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.

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2answers
533 views

Correlation between S&P500 returns and 10y US Treasuries yields

I'd like to investigate the comovement of stock index returns with bond yields but I don't know which return's duration to use (1-year, 1-month or anything else) to get a better view of the ...
1
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1answer
69 views

What is the distribution of stock splits?

I want to know how rare are splits more extreme than, say, 7:1 (and reverse splits similarly). An answer here points to announcements on Yahoo Finance, but apparently only monthly views. What is a ...
6
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2answers
299 views

Why are we obsessed over normalizing financial data?

I have recently began work on some high frequency financial tick data. I have been told to 'normalize' the data as much as possible and run linear regressions through them. In fact, the data doesn't ...
1
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1answer
132 views

Selling an American call option early

I understand it is never optimal to exercise an American call option early. [1] [2] However, here are my two contradictory thoughts about selling an American call option early. Assumptions I can ...
4
votes
4answers
297 views

Why is the equity premium not arbitraged away?

The Equity Risk Premium Puzzle concerns the observation that equity returns are generally greater than bond returns. The puzzle is well known and widely studied, what is keeping investors from ...
1
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1answer
125 views

Company rank within an industry

I'm looking at the list of companies in the S&P 500 Pure Value Index. For each firm, I want to obtain the dividend yield industry percentile rank and the PEG ratio industry percentile rank. I've ...
0
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1answer
29 views

(Purchased) terminology on Net Preferred Equity Issued

I understand what we mean when we say: Net Preferred Equity Issued it is the total amount of Preffered Stocks plus their price. But does the chart mean when it says (Purchased)? What other can it be? ...
0
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2answers
55 views

Break down XIRR to different segments

Currently, I have the following transactions. ...
0
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1answer
60 views

Is there any relationship between investment return of a stock, for individual year (Yearly return) and multiple years (Overall annualized return)

currently, I'm calculating the return of a stock, for individual year and multiple years. I tend to answer the following question. Return of a stock for end of year 2010 (Individual year) Return of ...
0
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1answer
63 views

Calculate rate of return of a stock, if there is a buy transaction occurs during the middle of financial year

Currently, I'm implementing a feature of an open source project (https://github.com/yccheok/jstock/issues/7), which requires me to calculate the rate of return of a stock. Let's take the following ...
0
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1answer
517 views

Free stock split history data source?

Does anyone know of a reliable (free) source of historical stock split information? There's a YQL api for pulling down 'key stats' on a symbol but it only contains the LastSplitDate. Adjusted close ...
2
votes
1answer
249 views

How Much Capital is Needed to Start an Arbitrage Strategy?

I'm trying to experiment with a simulated simple arbitrage strategy. I'm not doing this to actually invest, I'm just curious if the market is inefficient enough for this to be feasible. Every ...
1
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1answer
138 views

Plot Evolution of portfolio weights over time in R [closed]

Is there any function for plotting the evolution of portfolio weights over time in r?. I have a matrix of portfolio weights from an equal weighting strategy at rebalancing times and want to plot ...
2
votes
2answers
121 views

How current prices is formulated in markets?

I can't understand how immediate prices are formulated in stock & currency (Forex) markets. I have been informed that every tick means one new deal that closed in current price, but this can't be ...
11
votes
4answers
895 views

Quantitative Math required for Market-making?

I understand there is an awful lot of Quantitative Math required for statistical arbitrage/algorithmic trading. However, would someone "in the know" be able to tell me whether there is less ...
2
votes
4answers
235 views

Why can sometimes stock prices rise when interest rates rise?

Basic macroeconomics theory states that stock prices are inversely correlated with interest rates, i.e., when interest rates rise, borrowing is more costly, and thus companies with huge debt would be ...
1
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2answers
115 views

Is the purchase of a stock publicly accessible?

If an investor bought a stock, could another private party access that information anywhere? Does the SEC/exchange itself create a real time/ historical record of who holds what stocks, and is that ...
1
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2answers
159 views

Is stock price priced in the uncertainty?

