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.

learn more… | top users | synonyms (4)

3
votes
1answer
101 views

VAR of portfolio containing options, equities and forwards

If we want to calculate VAR of a portfolio using variance covariance matrix (delta normal method), containing equities, forwards and options, how do we treat each asset class for making the variance ...
1
vote
1answer
85 views

Portfolio of sum of two Bachelier processes

Suppose you construct a portfolio of two stocks, whose values $A$ and $B$ are modelled as a Bachelier process: $$dA = \sigma_A dW_A(t) \text{ and } dB = \sigma_B d W_B(t).$$ Each of the stock prices ...
0
votes
1answer
48 views

What is the source of the money in a leverage transaction?

An example: I have 1000 dollars, the leverage is 10x, and one stock is 10$. In casual situation I could buy 100 stocks, because I have 1000 dollars, but if I use the leverage I can buy 1000 stocks. I ...
2
votes
4answers
79 views

Do stocks move up and down in value or in proportion to how much they cost?

Do stocks change in value or in proportion to how much they cost? If a stock costs 100 dollar will it generally change value at the same rate as a 700 dollar stock (IE: both will move about 2 dollars ...
3
votes
0answers
41 views

Estimating factor returns with linearly dependent loadings

Given an $n\times 1$ vector of asset returns $r$, and a $n\times k$ matrix of factor loadings $X$, we can express the asset returns in terms of as-yet-unknown factors $f$ using $$ r = Xf + \epsilon ...
2
votes
2answers
157 views

Augmented Dickey-Fuller Test/ Unit Root test on multiple time series dataframe in R

I have a dataset/dataframe in which I have calculated the daily log returns of five thousand companies and these companies are as column as well. I want carry out ADF test on this dataframe. I have ...
0
votes
1answer
99 views

Log daily returns of multiple securities for multiple time period in R

I have dataset containing daily closing prices of 5413 companies from 2000 to 2014. I want to calculate daily log returns for the stocks as according to dates as log(Price today/Price yesterday). I ...
4
votes
2answers
167 views

Nasdaq trading under the scenes: market makers, ECNs, brokers. Who buys from and sells to whom?

U. S. Securities and Exchange Commission (SEC) defines market maker as: "A market maker is a firm that stands ready to buy and sell a particular stock on a regular and continuous basis at a publicly ...
2
votes
0answers
93 views

Daily Hurst Exponent

I am trying to estimate daily Hurst exponent values of a stock returns (e.g. for each day to have also Hurst exponent - something like that: ...
0
votes
1answer
101 views

Notional Value in Equity Options

I have calculated the NPV of an Equity option and need to account the notional for it and have issues understanding the NPV <-> notional relation. Example: Strike price 100 Spot rate: 107.41 NPV ...
1
vote
2answers
91 views

How does stock buy back increase RoA of a company?

In one of the videos in Youtube which explained about stock buy backs, it was told that companies can achieve higher Return on Assets by doing stock buy backs. The explanation went like this :- When a ...
1
vote
1answer
88 views

How to calculate weight of two stocks without knowing their correlation?

I have difficulty to solve attached question. The question asks me to find new weight of stocks by just changing standard deviation of the portfolio. I really do not have any idea how to solve it. ...
3
votes
0answers
103 views

Is Low-Volatility expensive these days? How can we analyze this?

Low volatility investing became somewhat fashionable in recent years. In general there are two approaches to this Ranking stocks of a certain universe by either stand-alone volatility or by beta and ...
0
votes
1answer
86 views

Price of a Stock: What is it?

My limited understanding of stock prices is that according to theoretical arguments, the price of an asset is generally given as:$$P_{A}=E_{0}\,\sum_{t=0}^{\infty}\frac{C_{t}}{(1+r)^{t}}$$ whereby ...
4
votes
2answers
272 views

Data exported from Capital IQ, FactSet, Bloomberg, Compustat

I'm looking for reliable data on US equity fundamentals, but not sure which vendor provides these features: Unlimited data export Coverage of disbanded entities (bankruptcies, M&A) Financial ...
1
vote
1answer
67 views

PPPN: premium with real market data

A few days ago, I posted a question about PPPN's (partially principal protected notes), which can be found here:PPPN: participation rate, stocks and premium. A PPPN in short is a structured product ...
0
votes
1answer
71 views

