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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123 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 ...
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2answers
213 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 ...
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2answers
171 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 ...
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1answer
47 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 ...
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1answer
87 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 ...
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1answer
241 views

Level II market data (equities)

I have been playing around with some equities historical market data and I understand that different exchanges have different definitions of what Level II (Limit Order Book) data means. What I'm ...
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1answer
65 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 ...
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2answers
198 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 ...
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2answers
93 views

Price of an equity

An equity has a value of 100 Euros, and pay a dividend of 5 Euros in 6 months. The interest rate of 6 months is 5% and the interest rate for 1 year is 6%. I would like to compute the value of the ...
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2answers
131 views

Stock Symbols: ETFs vs Real Companies

I built a trading strategy that is based on a pool of all the symbols available on NYSE, Nasdaq, and AMEX. I don't like the idea of trading symbols that are ETFs. For example, the symbol TVIX, which ...
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1answer
28 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 ...
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2answers
159 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 ...
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2answers
163 views

float64 to store price data: is precision sufficient?

I am looking to store equity price data in a hdf5 table. The use will be purely as a historical archive, not as day-to-day data source. Options One option would be to store base10 significand and ...
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3answers
157 views

Calculation of weekly P/E ratio

The P/E-ratio is defined as $$ \frac{\text{Market value per share}}{\text{Earnings per share (EPS)}} $$ I have weekly observations of stock prices, but what measure should I use for EPS? Should it ...
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2answers
318 views

Explanatory variables for regression predicting weekly stock returns

In an empirical analysis I'm trying to predict log() weekly stock returns. I'm trying to model stock returns in a panel data model framework. As explanatory variables I have 1) a measure of investor ...
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1answer
518 views

backtesting with open, close, high and low

I am quite notice at the business of backtesting for an automated strategy. I was wondering, can I/should I use High and Low for this purpose? On one hand, the algorithm will see these prices, but on ...
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1answer
1k 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 ...
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1answer
36 views

Replication strategy of European call option

So the question asks: L et $S(0) = 120$ dollars, $u = 0.2$, $d = −0.1$ and $r = 0.1$. Consider a call option with strike price $X = 120$ dollars and exercise time $T = 2$. Find the option price and ...
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1answer
36 views

Trying to calculate WACC (Weighted Average Cost of Capital) for this (small) data set

I've attached the data set I'm working with to this post. I'm trying to calculate the WACC using this data. I found a formula here: ...
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1answer
85 views

Metastock end of day data to Python

I'm thinking of getting End of Day stock prices from Metastock, but was wondering if it would be possible to have Python to automatically extract the stock prices and store it in a SQL. Would that be ...
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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 ...
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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 ...
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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 ...
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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
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1answer
254 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 ...
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247 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 ...
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228 views

Downloading most recent stock prices

I would like to download (from Google) the most recent prices for a series of stocks. I have created a portfolio at Google and I can click on "Download to Spreadsheet". That works. But I would ...
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2answers
214 views

Calculation of price momentum using weekly price observations

In an empirical analysis I'm trying to predict stock returns using different firm characteristics. I would like to use price momentum as an explanatory variable, but I'm not quite sure how to ...
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1answer
42 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? ...
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2answers
64 views

Break down XIRR to different segments

Currently, I have the following transactions. ...
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1answer
77 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 ...
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1answer
98 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 ...
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2answers
135 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 ...
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1answer
146 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 ...
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3answers
202 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 ...
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1answer
1k 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 ...
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1answer
305 views

adjusted close prices on SP500

When I look at the adjusted close prices of SP500, for example, I notice that the numbers are always significantly below the actual closing. In the explanation of what adjusted prices are, one gets ...
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1answer
454 views

Where can I get real-time equity options quotes for a reasonable price (i am not a company) besides screen scrapping Yahoo! Finance? [duplicate]

Want to have electronic access to equity options quotes in real-time. Is there anyone offering this service to the individual investor for a reasonable price? Again it must be electronic, in other ...
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1answer
422 views

Non-intuitive correlation between S&P sector indexes and economic indicators

I am trying to understand how changes in economic indicators like Unemployment Rate, Inflation Rate, and Consumer Sentiment affect the portfolio values. For that I want to measure the correlation ...
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0answers
10 views

Exchange ratio (stock swap ratio) during a merger/acquisition

Good morning to all, The question is homework-related but I've done the research already. The task is to guesstimate how much money will a known company A pay if it wants to acquire the known company ...
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0answers
84 views

Yahoo historic intraday stock data via YQL (just like chart api)?

I know I can get historical intraday data (up 15 days) using chart api as follows ...
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0answers
46 views

Simulating stock price with Monte Carlo under uncertainity

I'm trying to perform Monte Carlo simulation in order to check to what extent target price derived from Discounted Cash Flow(DCF) model may be influenced by changes in variables which are: EUR ...
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2answers
150 views
0
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0answers
38 views

Min. Spanning Trees, Planar Maximally Filtered Graph US equities?

Does anyone know of any free source of recent or preferably regularly updated Minimum Spanning Trees, PMFGs or other similar maps for US equities? (S&P 500 will do.)
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26 views

Is NYSE Arca an exchange or an ECN?

the US Equities / stocks market seems to be the very complicated one. And I'm trying to understand what market participants it consists of, what their roles and functions are. Also, what I'm trying to ...
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35 views

How to form Decile Portfolios based on Liquidity measure with missing data in R

I have a dataframe with over 4000 companies data (as column) and have calculted their daily Quoted spread measure ( measures liquidity for each stock) for 15 years. And then from the daily have ...
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1answer
79 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 ...
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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 ...
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2answers
73 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 ...
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0answers
14 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 ...