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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3
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1answer
31 views

Historical Financial Statement to Backtest in R

I would like to preface this by saying I am preparing for an upcoming internship this summer so I am extremely new to Quant Finance. At my university we have access to Datastream by Thomson Reuters ...
0
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0answers
9 views

Overnight charges for brokers holding stocks [migrated]

I'm trying to learn about stock markets. I eventually want to invest a small amount over a long period. I notice on a lot of broker sites they charge an overnight fee for any stock held over night. I ...
1
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1answer
40 views

What are the units of the variables appearing in a standard stochastic differential equation for a Wiener process?

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 $S$ ...
3
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2answers
453 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 ...
0
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1answer
78 views

Share Repurchase and Bid ask Spread data

I am doing a Quantitative Finance PhD and would like some insight on data collection. I'm looking for open market share repurchase data (UK) over the past 2-3 decades. Simultaneously, their bid-ask ...
1
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1answer
390 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 ...
0
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2answers
105 views

List of dates at which the NYSE was closed from 2005 to 2014?

I'm doing research on historical price movements on the New York Stock Exchange. Because the NYSE is closed on weekends, on holidays, and sometimes because of special events, special care needs to be ...
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0answers
65 views

Review of Excel Stock Simulator

I am currently a senior in high school and I built a stock simulator using knowledge gained from a semester of AP Statistics. I was wondering if someone could tell me if my simulation is ...
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2answers
2k views

How to normalize stock data

Please advise how can i normalize stock prices. Recently, I've been using such formulas: Log prices = Ln(Close(t)) Close(t)-Mean (Close(t)-Mean)/(StdDev) Ln(Close(t))-Mean Is there any other ...
6
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2answers
10k 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
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1answer
36 views

Get market cap by ticker on 1.7.2013?

I have a list of all S&P500 tickers, e.g. AAPL, GOOG, JPM. I would like to get their market cap on 1.7.2013 (I don't have Bloomberg, only free internet). Is there an excel addin or other ...
1
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2answers
163 views

Locked or Crossed Markets

I don't understand why Rule 610 from Reg NMS was introduced: what was the problem with locked markets? I have read that one of the issues is that it forced a market maker (say, from Nasdaq) who ...
0
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3answers
86 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 ...
6
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3answers
525 views

Testing the validity of a factor model for stock returns

Consider the following m regression equation system: $$r^i = X^i \beta^i + \epsilon^i \;\;\; \text{for} \;i=1,2,3,..,n$$ where $r^i$ is a $(T\times 1)$ vector of the T observations of the dependent ...
0
votes
2answers
73 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 ...
5
votes
3answers
311 views

Why are interest rates and stock prices positively correlated?

If I've been looking at graphs correctly, there is a strong positive correlation between stock prices (or P/B values) and interest rates over time, i.e. P/B values tend to be high when interest rates ...
0
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0answers
41 views

risk report factor exposures calculations

I am looking at a risk report which I have inherited. There are 5 lines of code that I want to make sure I understand. The risk report breaks down the exposures, contribution to variance and marginal ...
18
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9answers
7k views

Any known bugs with Yahoo Finance adjusted close data ?

Yahoo Finance allows you to download tables of their daily historical stock price data. The data includes an adjusted closing price that I thought I might use to calculate daily log returns as a ...
3
votes
2answers
213 views

Validity of CAPM

I came across some literature regarding "Framing Theory" or "Prospect Theory", and the validity of CAPM. I was wondering if you could shed some light on a few questions I have in this regard: ...
2
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0answers
50 views

seasonality and generalized additive model

I am reading a report which talks about seasonality. There is a chart showing the average returns for each month of the year. In the chart it appears the last 3 months of the year tend to be negative. ...
0
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1answer
48 views

finding the strike / maturity of warrants given their ISINs

I have a list of French traded warrants identified by their ISINs. I do not know, however, to which stock they refer and what is their strike/maturity. Which datasets allow me to retrieve this ...
0
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1answer
124 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 ...
6
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3answers
5k 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 ...
2
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3answers
174 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
votes
1answer
174 views

Why most of apple stock price since 10years have been gained overnight?

I've been playing with stock data and I've discovered a terrible truth : in 10 years apple stock price passed from roughly 3\$ to 100$. However this gain isn't due to intraday price variation ...
5
votes
3answers
1k 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 ...
0
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3answers
109 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 ...
2
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1answer
132 views

Predicting stock returns - in a panel data specification or by using portfolio formation strategies?

I'm working on an empirical analysis where I try to predict stock returns using weekly data. Ideally, I would like to use a panel data model like the following: $$ ...
0
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2answers
145 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 ...
3
votes
3answers
310 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 ...
0
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2answers
92 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 ...
2
votes
2answers
244 views

How to classify stocks by their volatility?

I would like to hear other possible ways of classifying Stocks by the Volatility of their returns. Assuming that I want to characterize each stock as Low, Medium or High Volatility Stock and assuming ...
1
vote
2answers
172 views

M&A hedging an equity portfolio against an index

Quick Note This question was already posted under the userID user8170. Reason being I could not access my account. Now I am able to login to my account I am reposting the question here and will ...
20
votes
8answers
2k views

How to design a custom equity backtester?

I was thinking about writing my own backtester and I realize I have to make some assumptions. So I was hoping I could post what I am planning on doing and hopefully some of you can give me some ideas ...
1
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1answer
66 views

ADR vs Foriegn Stock Price Arbitraguers

So I am sure you all know about the whole Argentina default that has been in the papers lately, no need to delve into it. This so called "technical" default has lead some interesting investment ...
4
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1answer
168 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 ...
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0answers
65 views

Asset true price determination, quoted on 2 exchanges

There is a stock that is quoted on 2 exchanges and I'm thinking about ideal (from market micro structure point) method for calculate true value of that asset. Assuming that venue with volume traded ...
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2answers
157 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 ...
0
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0answers
75 views

hedging an equity portfolio against an index

I am trying to run a simple back test on a M&A strategy. The idea is to buy the target company for the length of the deal and obviously hope to see a profit. The weight given to each deal is ...
4
votes
3answers
215 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 ...
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0answers
61 views

Why would a 9% dividend payment halve the stock price? [closed]

I am trying to understand why a stock experienced a very drastic drop in price. The only event linked to the drop seems to be payment of an unusually big dividend; however its effect on the price ...
0
votes
3answers
197 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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2answers
187 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.
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2answers
335 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
vote
1answer
76 views

Why doesn't VG flatten volatility skew for short term options?

The VG process, from my inexpert point-of-view, seems to nearly perfectly model equity distributions. For longer term options, there is little to no volatility, skewness, or kurtosis parameter skew. ...
6
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2answers
272 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 ...
4
votes
4answers
281 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 ...
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1answer
56 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 ...
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1answer
113 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 ...
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1answer
120 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 ...