PPPN: participation rate, stocks and premium

I'm a student of financial engineering and am very new to all of this stuff. Now, I'm trying to make an "example of a beginners exercise", but alas, I don't have any clue on how to solve or even on ...
1
vote
1answer
83 views

Drivers of equity returns: dividend yield, change in P/E and dividend (or earnings) growth

In an NBIM paper I read the following: "... one can break down the total equity return into the dividend yield (the starting valuation), the change in the P/E ratio (the change in valuation) ...
0
votes
0answers
24 views

Why is preferred stock not always preferred

I was wondering why is it not the case that preferred stocks are not preferred to common stock? The reasoning is as follows: it seems that the disadvantage of holding preferred stocks is that one ...
1
vote
1answer
253 views

How to calculate daily risk free interest rates

I'm working on an assignment in which I need to calculate excess return for six stocks plus the S&P 500. I have computed daily logarithmic returns for every stock and for the market, I now need to ...
2
votes
2answers
139 views

Normalizing SPY ETF time series data with its sector ETFs?

I am looking to compare the returns of a sector rotation strategy between the various SPDR sector ETFs XLY, XLP, XLE, XLF, XLV, XLI, XLB, XLK, XLU vs. ...
0
votes
2answers
74 views

Where can I find the best and worst performing US stocks on a given date? [duplicate]

I'm interested in researching the effects of a stock ranking at extremes on a certain date, and was wondering if anyone can help me find a tool/site which allows to easily retrieve the best/worst ...
1
vote
1answer
56 views

Computing the expected stock growth rate

I need to compute the expected growth rate of a stock given the data: financial leverage 2.0 return on assets 16% dividend payout ratio 60% I don't know how to compute it nor where to start, could ...
0
votes
0answers
15 views

Min-VAR portfolio construction in a universe of dividend stocks - choosing the observation period

The portfolio construction method of min-variance and similar concepts were discussed quite heavily in the recent past (see for example Thierry Roncalli's page). Over long horzon's we see ...
1
vote
3answers
251 views

Best known performance of stock prediction algorithms

I asked this question here and was directed to answer it on this stack exchange. My question is very simple. What is the best [known] performance of a stock prediction algorithm? I've seen papers ...
3
votes
1answer
201 views

Clever ways of “summarising” the equity fund universe

I am trying to get some advice or direction (brainstorm) as to the best way to summarise/cluster/etc. the equity fund universe (which for my purposes consists of about 150 funds). Some of my ideas at ...
1
vote
1answer
43 views

Listed companies on NASDAQ

Where can I find a list of listed companies on NASDAQ from 2000 to 2014?
0
votes
1answer
99 views

How to get list of large intraday movers for that day?

Is there a source (preferably free :) that provides a list of large intraday (versus pre market) movers for the day you look? I don't mind getting the list on market close. I don't need historical ...
-1
votes
1answer
61 views

European option on a dividend paying stock, limits to arbitrage?

What is the price C of a European call option on a dividend paying stock? I believe it is: C = U. N(d1) - exp(-rt).K.N(d2) d1 = [ ln(U/K) + (r + v^2/2).t ]/[ v.sqrt(t) ] d2 = d1 - v.sqrt(t) U ...
3
votes
3answers
132 views

Why is the value of the VXX ETN always above short-term VIX futures prices?

If the VXX is simply a constant maturity weighted average of the 1st and 2nd month VIX futures prices, then why is its market price always larger than the maximum of the two? (the larger of the two is ...
1
vote
1answer
124 views

Building predictive model for closing price using only previous days data

I am trying to determine which quantitative model to try and build a predictive model for the next day's closing price for all the S&P stocks based on their bar for that particular day. However, I ...
2
votes
0answers
29 views

Helpful references for fully understanding the mechanics of NASDAQ's auction system?

I've read about this before on their website directly and via this ITG paper. nasdaq site itg paper But I was wondering if there are any other good references I can supplement my understanding ...
0
votes
1answer
31 views

Is the equity value of the firm “in the money” or “out of the money”? BOPM & BSOPM [closed]

Value of the firm V = 100 Face value of debt X is 120 and still one year to go until maturity Firm value volatility is 40.5% per annum Risk free rate is 6% Consider a one-period model. If any ...
1
vote
0answers
22 views

Financial Derivative, European Option [closed]

Market Prices for European put and call options on ABC stock are as below: Call = $4.5 Put = $6.8 Exercise Price, X =$70 Risk Free Annual Compounded rate r = 5% Time to expiration T = 139 days ...
0
votes
2answers
96 views

Where can I download the history of dividends for Nasdaq?

