Shares of stock traded in a stock market. Equities represent the residual claim or interest of the most junior class of investors in assets, after all liabilities are paid.
3
votes
0answers
60 views
At what volume would you move the price at the opening auction?
At many exchanges the opening price is set using an auction which takes place pre-opening (see here for example). During the auction you are allowed to place orders according to certain rules (you ...
0
votes
1answer
28 views
Initial margin requirement as percentage, not dollar value
Problem from Finan, FM/2
On 12-30-1998, you decided to bet on the January effect. ON that day, you bought 400 shares of Microsoft on margin at the price of 139 per share. The initial margin ...
-4
votes
1answer
105 views
Best fitting probability distribution for individual equity price changes [closed]
What is the best fitting distribution for stock price changes?
This blog shows that loglaplace almost perfectly fits all changes in prices of the S&P 500:
I've confirmed this, and clearly ...
0
votes
1answer
79 views
Change option B&S pricing
Consider a market composed by two stocks whose prices $X$ and $Y$ are given by B&S diffusion
$$dX_t= \mu X_t dt+ \sigma X_tdW_t$$
$$dY_t= \mu Y_t dt+ \sigma Y_tdB_t$$
Supposing the market is ...
-1
votes
0answers
73 views
Stock information [closed]
Is there any way(other than parsing a page) to download/ftp all information regarding a stock ?
For example everything published here:
http://www.nasdaq.com/symbol/aapl
0
votes
0answers
91 views
Data sources for financials of global equities
I looked through the master list of data sources but could not find any data sources for financial data of global equities. An example would be the balance sheet of, say, ...
0
votes
1answer
41 views
How to adjust local currency returns to US$/EUR return?
Iam doing research on return characteristics. As of today the scope of the research has changed from a local investor point of view to an international investor point of view. This basically means ...
2
votes
1answer
141 views
What exactly is an ISO order?
I have been looking this up and I feel like I keep running into different definitions. My understanding is that an ISO order is one which will get filled with the displayed quantity in a particular ...
2
votes
2answers
182 views
Calculating Geometric mean
I need to annualize daily returns for about 120 firms for over a period of 10 years. I chose to calculate the geometric return because 1) it is the actual return 2) to avoid the asymmetric effect of ...
3
votes
1answer
55 views
Can Central Index Keys (CIKs) issued by the SEC be reassigned?
Suppose company A has CIK 0000012345 and ceases to exist. At some later time, company B registers with the SEC to submit filings.
Is it possible that company B will be assigned the same CIK ...
1
vote
0answers
59 views
Modelling long run relationship between dividend and earnings
I am working on a paper where I have to model the long run relationship between earnings and dividends. I have downloaded the raw data from shillers website. I have converted the series to ...
1
vote
1answer
88 views
How to deal with different amount of td's in computing Sharpe Ratio
In calculating the Sharpe Ratio, should I take into account the days were I have 0 return due to non-trading day? Another user posted a similar question but this was related to trading days with no ...
6
votes
3answers
277 views
Scanning a stock database for errors/flaws
I'm currently working on some matlab code that is supposed to check a stock database for any errors (missing values, wrong values, etc.). The reason for this is that after reading this post I came to ...
2
votes
3answers
175 views
Leveraged and inverse leveraged ETFs - what is the exact defintion?
I just had a quick look at the daily returns for a few pairs of leveraged ETFs - it appears that the percent daily returns do not match perfectly. For instance, looking at FAS/FAZ, the returns for the ...
1
vote
3answers
130 views
Quick way to check what 'tape' a stock belongs to?
For the SIP feeds, there is the CTA and the UTP plan and they cover Tapes A,B and Tape C respectively. Is there an easy way to check on google what tape a stock would belong to? Particularly when it ...
1
vote
1answer
130 views
Regression giving the return on a stock
I have this regression equation:
$$
R_{stock} = 3,28\% + 1,65*R_{market}
$$
Where $R_{stock}$ is the expected return on a stock and $R_{market}$ being the market risk premium.
I have a one-year ...
