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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1answer
75 views

Modeling the Stock Market

Hi I was wondering what is the model that best describes the price movement of the stock market? A Brownian motion Process with drift? An Ornstein Uhlenbeck_process? (where the long term mean ...
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0answers
41 views

Physical interpretation of variance in returns in a portfolio design

I have a downloaded the log-returns at successive times of 98 stocks from S&P index over 753 days. I calculated the total daily return according to the formula 1 below, where ...
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0answers
9 views

what is earnings correlation with eps and revenue? [closed]

what does negative eps mean for a stock price ? what does negatve revenue mean for a stock price ? Is having both negativem doubly bad for the stock ?
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0answers
23 views

Can an order be filled but uncommitted?

Let's say I place an order to buy shares. Let's says uncommitted shares are those not actively working with other destinations or brokers, and committed shares are those actively working but yet ...
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0answers
64 views

Update Daily price from yahoo in R

I am trying to update daily prices from yahoo via below R code, but code is not working properly and i am not getting any error as such. One can see the reference code at following link. ...
1
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1answer
167 views

Robust way to calculate P&L for stocks/futures trading

I have implemented a class in C# that will calculate P&L based on this description from TT. However it worries me that it gives different results for the same fills, if you apply the "fill ...
3
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1answer
201 views

Clever ways of “summarising” the equity fund universe

I am trying to get some advice or direction (brainstorm) as to the best way to summarise/cluster/etc. the equity fund universe (which for my purposes consists of about 150 funds). Some of my ideas at ...
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2answers
80 views

Which proxies to user for investor sentiment and industry performance, and where to find the data?

I came up with the idea of dealing with investor's sentiment effect in stock market in my thesis. I would like to know which proxies you would suggest to use as sentiment index and from which source ...
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0answers
13 views

Do smaller horizons better estimate volatility for longer horizons than the longer horizons?

Suppose you want an estimate of the 20 day return variance. You could grab historical lagging 20 day windows to build an estimate, or you could build 10 day lagging windows (twice as many data points) ...
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2answers
236 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 ...
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1answer
119 views

Do you think this strategy will work?

I have been playing with paper trading and am planning on getting into the real stock market soon, but I want to make sure my strategy is realistic before I put real money on it. I made a program ...
0
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1answer
62 views

accuracy of Yahoo Finance stock data (Python module)

I am using the yahoo finance python module: https://pypi.python.org/pypi/yahoo-finance I am using it for a project and would like to see if anybody else uses data from this source and can vouch for ...
2
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2answers
201 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 ...
3
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0answers
115 views

Common, practical methods to calculate fair value of a stock?

What are some common methods in determining fair value of a stock, from market data only, in real-time, as close to instantaneous as possible? The kind of pricing that algorithmic trading engines ...
2
votes
3answers
105 views

List of TSX stocks with their sector and industry

Is there a website that offers free download or API where I can get an up-to-date list of all securities listed on the TSX along with their sector/industry? I could scrape individual screens for each ...
1
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1answer
77 views

Is it possible to download stock-data countrywise with quantmod package for R?

Is it possible to download stock-data countrywise with quantmod package for R ? Hi, I'm wondering if it's possible to download equities countrywise. Let's say i want all data from the Finnish ...
6
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1answer
41 views

Where to get Tobin's Q by country

I am trying to rank countries based on Tobin's Q ratio. US data can be easily gathered from FED's report and is available on multiple website. I want get data on other countries with high Index of ...
0
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1answer
52 views

trading equities on options feed/microstructure data

Obviously, not asking for a trading strategy, but do people successfully use options feed/microstructure data to trade equities intraday? What's the general framework for such strategies?
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2answers
281 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
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2answers
254 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, ...
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0answers
22 views

Why do people use weighted regression with returns?

For example, by ADV. Intuitively it makes sense that a very liquid high ADV stock should carry more weight, but when I try it with some real life data I get higher standard error than unweighted...is ...
4
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1answer
136 views

Execution quality for illiquid securities

The SEC's execution quality statistics measurements (Rule 605) arguably does a poor job at measuring the execution quality of ...
1
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2answers
113 views

What does a negative stock amount mean in a single-period, binomial market model?

Consider a single-period, binomial market model with a $r > 0$ interest rate (in USD per period) and a portfolio $(x, y)$ consisting of two assets: a savings/lendings account and a stock, both ...
4
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3answers
555 views

Why should there be an equity risk premium?

After years of mathematical finance I am still not satisfied with the idea of a risk premium in the case of stocks. I agree that (often) there is a premium for long dated bonds, illiquid bonds or ...
6
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5answers
447 views

Thoughts on how quantitative hedge funds use machine learning to invest in the stock market (algorithms, examples of data, etc.)

