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.

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48 votes
6 answers
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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 ...
user avatar
35 votes
3 answers
8k 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 ...
Mari's user avatar
  • 419
22 votes
6 answers
2k views

Historical Exchange Rates via FinancialData

FinancialData["name"] and FinancialData["name", start] return respectively; the last known price, and the daily closing values ...
Ronald Monson's user avatar
16 votes
3 answers
9k 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 ...
faysou's user avatar
  • 11k
16 votes
1 answer
297 views

Wrong Cashflow of Annuity with initial payment

Bug intoduced in (8.0?) persisting through version 13.2 If we use TimeValue to look at the PV of an Annuity with initial ...
asterix314's user avatar
  • 1,325
15 votes
3 answers
1k 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 ...
Igor Konoplyanko's user avatar
15 votes
1 answer
942 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: ...
V.E.'s user avatar
  • 1,700
15 votes
1 answer
918 views

What are the features that are only available in Wolfram Finance Platform?

Looking at the Wolfram Finance Platform advertising page. They seem to have features that are all available in standard Mathematica license. So what is the exact difference between the two? Their ...
user13892's user avatar
  • 9,293
14 votes
2 answers
1k 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 ...
Jonathan Kinlay's user avatar
14 votes
1 answer
764 views

Is FinancialData about to be deprecated?

A support case with the identification [CASE:4387967] was created. FinancialData seems to be losing information. For example in the documentation it says: ...
user13892's user avatar
  • 9,293
13 votes
3 answers
5k 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 ...
david's user avatar
  • 133
12 votes
2 answers
580 views

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. ...
DLT's user avatar
  • 235
12 votes
2 answers
679 views

Reinvention of TradingChart

Functions TradingChart and InteractiveTradingChart are slow even with few hundreds of candles. On ...
Alexey Golyshev's user avatar
11 votes
1 answer
988 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 method....
pyrex's user avatar
  • 399
10 votes
3 answers
5k 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 ...
user avatar
10 votes
2 answers
1k views

How to download and combine S&P 500 stock prices?

Updated: 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. ...
ramesh's user avatar
  • 2,309
10 votes
1 answer
3k 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 ...
John Smith's user avatar
9 votes
2 answers
1k 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. ...
Chris Degnen's user avatar
  • 30.9k
9 votes
1 answer
515 views

I want to update a financial chart when I select a new stock from a popup menu

I have the following code: Read all the DOW jones financial instruments instruments = FinancialData["^DJI", "Members"] Then I create a dynamic variable called ...
Henrick's user avatar
  • 91
9 votes
1 answer
355 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 ...
RayC's user avatar
  • 91
8 votes
3 answers
1k 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 ...
8 votes
2 answers
390 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. ...
VanillaSpinIce's user avatar
8 votes
2 answers
404 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 4.125% ...
Jean-Pierre Avermaete's user avatar
8 votes
1 answer
309 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: ...
James Stein's user avatar
7 votes
4 answers
746 views

Paying off an installment

How do I determine the weekly installment I have to pay, if my loan is, let's say, loan=5000, with interest rate of 2% every ...
Nabil's user avatar
  • 513
7 votes
2 answers
510 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 ...
eldo's user avatar
  • 61.5k
7 votes
3 answers
1k views

Creating a custom distribution with specified skew and kurtosis

Let's say I want to create a simulated sample of returns for a given investing/trading strategy. I know that my strategy is profitable on 64% of trades, that the ratio of mean win / mean loss is 0.72, ...
pyrex's user avatar
  • 399
7 votes
1 answer
290 views

Determining FinancialData for Countries

How do I determine the FinancialData for Australia. For instance the one for USA follows as: FinancialData["NYSE", "Members"] ...
thils's user avatar
  • 3,228
7 votes
1 answer
560 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 ...
pyrex's user avatar
  • 399
7 votes
1 answer
181 views

American option priced incorrectly by `FinancialDerivative`?

The following gives a price of 1.13: ...
Al Guy's user avatar
  • 1,610
7 votes
2 answers
815 views

Getting FTSE indices in Mathematica

I'm not sure if this is the best StackExchange to post this question, but I figured it had more to do with the specifics of Mathematica than Quantitative Analysis so I've posted it here. Basically, I ...
Thomas Russell's user avatar
7 votes
1 answer
159 views

Why is CurrencyConvert so slow?

...
eldo's user avatar
  • 61.5k
7 votes
1 answer
1k 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 ...
Xavier's user avatar
  • 155
7 votes
0 answers
98 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] ...
Manuel 's user avatar
7 votes
0 answers
467 views

How can I model the volatility, using a GARCH(1,1), of a time series of returns (and plot it) using Mathematica? [closed]

I know that if I use this code: tsm = TimeSeriesModelFit[ret, {"GARCH", {1, 1}}]; I can get the parameters using this: ...
Rodrigo Guinea's user avatar
7 votes
0 answers
312 views

How can I program my own financial indicator to be plotted in a TradingChart? [duplicate]

FinancialIndicator["ind", par1, par2, ...] represents a financial indicator "ind" with parameters $par1$, $par2$, etc. All available financial indicators can be ...
user19604's user avatar
6 votes
1 answer
2k 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 dx(t)=a(t,x(t))dt+b(...
Milan Ivica's user avatar
6 votes
2 answers
609 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 ...
vonjd's user avatar
  • 1,595
6 votes
2 answers
320 views

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.
user5601's user avatar
  • 3,613
6 votes
1 answer
465 views

How can I download price information for multiple stocks at once?

I have a list of stock tickers. Is it possible to download price information over a period of time all in one go, or download other types of information across multiple stocks in one go?
Billy Shanahan's user avatar
6 votes
1 answer
192 views

Very slow rendering of Quantity

I noticed since Mathematica v12 a very slow frontend when rendering the Units. Easy to show: Quantity[Range[1, 100], "Euros"] Takes (timed with a stopwatch) ...
Lou's user avatar
  • 3,822
6 votes
1 answer
809 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: ...
Milan Ivica's user avatar
6 votes
1 answer
438 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 ...
Editortoise-Composerpent's user avatar
6 votes
1 answer
217 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 ...
Peter's user avatar
  • 61
6 votes
0 answers
550 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 ...
jwhatthe's user avatar
5 votes
2 answers
3k 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 ...
Milan Ivica's user avatar
5 votes
2 answers
2k 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 ...
Skumin's user avatar
  • 585
5 votes
1 answer
181 views

Why DateDifference returns machine number?

Is there any specific reason why DateDifference cannot give an exact number in this case? ...
asterix314's user avatar
  • 1,325
5 votes
2 answers
548 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? ...
Miladiouss's user avatar
  • 1,873
5 votes
1 answer
316 views

MovingMap maps to second level unexpectedly

I'm trying to build a financial indicator in mathematica. I import some historical data ...
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