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.

learn more… | top users | synonyms (4)

0
votes
0answers
13 views

Rblpapi-Getting different numbers than Bloomberg

I used the following code to pull day to day total returns (net dividends) from Bloomberg Terminal for a list of securities I have. When I compare my data using the GF function in Bloomberg, I am ...
4
votes
2answers
386 views

How to calculate probability of touching a take-profit without touching a stop-loss?

How to calculate probability of touching a take-profit without touching a stop-loss (no-dividend stock, infinite time)?
1
vote
1answer
45 views

Papers on temporary price impact

Can anyone recommend papers that model how long temporary price impact last when you buy / sell a trade? This would fall under the TCA realm (Trade Cost Analysis). Thank you.
0
votes
2answers
38 views

Valuation growth rate for perpetuity

What would be reasonable rates of return for the computation of perpetuity in firm valuation? I tend to google FMI's expected World GDP growth rate, but I can't always find results. Would someone ...
1
vote
0answers
33 views

Where can be found the tick size list for stocks traded in NASDAQ and NYSE?

Answering this question is relevant to assess the quality of a time series in order to observe whether the data vendor applies some rounding to the data or is more decimal are present than the actual ...
3
votes
3answers
382 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: ...
1
vote
1answer
192 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
votes
1answer
220 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 ...
1
vote
0answers
56 views

Stock market cash flow

I want to understand better cash flow of stock market and it's participants, but could not find any reasonable information online, hope more experienced people here could help. Money IN flow: (1)...
1
vote
2answers
84 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 ...
1
vote
2answers
130 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
votes
2answers
214 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 ...
25
votes
6answers
5k views

Machine Learning vs Regression and/or Why still use the latter?

I come from a different field (Machine learning/AI/data science), but aim to ask a philosophical question with the utmost respect: Why do quantitative financial analysts (analysts/traders/etc.) prefer ...
3
votes
1answer
44 views

How do I calculate Market Dividend Yield from this data?

Thanks for reading, I am trying to calculate the market dividend yield for this set of data. The authors define it as 'The market dividend yield (MDY) is the one-year dividend from the CRSP value-...
2
votes
3answers
123 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
vote
1answer
91 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 market....
1
vote
0answers
54 views

Backtesting Long/Short Market Neutral Z-Score Strategy with Custom Factors and Custom Stock Universe

So I've managed to backtest simple strategies, like MA, RSI and some fundamental ones (P/E ratios etc) but Im stuck at my last strategy. Here is some information: Tools: Excel and Python (also a ...
6
votes
1answer
54 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
votes
2answers
73 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?
1
vote
1answer
121 views

Modeling the Stock Market [closed]

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 ...
5
votes
1answer
143 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
vote
3answers
140 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 ...
0
votes
0answers
50 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 ...
1
vote
0answers
24 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 ...
1
vote
0answers
86 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. http://www....
0
votes
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) ...
2
votes
2answers
276 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 ...
0
votes
1answer
130 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 ...
3
votes
0answers
120 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 ...
1
vote
2answers
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 ...
2
votes
2answers
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, ...
0
votes
0answers
24 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
votes
3answers
558 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
votes
5answers
546 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 ...
0
votes
0answers
24 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 ...
5
votes
1answer
112 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: ...
1
vote
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
votes
0answers
45 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
votes
2answers
198 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
vote
1answer
57 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
votes
1answer
73 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
vote
0answers
37 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
vote
1answer
52 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
147 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
votes
3answers
230 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
votes
1answer
45 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: http://www.investopedia.com/ask/answers/063014/what-formula-...
14
votes
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
vote
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 ...