I believe there are several post on this general topic but I thought I would start my own thread. I'm a former fundamental hedge fund investor (i.e. modeling a company's financials, forecasting the ...
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0answers
18 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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1answer
99 views

Bloomberg & R: Accessing multiple securities with getBars() in R

I am attempting to access 1 minute trade data for 50 securities using Bloomberg API (rblpapi). Following is the code I got from the CRAN: ...
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1answer
34 views

Who/What is a promoter of a company?

As Investopedia defines it: A promoter is an individual or company that, for a fee, helps raise money for some type of investment activity. Most often, promoters raise money for a company through ...
2
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0answers
44 views

Capital increase: which stock price to use as input to Black-Scholes formula?

For an exercise we have to calculate the theoretical value of a scrip / preferential right on its issue day (23 April) in the context of a capital increase. The scrips are issued on 23 April. The ...
3
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2answers
173 views

Which Database (MySql or NoSQL) for a Stock market App

I'm re-creating an app for Stockmarket Screening & Realtime charting Display. The database wireframe which i propose to design is as follows: 1. Company master - Where all the information of ...
1
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1answer
55 views

Put-on-call option confusion

So the question asks: Given a 3-steps Binomial Tree model with $S(0) = 50$, $U = 20%,D = 􀀀20%$, and $R = 5%$. A European call option has the strike price $X = 40$ and maturity time $T = 3$. Also, a ...
0
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1answer
60 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 ...
3
votes
1answer
56 views

Value measures other than P/B

Price-to-book is a very well-studied value measure. What research is there on non-P/B value measures? I came across a handful used by AQR (Sales/EV, Cash flow/EV, E/P, Forecasted Earnings/Price) but ...
1
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0answers
35 views

What is a good statistical test on stock prices to indicate a company's value has changed?

My current test is to take monthly proportional price changes for stock XYZ and subtract out the proportional changes of the S&P500. Then compare the mean of a sample of XYZ-S&P (e.g. trailing ...
1
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1answer
51 views

Potential Arbitrage profit or proof problem

So the question asks: Consider 4 following European call and put options with the same maturity time: Call option with strike price $100$ sell for $45$ Call option with strike price $110$ sell for ...
2
votes
2answers
139 views

Normalizing SPY ETF time series data with its sector ETFs?

I am looking to compare the returns of a sector rotation strategy between the various SPDR sector ETFs XLY, XLP, XLE, XLF, XLV, XLI, XLB, XLK, XLU vs. ...
8
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3answers
223 views

Why is volatility said to be persistent?

Persistence in volatility of stock returns is one of the common 'stylized facts' when it comes to analyzing time series. However, I am wondering for theoretical arguments why (estimated) volatility ...
0
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1answer
42 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: ...
14
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4answers
6k views

Free intra-day equity data source

Are there any free data source for historical US equity data? Yahoo finance has daily prices but I'm looking for something more granular and goes back 2 or more years (doesn't have to be close to tick ...
1
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0answers
53 views

How to choose the stock exchange to trade a stock?

Let's take an example : Hewlett Packard. The company is listed on both Nasdaq and Nyse. Correct me if I am wrong but as we can trade it on 2 different stock exchanges the price of the stock may ...
3
votes
4answers
260 views

How would you try to predict the future behaviour of a stock price?

How does one answer this potential interview question? It's not a very clear question since there are clearly many factors. My first guess would be to talk about looking at the expected (mean) return ...
0
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1answer
66 views

Stock valuation/stock pitch and CAPM

If you were valuing a stock (say to pitch a stock for the buy side), you are looking for stocks that the market has mispriced. Your aim is to have a profitable long or short strategy. Can you use the ...
3
votes
2answers
110 views

Variance of a Stock price and relationship with volatility

A bit of background. I know that the forward price of a stock (or its expected price) is given by $\mathbb{E}[S_T]=S_te^{(r-q)(T-t)}$. Here, $r$ and $q$ are not constant, but follow a curve. I was ...
2
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0answers
30 views

What is a standard model of convergence when looking at negative stub values?

I am trying to understand whether or not there is a standard model of convergence in the arbitrage scenario of negative stub models, i.e. when the market value of a company is valued less than its ...
4
votes
7answers
445 views

How is this financial product called?

I have only basic limited knowledge about financial derivatives and I did not find exactly what I was searching for. I found open end turbo call, knock outs, but I am searching for this: Underlying ...
11
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4answers
743 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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0answers
101 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
52 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 ...
0
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1answer
92 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 ...