data - Ledoit-Wolf Shrinkage estimator not giving positive definite covariance matrix

Are your 407 stocks all different? No A and B listings contained that are strongly if not perfectly correlated? The observation that the daily covariance matrix is singular makes me wonder. You can t... Read More

finance - American call and put prices, increasing in maturity

For American options, the longer the maturity, the more choices for the optimal exercises time, then the option value is bigger. For example, consider maturities $T1$ and $T2$, for the same option ex... Read More

php - Programmatically access currency exchange rates

You can get currency conversions in a simple format from yahoo: For example, to convert from GBP to EUR: Read More

finance - List of ISIN for Options, Swaps, Derivatives?

This is rather a comment than an answer: From my understanding, you might find ISINs for exchange traded derivatives, like stock index options. For the other more or less OTC-traded products, there i... Read More

What economics/finance methods and tools can be used to analyze and predict the Bitcoin market?

Technical analysis is important, but right now I think that one should not rely exclusively on chart analysis and indicators to predict Bitcoin's price movement. For example, at the end of July and m... Read More

programming - How to simulate stock prices with stochastic time change subordinated arithmetic Brownian Motion?

Here it is. Returns here are normally distributed by construction. It doesn't involve time scale, you can use time, volume, or any other "activity". >> sigma = 0.001; >> mu = 0; >> returns = mu + sig... Read More

banks - What would a country adopting Bitcoins as official currency have to reinvent?

TL;DR: In the first instance, my belief is that a government would have to create their own brand of Bitcoin (i.e. a new version of the blockchain) and use that to trade against other currencies. Th... Read More

finance - At what point does someone using technical analysis become a Quant?

There is certainly much more to quantitative finance than technical analysis, and a previous question does a decent job of outlining the different areas, as does the wikipedia on "quantitative analys... Read More

research - Video lectures and presentations on quantitative finance

Department of Mathematics at University of Minnesota has 4 online lectures on financial mathematics - Lectures on financial mathematics: Notes on Financial Mathematics The Risk-Neutral World Δ-Hed... Read More

finance - Why is there inconsistency in WACC vs unlevered return?

There may be two points you are missing: You are allowed to apply the CAPM to calculate the cost of equity $R_e$. However, one of the CAPM assumptions is, that taxes are not taken into account into... Read More