Consider a one step binomial tree model for stock price. The classical setup is as below: At time $t=0$, the stock price is $S_0$. At time $t=1$, the stock has probability $p$ to jump up to price ...
3
votes
3answers
277 views

Determining optimal trading signals (buy/sell) from past data

Let's say we have a stock which our only actions are buy, sell and hold (with or without shorting). If we have sufficient past data of the stock, how can you determine the optimal trading action ...
0
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1answer
71 views

Sample size and historical correlation matrices

I was wondering whether any literatures existed on how to properly estimate correlation matrices from historical data. Obviously the entire procedures allows a lot of leeway. The frequency of ...
2
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3answers
192 views

List of Stocks by Sector

Does anyone know where I can find a list of all stocks traded on the NYSE in a table that also includes what sector they are in? I want to look at some data using info both from the individual stock ...
0
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0answers
12 views

Russell 2000 P/E Ratio [duplicate]

Can someone please provide me with a source where I can find the the historical time series for the Russell 2000 PE ratio? Ideally, I'd like to have both the prices (easy to find) and the earnings for ...
3
votes
2answers
314 views

Trend estimation techniques

What is the best way (most common) to discover if a stock is trending or not? (Despite drawing a line). A hurst exponent? A linear regression maybe?
0
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0answers
49 views

Why is that maximizing stock value, under uncertainty, is a better option than maximizing profits?

I've been trying to access the papers that state that kind of problem, but most of them need payment for access and I am on a student budget. I know that maximizing profits=maximizing stock value in ...
0
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1answer
75 views

Need weighted global stock index data (components / weights)

To implement a portfolio generator, I require a set of suitable stocks. Ideally it would use the components of the MSCI World Index and use the index weights for the probability of picking a stock ...
4
votes
1answer
172 views

Why does regression capture differences in volatility?

I read the following statement in the book python for data analysis, chapter 11, and I was wondering if someone could give me intuition about why regression has this effect? The purpose of the ...
6
votes
2answers
334 views

Non-negative matrix factorization for factor analysis of stocks

I stumbled over the term Non-negative matrix factorization in presentations such as Application of Machine Learning to Finance and this Big Data in Asset Management. The basic idea is to decompose a ...
6
votes
2answers
262 views

Why do I have a statistically significant slope regressing R(t) on R(t-1)

I am reading Cochrane's lecture note here He mentioned that when you regress annual return on time t on that of time t-1, you will have neither statistically significant nor economically significant ...
1
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1answer
131 views

source for yahoo finance equities volume traded

I am looking at some academic studies regarding volume of stock traded. Yahoo Finance is used as the data source for volume. Does anyone know where the volume figure comes from? Is it a compilation ...
0
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1answer
140 views

Debt vs. Equity?

What determines whether an investment should be made using debt vs. equity? For example, startups are often financed with equity, while mortgages are always financed using debt. What characteristics ...
0
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3answers
201 views

hedging with known volatility

Suppose we have a stock $X$ at which trades at 100 dollars. We suppose the stock follows a geometric brownian motion. We know that the interest rate is zero and annual volatility is 10 percent. How ...
1
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2answers
192 views

Are power contracts traded on any stock market?

Are power contracts traded on any stock markets ? What about OTC markets ? I ask about the derivatives where payoff is some exponential function of difference between strike and spot price.
2
votes
2answers
237 views

Bloomberg ticks is difference from Reuter ticks?

when I using Bloomberg excel plugins to retrieve the ticks and compare with Reuter RDF data, for some UK equity stocks in same days, the number of ticks and sum of total value is difference, why will ...
2
votes
1answer
193 views

How to compare different volatility measures?

I read the Euan Sinclair's book (Volatility trading) in which he suggests different volatility estimators (Close-to-close, Parkinson, Garman-Klass, ...). I am inquiring about what is the best stock ...
4
votes
3answers
231 views

How to hedge a derivative that pays the reciprocal of the stock price?

