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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-1
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2answers
31 views

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

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 ...
9
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3answers
13k 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: ...
1
vote
3answers
126 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 ...
0
votes
1answer
25 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 ...
2
votes
2answers
77 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 ...
3
votes
2answers
595 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
0answers
21 views

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 ...
0
votes
0answers
18 views

How to understand the upward trend of currency hedged euro/japan equity ETF

The quantitative easing implemented in Euro zone & in Japan has resulted in two outcomes Massive inflow of money into market that raised the stock index, and The weakening of euro/yen compared ...
0
votes
1answer
46 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 ...
1
vote
1answer
156 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, ...
0
votes
2answers
111 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. ...
1
vote
3answers
82 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, ...
1
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1answer
583 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
39 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 ...
31
votes
7answers
2k views

Lévy alpha-stable distribution and modelling of stock prices.

Since Mandelbrot, Fama and others have performed seminal work on the topic, it has been suspected that stock price fluctuations can be more appropriately modeled using Lévy alpha-stable distrbutions ...
2
votes
0answers
42 views

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. ...
1
vote
3answers
127 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 ...
0
votes
1answer
130 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 ...
2
votes
2answers
238 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 ...
1
vote
0answers
27 views

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: ...
1
vote
0answers
53 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 ...
1
vote
1answer
72 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 ...
2
votes
1answer
11k views

How to calculate equally weighted market portfolio

There's two studies that test the same thing in different markets (i.e. they apply the identical methodology). They state: 1) "$R_{mt}$ is the equally weighted average stock return in the dual-listed ...
2
votes
0answers
95 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 ...
1
vote
1answer
46 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 ...
2
votes
2answers
240 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
votes
3answers
135 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 ...
9
votes
3answers
2k views

How to get list of all CUSIPS/ISIN?

I want a list of all CUSIPs/ISINs. It would be nice if they were also categorized (e.g. Bonds/Funds etc). Where can I get such a data?
1
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0answers
15 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 ...
0
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2answers
139 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 ...
2
votes
2answers
117 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 ...
0
votes
2answers
200 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 ...
1
vote
1answer
39 views

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, ...
0
votes
2answers
138 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 ...
0
votes
2answers
157 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 ...
4
votes
0answers
156 views

ERP and FF 3-factor model

In a more conservative estimate than a simple historical average, Fama & French estimate (US) equity risk premium at 3-4% (e.g., Equity Risk Premium, JF, 2002). This suggests that in an APT-like ...
0
votes
2answers
155 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
votes
3answers
584 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 ...
4
votes
1answer
133 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 ...
1
vote
1answer
65 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 $S$ ...
1
vote
1answer
504 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
vote
0answers
76 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 ...
1
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2answers
3k 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 ...
0
votes
2answers
104 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
531 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
votes
0answers
54 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 ...
19
votes
9answers
8k 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
255 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
votes
0answers
56 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
votes
1answer
56 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 ...