# Tagged Questions

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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### 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 ...
123 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 ...
128 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 ...
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 ...
68 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 ...
785 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 ...
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### 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 formula,...
474 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 ...
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### Where do Over-allotment (Greenshoe) option shares come from?

I'm just wondering, if following an IPO the share price goes up and the underwriter calls the option, where do those extra 15% shares come from? Does the company have to issue more stock to cover the ...
293 views

### predict next day's close price using hmm

I am reading this paper(Stock market forecasting using hidden Markov model: a new approach) and get confused about how they predict the next day's close price. Below is what the authors say about how ...
290 views

### Difference between Closing Price, Last traded price and Settlement Price for option contracts?

What is the difference between Closing price, Last traded price and settlement price ? I got the difference between Closing Price and Settlement price from previous post : The difference between ...
102 views

### Comparing Equity Funds

I am trying to compare 2 equity funds, I have 10Y of monthly returns (no knowledge of their share allocations) - and their index benchmark returns. They are both Value managers but I am not looking ...
205 views

### Latency and Delays across Exchanges

I have recently come across this paper by Battalio et al. "Can Brokers Have it all? On the Relation between Make Take Fees & Limit Order Execution Quality" and realized how little I know about the ...
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### How was the adj.close for RIG calculated after Transocen - GobalSantafe merge

Yahoo's algorithm for adj.close calculation is pretty clear, as explained in the link. Said that, however, the values for RIG till 2007-11-26 don't follow such rules, as shown here. Indeed, if one ...
244 views

### How to get Stock Fundamental time series data?

I need key Stock Fundamentals like in http://finance.yahoo.com/q/ks?s=KO+Key+Statistics But that page shows only the last quarter data, I need to analyze how that data has changed over past years. ...
523 views

### If I have found a way to predict stocks trend with 58% accuracy, is it good?

Say I have found a way through technical analysis to predict how stocks would behave with 58% accuracy, how good is this percentage?
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### Measuring Volatility from Execution Prices

I was told of a way of measuring the volatility of a stock by looking at the reported execution prices (from Level III or Level II data.) I'm well aware of how to measure volatility by looking at the ...
243 views

### Can Gaussianity of returns depend on the time frame?

I would be interested in knowing if the fact that returns are Gaussian is disproved on all time frames, or if, for example, the 5 minute intra-day time frame could exhibits Gaussian returns assuming ...
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### What are “Autoquotes”?

I'm reading a 2008 JoFMarkets paper by Shkilko et al. with title "Locked and crossed markets on NASDAQ and the NYSE" in which the authors investigate the determinants of locked and crossed markets. ...
232 views

### Forecasting problem with Geometric Brownian Motion in Wolfram Mathematica

I'm a full time undergraduate student from Peru, and I'm trying to use the Geometric Brownian Motion example used in the help section from Wolfram Mathematica in order to forecast future stock prices,...
280 views

### How can index futures trade 24/7 when the index doesn't change?

I have read that the E-Mini S&P 500 Futures trade 24/7, how is that possible? I mean the underlying stocks which form the index are traded from 9:30am-4pm - so outside of these hours the S&P ...
815 views

### How google finance calculates beta of a stock

How google finance calculates beta of a stock - What is the proxy for the market? - What is the time period it uses for regression?
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### Can not understand options pricing [closed]

As we are seeing here http://www.theoptionsguide.com/strike-price.aspx Relationship between Strike Price & Call Option Price Relationship between Strike Price & Put Option Price I do not ...
418 views

### What are the main market efficiency measures in the stock market?

I'm going to test for the effect of the change in market efficiency on the stock market portfolio, and, I want to know what are the main measures known in the academic literature in order to compare ...
108 views

### forecasting trading costs with end of day data

I am trying to create a model that forecasts trading costs (using end of day data, so no intra day data). My trading cost (also called Implemented Shortfall (IS) is defined as such for a single stock, ...
68 views

### Why aren't there any single owner companies over a billion dollars? [closed]

The biggest companies have multiple owners which dilute the authority and finances of the company. They are either publicly traded companies via selling shares through stock markets, or privatly owned ...
223 views

### Discounted Stock Price

I have the following Question : Prove that under the risk-neutral probability p the stock and the banjaccount have the same average rate of growth. In other words, if $S_0 , S_N$ are the initial ...
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### EDGX, EDGA, Nasdaq and Bats-Z Pricing in 2011

I'm trying to find the fee and rebate structure of these 4 exchanges during year 2011, in the specific, I'm interested in the cost of posting a hidden Limit Order, in the cost of removing a visible ...
52 views