1) Suppose S is the stock price, how to hedge a derivative that pays $1/S_t$ at time $t$? 2) Suppose there will be a dividend of amount $d$ between $t$ and $T$, how to hedge a derivative that pays ...
1
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1answer
498 views

Backtesting with fundamentals

Recently I've read some books about quantative approach to fundamental investing: - What works on Wall Street - James O'Shaughnessy - Quantitative Value - Wesley Gray, Tobias Carlisle - Quantitative ...
1
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2answers
593 views

How to incorporate fundamental analysis in quantitative trading algorithm? [closed]

I want to write a quantitative stock trading program based on fundamental analysis. It would crunch through prices, financial reports to look for value stocks. It can support backtesting of strategy ...
1
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1answer
110 views

Discount rate, convertible debt and the effect of time

The way I understand it is that there are three main parameters to a convertible debt investment. An investment amount A discount rate A trigger event Now under most of the examples I have seen, ...
0
votes
2answers
169 views

Use of geometric mean for average return of several indices

Can anyone give any reference for using the geometric mean to average the returns from several indices? Note, this question is not about the usual use of geometric mean to obtain the average return ...
1
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0answers
138 views

The Public Market Equivalent measure in private equity

What are the advantages and disadvantages of the Public Market Equivalent measure in private equity? Why is it that the volatility of the cash flows do not matter? This topic has been discussed in a ...
2
votes
2answers
604 views

An alternative to the Gaussian distribution to describe/fit market stock returns

After the financial crisis in 2008, many people (including me) don't really believe that stock returns can be described in terms of the normal distribution (Gaussian distribution). But besides the ...
2
votes
1answer
135 views

Best practice approach for calculating the PE-ratio

I am trying to calculate the historical PE ratios of a stock, but which date should I use to get the stock price in calculating the PE ratio? My current approach is to use the stock price of a day ...
3
votes
0answers
187 views

How are quants able to verify whether their calculated prices are any good

This question is related to the discussion on Model Validation Criteria However it appeard to be very high level to me and I would like to go more into detail. Not working at a pricing desk the ...
5
votes
2answers
1k views

What are the econometric assumptions in the Fama-Macbeth procedure (1973)?

Fama-Macbeth (1973) introduce a two stage cross-sectional regression method (http://en.wikipedia.org/wiki/Fama%E2%80%93MacBeth_regression). 1) If I was to regress stock prices (or returns) on a ...
0
votes
1answer
151 views

Calculating the Sum of Squared Deviations between two Normalized Price Series

How can I calculate the sum of square deviations between two normalized price series according to (Gatev et. co 2006)? My normalized price series of stocks $X$ and $Y$ consist of the cumulative total ...
3
votes
3answers
349 views

Measuring historical earnings surprises, their frequency and severity

This is my first post to Quantitative Finance, so I hope my question is formatted the right way. I am starting to research the effects of earnings surprises on certain equity indices. Is there a ...
-1
votes
1answer
213 views

Calculate the total returns from the total return index [closed]

I have the Total Return Index(RI) for several companies. I know that I can calculate the log retunrs with $ln(RI_t/RI_{t-1})$. Therefore my first guess would be to ...
3
votes
2answers
589 views

Where to find historical stock news and other events?

So, I am working on a strategy that has pin-pointed some very interesting events in the form of extremely low volatility. The phenomena spans the past few years and a wide variety of symbols. Now, to ...
1
vote
1answer
561 views

How to estimate market integration parameter in Singer-Terhaar model for E(r)?

Singer-Terhaar is part of CFA II and III curriculum. It estimates risk premium for some asset, traded at some local market, as weighted average of expected premiums for the case of (1) local market, ...
0
votes
1answer
578 views

converting US tickers into Reuters RIC [duplicate]

I have a large list of US equity tickers such as: "GIRO", "ITUB", "BITA" etc and I would like to convert them into their corresponding RIC codes. Do you know how can I do it? I have access to ...