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by hanss
July 1st, 2013, 1:40 pm
Forum: General Forum
Topic: NYSE TAQ miliseconds problems
Replies: 8
Views: 8873

NYSE TAQ miliseconds problems

I am not sure, I meant that all quotes/trades with tag containing any form of "delayed" were removed. In addition, it would look as several different time lags for delayed quotes would be possible...
by hanss
June 26th, 2013, 7:06 pm
Forum: General Forum
Topic: NYSE TAQ miliseconds problems
Replies: 8
Views: 8873

NYSE TAQ miliseconds problems

Exactly! I was not able to find any indicator for that. These data are actually for a specific exchange, and trades(quotes) with reported errors,e.g., delayed quotes, were already eliminated...
by hanss
June 26th, 2013, 6:49 pm
Forum: General Forum
Topic: NYSE TAQ miliseconds problems
Replies: 8
Views: 8873

NYSE TAQ miliseconds problems

<r>Please look on that. There are more than one "price path", in this case ask. This feature remains even after removing quotes with error flags and this feature is the same for bid/ask/trade. In addition, I do not see this type of behavior for majority of other stocks. One can filter that out by ha...
by hanss
June 26th, 2013, 8:07 am
Forum: General Forum
Topic: NYSE TAQ miliseconds problems
Replies: 8
Views: 8873

NYSE TAQ miliseconds problems

<r>I am not sure if I understand your question...<E>:-)</E> It is truly HFT, they have time stamp at millisecond accuracy (previously, they were coming with a second time stamp accuracy). NYSE TAQ data from WRDS have some known problems but for this title there is clearly more than one price path......
by hanss
June 25th, 2013, 9:34 am
Forum: General Forum
Topic: NYSE TAQ miliseconds problems
Replies: 8
Views: 8873

NYSE TAQ miliseconds problems

Hi all,I have just download some NYSE TAQ millisecond data through wrds. For JPM ticker on January 2012, there is a very weird behavior, the data looks like there are several different price paths (both trades and quotes). Does anyone has similar experience? Any way to solve it?Hanss
by hanss
April 4th, 2012, 9:33 am
Forum: General Forum
Topic: Decreasing implied vol surf for OIL
Replies: 16
Views: 15385

Decreasing implied vol surf for OIL

Dear all,I have really a stupid question, but why is the implied vol surface decreasing with expiry for WTI options?
by hanss
April 2nd, 2012, 12:15 pm
Forum: General Forum
Topic: Calibrating the CIR++ for default
Replies: 0
Views: 14290

Calibrating the CIR++ for default

<t>I read some papers on callibrating the CIR++, or any other model with deterministics shift, for default probability, and all of them are not too specific what data to use. If one uses just CDS, then the deretministic shift will do the work. On the other hand, using options on CDS is not suitable ...
by hanss
March 10th, 2012, 9:12 pm
Forum: General Forum
Topic: General Question with Regards to CDS Pricing
Replies: 4
Views: 14903

General Question with Regards to CDS Pricing

Bloomberg does not explain the specifications of the contract?
by hanss
January 25th, 2012, 3:32 pm
Forum: Book And Research Paper Forum
Topic: CCDS -- papers and networking
Replies: 1
Views: 15861

CCDS -- papers and networking

<t>Hi guys!I am looking for some papers on CCDS and realized the literature is quite silent on this issue. I looked on defaultrisk.com, which is a good source for information but even there is nothing. Could anyone of you recommend me some papers related to CCDS? Even the replication techniques how ...
by hanss
August 29th, 2010, 8:17 am
Forum: Numerical Methods Forum
Topic: Simulated Method of Moments
Replies: 1
Views: 25750

Simulated Method of Moments

... or does anyone has any good references for fitting stochastic models without analytic solution? Thanks in advance and sorry for monolog;-)
by hanss
August 28th, 2010, 9:30 pm
Forum: Numerical Methods Forum
Topic: Simulated Method of Moments
Replies: 1
Views: 25750

Simulated Method of Moments

<t>Maybe it does not belong here,but does anyone here has an experience with simulated method of moments? Or just some good paper describing details of some examples (no "famous academic papers", please, those I can find easily;-). I will have to fit parameters based on simulations and I am thinking...
by hanss
June 28th, 2010, 1:11 pm
Forum: General Forum
Topic: S&P 500 composition help
Replies: 5
Views: 27510

S&P 500 composition help

<t>Thanks for link! But this is crazy that it is not available on the web... I just need google's share at the end of march 2010 and I will have to calculate the entire index? This is really a crazy world, everyone is taking this as the benchmark but almost noone knows what's inside;-) It recalls me...
by hanss
June 28th, 2010, 12:43 pm
Forum: General Forum
Topic: S&P 500 composition help
Replies: 5
Views: 27510

S&P 500 composition help

Dear allCould you please advice me where I can find the composition of S&P 500 INCLUDING weights at a given date? I have spent quite a long time with google and couldn't easily find such an important info (everyone is talking about S&P500;-)Thanks in advance
by hanss
February 12th, 2010, 7:57 am
Forum: Technical Forum
Topic: Hedging instruments for the jump contribution in a model with jumps
Replies: 5
Views: 34062

Hedging instruments for the jump contribution in a model with jumps

Could you post here a reference to a paper, which could be an intro paper to hedging in the presence of jumps, where rather principles could be seen? I do some stuff with jumps but it is rather a theory...
by hanss
February 8th, 2010, 6:27 am
Forum: General Forum
Topic: instrument to track oil
Replies: 10
Views: 32401

instrument to track oil

Btw: have you cross-checked the result of their software (futures->spot) with spot prices? I would be pretty fine monotonic function mapping ETF=f(spot oil) even without knowing the function "f".