3
votes
1answer
104 views
OTC Equity Options' Dynamics
This only applies to options that do not have marketable equivalents since margin can be marked to them.
I've never been able to find this on my goog.
How is margin typically calculated for OTC ...
1
vote
1answer
90 views
Pricing forward contract on a stock
Please tell me where I've gone wrong (if I did in fact make a mistake). I'm pricing a long forward on a stock. The usual setup applies:
This has payoff $S(T) - K$ at time $T$.
We are at $t$ now.
...
4
votes
1answer
2k views
How to simulate stock prices with a Geometric Brownian Motion?
I want to simulate stock price paths with different stochastic processes. I started with the famous geometric brownian motion. I simulated the values with the following formula:
...
0
votes
0answers
143 views
End of Day Market Data (One Minute Interval) for Commercial Purpose [closed]
I am developing a website and looking to use end-of-day data to calculate technical indicators and display them on it.
Please provide any financial data vendor that provides above mentioned data for ...
4
votes
2answers
439 views
Cointegration trading: Ignoring pairs that aren't economically related
Cointegration trading question
What's the state of the art when it comes to choosing proper subsets of stocks/assets where cointegrating relationships aren't ignored as (likely to be) spurious?
For ...
3
votes
0answers
61 views
Individual/casual investors and the bias towards blue-chip stocks?
There's quite a bit of research (example, [1]) teasing out the fact that home/casual/individual investors prefer stocks with large positive skewness. It surprised me, as I was reading a bunch of these ...
8
votes
2answers
492 views
Why do low standard deviation stocks tend to have superior future returns?
I've recently stumbled on something that really surprised me. These papers (1, 2) find that past standard deviation of returns is inversely related to future returns. That is, portfolio of low ...
7
votes
1answer
176 views
Alternative liquidity measures
I'm going to write the MSc thesis on flight-to-liquidity phenomenon in stock markets and I'm interested in liquidity measures other than Amihud or bid-ask spread.
What are some other popular measures ...
3
votes
2answers
123 views
Can money technically flow in and out of stocks or asset classes?
For every buyer, there is a seller. Money can't 'flow' in and out of a stock, only the price changes. Is this applicable in the context of asset classes, for example, money market funds versus stocks? ...
3
votes
1answer
202 views
How to calculate probability of touching a take-profit without touching a stop-loss?
How to calculate probability of touching a take-profit without touching a stop-loss (no-dividend stock, infinite time)?
1
vote
1answer
2k views
How to calculate equally weighted market portfolio
There's two studies that test the same thing in different markets (i.e. they apply the identical methodology). They state:
1) "$R_{mt}$ is the equally weighted average stock return in the dual-listed ...
5
votes
0answers
114 views
Testing for stock market herding over short periods
The literature has well established methods for testing stock market herding over a decent time window.
Are there any ways that have appeared in the literature to test for stock market herding over ...
5
votes
2answers
126 views
Economic contagion to individual stocks (ideas for analysis)
I'm doing my undergraduate thesis on firm-level contagion. Specifically I look at a measure of performance over a financial crisis (e.g. raw stock returns), then run cross-sectional regressions with ...
1
vote
1answer
205 views
equity linked notes (bull/bear equity performance bonds)
I have to price what my lecturer calls "Bull and Bear Equity Performance Bonds". Basically there's dates $t_i \in [0,T]$, where $t_i - t_{i-1}$ is the same for all choice of $i$. On each date the bull ...
3
votes
3answers
1k views
Why does the adjusted closing price take into account dividends?
I'm trying to get an intuition as to why the adjusted closing price includes a dividend adjustment:
\begin{equation}
1 - \frac{dividend}{close}
\end{equation}
I understand why the adjusted closing ...
4
votes
1answer
477 views
SP500 sector weights - how do they change?
The weights of the nine S&P equity sector indexes vary over time. One can find measures of them in a number of different formats:
S&P 500 Sector SPDRs - historical sector weights
Here's ...
2
votes
1answer
101 views
Historical data on short rates
I would like to backtest a short-equity strategy. I'm looking for historical data on the availability of shares and cost to short certain stocks. Does anyone know of such data being available ...
