...
- 11.9k
12
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2
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562
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How can I plot my financial indicator below a trading chart (produced by TradingChart) with the same x-axis?
Since this question was not answered, I would like to ask again with some additional information. I have a trading chart saved as chart1 as follows.
...
- 235
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1
answer
283
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Looking up Stock Symbols in Mathematica
It has been a few years since i had used Mathematica, and I know that after yahoo feed was discontinued there have been some changes to how mathematica handles financial data. Back in the day we would ...
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Is financial visualization broken? Can you run any of these examples or InteractiveTradingChart[] at all?
I can't run anything relevant to financial visualization in my mathematica installation, i found these interesting example but anything that use the trading chart is kind of broken.
EDIT:
I'll add a ...
- 117
3
votes
2
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501
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two tier compound interest problem
I am trying to make sense of how mortgage repayment figures are calculated for two tier mortgages, where you fix your interest rate for a certain period and after that period, you fall back to the SVR ...
- 701
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0
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96
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Problems with CUDAFinancialDerivative in Mathematica 12.1
I am attempting to run some CUDA functions in MMA 12.1, specifically CUDAFinancialDerivative. As I recall, this function (and other CUDA functions) ran successfully on this machine with earlier ...
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Problem with StringPosition[] and slowness of Import[] in sentiment analysis
Using the post by J. Kinlay at Market Sentiment Analysis we can employ a simple yet effective Mathematica implementation for sentiment analysis in trading.
Everything is very clear and useful in the ...
- 1,807
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61
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Why am I getting incorrect result from EntityClass?
Suppose I want get 6 largest companies by market capitalization. I try the class using the old syntax:
...
- 9,003
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58
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ROI and Earnings Yield within FinancialData
Can I calculate within FinancialData properties these as follows:
Earnings Yield = EBIT/Enterprise value
..where Enterprise value is the sum of market value of equity (including preferred equity) ...
- 401
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Sort Stocks by MarketCap
If I correctly understand, here I have all the existing companies listed in every market and identified by each real name:
...
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