### Raising money in IPOs

When a company goes into an IPO wouldn't they try to make as much money as they can? Then how come the Greenshoe option says that some would try to not issue additional shares just so their share ...
254 views

### Building custom indices; getting data from web; stats analysis; Python or R?

I would like to build a couple of custom indices. I would like to be able to enter ticker(s) into an input and have ohlc, volume, qualitative ...data downloaded from yahoofinance, google finance, ...
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### How to Handle Error in SEC Filings

Sometimes I see obvious errors in the 10-K or 10-Q filings that appear to go uncorrected in subsequent filings for the same period. For example, on June 9, 2014 Apple, Inc. did a 7-to-1 stock split. ...
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### Finding relative price strength as defined in CANSLIM stock picking methodology

I am wondering if there is any website that provides relative price strength as is defined in CAN SLIM stock picking methodology. For the CAN SLIM difinition I am looking at this article: http://www....
215 views

### Conversion stock symbols Google Finance vs. Reuters

I'm working on a project that will fetch data from Google Finance and Reuters. In order to avoid keeping two separate lists of stock symbols, I'm looking for some kind of conversion or database or API ...
291 views

### How important is the limit order book?

I'm trying to understand how important the limit order today for NYSE, NASDAQ, Euronext and LSE. For example, when we talk about the volume traded during the day, what share of that volume has been ...
164 views

### Spread over LIBOR on a Equity Swap

Does anyone how banks determine the spread over LIBOR on a Equity Swap? Example: Party A pays the return on SPTR to Party B Party B pays 1M LIBOR + 40 bps to Party A Does anyone know how the 40 ...
172 views

### Technical Indicators reference

I have been looking for a good reference where I can find how technical indicators of stock market analysis are calculated. I have a dataset (time series) which I want to extract these indicators to ...
56 views

### Share price of Precision Imaging Corporation of America on March 13, 1991

Where can I find the share price of Precision Imaging Corporation of America, Inc. on March 13, 1991? I realize the company no longer exists and the shares are now worthless but I would like to know ...
166 views

### Positive VaR when calculation on Total Return Indexes?

I recently saw a VaR calculation, and I was wondering whether that calculation made sense. Here the details: 1. Construction of a total return bond portfolio index. By total return I mean that the ...
114 views

### Non-Negative Matrix Factorization - Estimating the Mean

How do you estimate the mean in a Non-Negative Matrix Factorization framework? It is obvious and well known how to estimate the covariance matrix, how ever I also need the estimated mean. I'm ...
259 views

### Executions deep in the Limit Order Book?

I have some Level III (message level) data for equities and I have found several cases in which I register the execution of a Limit Order at a price "worse" than the best bid or ask. For example, ...
426 views

### How can I create a public viewable stock market index?

I have 3,000 tickers that I would like to turn into a weighted index, viewable by the general public by going to Yahoo and typing in ^PSNDX (for example) or go to E-Trade and enter something similar. ...
24 views

### Non-overlapping ranges of HCNN' observables and of state transition function

In the artcicle Forecasting and Trading the High-Low Range of Stocks and ETFs with Neural Networks HCNN is used for forecasting of nine time-series, namely: returns of the lows returns of the highs ...
174 views

### Countries and/or exchanges which don't allow algo-trading

I am doing a research paper on the effect of algo-trading on capital markets. In order to do this, I plan to do an OLS comparison of Countries and Exchanges who ban algo-trading platforms and those ...
140 views

### How to obtain a log of all trades done on the Nasdaq or other major US exchange?

I'm looking to do a research paper on the impact of high frequency algo-trading on individual firms. In order to do that I need to be able to determine firms that have been high frequency traded. My ...
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### Which anomalies are easy to replicate in an event study?

In order to examine different approaches to event studies, I am looking for a market anomaly which is simple to replicate in an event study for demonstration purposes. For example, post-earnings-...
105 views

### What does NPV ASSENTED after stock name mean?

For a project, I have to quantitatively implement a strategy for value investing in EURO STOXX 50. I pulled the data from Datastream. When I was checking some data plots for dividend yields and total ...
161 views

### Investment: Bond vs Equity

I was talking to a friend recently and he asked me the following question. If I have a device which perfectly (with 100% accuracy) predicts that both a bond (e.g. AAA rated government bond) and the ...
254 views

### Who holds stock overnight?

I have heard from several different sources, e.g. professors, books and traders, that daytraders and quants avoid holding positions overnight and during holidays and weekends. Instead, they sell their ...
The Black Scholes model assumes the following form for the Wiener process describing the evolution of the stock price S: $dS=\mu S dt + \sigma S dX$ Clearly $S$ ...