I want to download the annual dividends(regular,special and repurchaces) for all stocks at Nasdaq for 5 years. Does anyone know where can I find it? Thank you
4
votes
1answer
136 views

Execution quality for illiquid securities

The SEC's execution quality statistics measurements (Rule 605) arguably does a poor job at measuring the execution quality of ...
2
votes
4answers
144 views

How to interpret regression coefficients with dummy explanatory variables?

I am a bit confused about the interpretation of the regression coefficients in a regression model: $R_{t}=\beta_0+\beta_1R_{mt}+\beta_2D_{t}+\epsilon_t$ where $R_{t}$ is the log return of some ...
1
vote
1answer
85 views

How we decide the target price for stock

people giving intraday target price of particular share. Most of the times the target is achieved.I am still puzzled how the target price of stock for intraday can calculated. To elaborate my query ...
2
votes
2answers
76 views

Volatility of Multiple Stocks

According to BSM, Stock Price follows log-normal distribution s.t. $$S(t)=S(0)*\exp(\sigma\sqrt t Z-(\sigma^2t)/2)$$ where Z is standard normal variable Then volatility of this stock is $\sigma \sqrt ...
7
votes
5answers
286 views

Kurtosis in asset logarithmic returns

Assets such as stocks usually display kurtosis in their logarithmic returns. However, their logarithmic returns in a time interval $n$ are the sum of smaller logarithmic returns in $1/n$ time ...
0
votes
0answers
21 views

how to get the current price of a stock in quandl [duplicate]

Is there any way to find the current price of a stock as it fluctuates during the trading day. If so where can I find out how to get real time data of a stock or commodity. Thank you for your help!
0
votes
0answers
23 views

free and reliable stock ticker API [duplicate]

I am looking for an API that will give me (somewhat real time) stock quotes for free for a website. I have heard about using yahoo finance URL download but (to the best of my knowledge) yahoo could ...
1
vote
0answers
18 views

In what way are capital increases usually advertised?

I am currently trying to better understand capital increases and dilution. I came across a few presentations of companies. I am trying to find out, if there are any standards, which are commonly part ...
2
votes
1answer
122 views

Get institutional holdings of stocks programmatically

First of, I'm not sure if this is the right place for this question, but a search on Google for another programmatically related question regarding stocks led me here, so here it goes. Is there any ...
4
votes
2answers
125 views

Estimating an appropriate haircut for illiquid stocks

I am trying to determine an appropriate haircut for a basket of illiquid stocks that barely traded during the year. Can someone suggest me an approach to estimate the risk? My dataset has a lot of ...
3
votes
0answers
49 views

Is there any index calculation methodology that is suitable when constituents change frequently?

Trying to create a custom stock sector index, however adding/dropping of the constituents will be frequent. Which kind of index calculation methodology (e.g. Price Weighted, Equal Weighted, Cap ...
1
vote
1answer
62 views

Calculating unweighted performance of stocks within a period

The well known calculation of unweighted index of stocks is just calculating an arithmetic average. And then, to calculate the performance of the index, I calculate the %change of the unweighted ...
11
votes
4answers
736 views

Thesis using Momentum strategies in R, tips on good books, guidelines etc on how to do the programming?

I am quite new to R and will be doing an empirical analysis of momentum strategies in R using a dataset from the index OSEAX from 1980 to 2014. The momentum strategy will for the most part resemble ...
5
votes
1answer
107 views

How to calculate Skulls Financial Turbulence for one asset?

I have just read this paper http://www.cfapubs.org/loi/doi/abs/10.2469/faj.v66.n5.3 In the paper they define financial turbulence formula as: Could anyone help me calculate/understand this ...
4
votes
3answers
413 views

How do I calculate approximate equity liquidity?

I am a developer rather than a quant. I need to decide whether a given equity passes some basic liquidity threshold. It doesn't have to be precise, just good enough. I have a Bloomberg terminal data ...