4
votes
2answers
156 views
Indexes/stocks with flat implied volatilities
After the 1987 crash, the S&P500 index implied volatility changed from nearly flat to negatively sloped. According to Rubinstein the Black-Scholes model was not so wrong when applied to the ...
1
vote
1answer
120 views
transaction size and liquidity in simulation of US stocks
i am developing a simulation trading in US stocks.
i have 1 transaction a day per stock, assumed for simplicity to be executed at the daily closing price.
in order to determine a reasonable maximal ...
3
votes
3answers
649 views
How to normalize different instruments by volatility?
I'm trying to think on a way to normalize stocks to be on the same scale depending on their recent volatility.
Is there some theoretical reference on the subject or and experience you can share?
4
votes
1answer
202 views
What is the relative performance of hard-to-borrow securities?
Is there any research on the equity return performance of hard-to-borrow securities?
Many shops will simply screen for hard-to-borrow and eliminate these names from their short book.
Anecdotally, ...
3
votes
1answer
392 views
Science behind options pricing into Earnings event
I am wondering about studies regarding the uncanny options pricing into public company's earnings reports.
The phenomenon being that the price of a straddle before earnings costs near exactly the ...
6
votes
3answers
288 views
What is an acceptable error on implied volatility?
Given an implied volatility surface (on equity indexes) and a calibrated model, what is the range of error on implied volatility a trader would accept ?
This obviously depends on the model used to ...
6
votes
1answer
132 views
Estimate price movement per unit of volume for daily data
I'm working on backtesting a number of stock trading strategies and need to estimate how much the execution price will likely deviate from the historical close price for that asset using daily data; ...
-3
votes
1answer
126 views
Methods for distributing cash into allocation
Are there any methods/techniques that cover distributing cash into a specific percent of a portfolio asset class while gaining the best average price?
As a simple example, a portfolio starts with ...
2
votes
3answers
281 views
Why should there be an equity risk premium?
After years of mathematical finance I am still not satisfied with the idea of a risk premium in the case of stocks.
I agree that (often) there is a premium for long dated bonds, illiquid bonds or ...
8
votes
4answers
370 views
Position management in presence of continuous forecast
Let's say we have an equity liquidity-providing model that was fitted on 1 minute bar periods. The model forecasts the 1-min next period return given the activity of the previous bars. Now, when we ...
-2
votes
1answer
118 views
Different stocks with the same stock code [closed]
Is it possible to have different stocks with the same stock code on different stock exchanges.
3
votes
1answer
393 views
Commerical delayed stock quote feed that is redistributable?
I'm looking for a commercial delayed quote feed that will allow us to distribute delayed US stock market quotes to the public (ie. that will allow us to display US delayed quotes on the Internet). We ...
2
votes
0answers
225 views
What is an appropriate hedge ratio for hedging a credit instrument with equity of the same issuer?
Given a bond and a stock issued by the same issuer, what is the appropriate ratio of bond-to-stock one should hold in order to minimize the specific risk to that issuer? Equivalently, what is the ...
5
votes
1answer
123 views
looking for regulations regarding stock symbol reuse in the US
in june 2009, GM has filed for bankruptcy. trading has moved from NYSE to OTC pink sheets, and the symbol changed to GMGMQ and later to MTLQQ. in november 2010 a new GM symbol started trading on NYSE. ...
6
votes
1answer
276 views
NASDAQ TotalView ITCH order reference number number characteristics
I am building a custom hash implementation for storing NASDAQ ITCH order messages. Obviously this is keyed on the order reference number and I am wondering if these numbers are sequential, random or ...
8
votes
1answer
334 views
Any research paper on stop loss?
Has there been any rigorous study on stop loss ? When to apply it?
Has it been shown to work through proper statistical backtests?
I am interested in Equities, preferably European stocks.
2
votes
0answers
160 views
Can a higher P/E ratio be beneficial under certain circumstances? [closed]
I am new to investing. I understand that the P/E ratio along with other data can be used to determine whether a stock may or may not be undervalued.
Are there situations where a HIGH P/E is actually ...
