Questions tagged [time]
The time tag has no summary.
29 questions
0 votes
0 answers
133 views
Volatility in BS model, prices zero or negative
I would like to raise the following question: I need to analyze the historical volatility of some prices. These prices fluctuate approximately between -1 and +2. The issue is that when calculating the ...
- 1
0 votes
0 answers
134 views
Chart Indicator: Why Does RSI (14, close) Vary with the Particular Time Chart I am Using?
This is probably an easy question for many of you: If I am viewing a Month chart and plot the RSI 14, it tells me the current day's RSI, which I think is the RSI of the last 14 days. But why, if I ...
- 1
2 votes
1 answer
165 views
Piecewise constant Heston model Monte Carlo simulation
I am studying this time dependent Heston model \begin{equation} dS_t=(r-q) dt +\sqrt{V_t} dW_t^1 \\ dV_t=\kappa_t(\theta_t-V_t) dt + \sigma_t dW_t^2 \\ S_0=s_0\\ V_0=v_0\\ ...
- 31
1 vote
0 answers
134 views
What is the Time Value of European Options if r=0? [closed]
As I understand it, time value for European options is as follows: What if r=0? Then puts should behave the same as calls, right? Would the time value always be nonnegative or could it be negative?
- 111
1 vote
0 answers
113 views
What does M^L represent over this Sigma?
This is throwing me for a loop. in regards to this passage, does the M^L represent to perform this sum over every "overlapping window" individually? Would this mean "M symbols" are ...
- 11
0 votes
1 answer
119 views
Expected return over what time horizon?
In finance, it is common to price things at their discounted expected value. What time horizon is the market generally thought to consider? Is it a "money-weighted" average of expected ...
- 146
2 votes
0 answers
97 views
Best way to measure time to expiration for options?
From my reading it seems that only trading days should be accounted for when calculating time to expiration. On the other hand, I see that VIX is calculated using every day until expiration without ...
- 81
1 vote
1 answer
144 views
Covariance AR(2) Process [closed]
I am not sure what the formula is for the covariance of an AR(2) process, described by $X_t - \mu = \phi_1(X_{t-1} - \mu) + \phi_2(X_{t-2} -\mu ) + \epsilon_t$ where $\mu$ denoted the process mean ...
- 11
0 votes
1 answer
201 views
How to up-sample monthly returns into daily returns?
I know how to down-sample daily returns (large-sample data) to monthly returns (small-sample data) by using rolling windows, which feels like estimating a sub-sample from the population (something ...
- 3,140
0 votes
1 answer
69 views
How many seconds of Longstaff Schwartz would it take to get machine accuracy?
Roughly speaking, using a standard programming language, a standard computer, and a standard implementation, how many seconds would it take to price an American put option to 10+ digits of accuracy in ...
- 11
0 votes
1 answer
412 views
How to calculate RSI while considering market close and holidays?
I was trying to calculate RSI over hourly OHLC bars for a symbol (AAPL as an example) and got stock, first how should I handle closing hours? (does it make sense to ignore them all together and assume ...
- 103
1 vote
0 answers
245 views
Prove that the value of a perpetual American put is time-independent
I know that the value of a perpetual American put is time-independent. I think it is very intuitive property and it results from the fact that we do not have any expiry date. My question is: Is it ...
- 153
2 votes
0 answers
223 views
In Linear Regression for time series stock prediction, instead of cost function, use final portfolio value?
In Linear Regression for time series stock prediction, instead of using the cost function and minimizing the cost function, why can't we use the final portfolio value? Assume we are doing a time ...
- 21
0 votes
1 answer
3k views
Historical beta: Beta estimation for which time horizon?
In practice historical beta is the most used approach for calculating beta. Some one can use i.e. the last 6 month daily returns of stock i and market m to calculcate this. Nevertheless I am ...
- 1
-1 votes
1 answer
135 views
How to calculate the elapsed time until a stock reach a certain price?
In specific, I will set a certain price to a stock and I want to know how long takes until the historical prices reach this price. Thanks you.
