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26 views

Academic definition of portfolio turnover

I'm looking for an academic reference on how compute the standard portfolio turnover used in finance. I found a definition by Barroso and Santa-Clara, however their definition is based on both the ...
118 views

Price of call/put is convex in $K$ (strike price)

Let $\lambda\in(0,1)$. Then $$C(T, \lambda K_1 + (1 - \lambda)K_2, S, t) \leq \lambda C(T, K_1, S, t) + (1 - \lambda)C(T, K_2, S, t)$$ $T$ - the maturity $K_1$,$K_2$ - Strike prices $S$ - stock ...
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American call and put prices, increasing in maturity

Show that American call and put prices are increasing in maturity $T$. Does this mean I need to show that as $T$ increases than the American call and put prices increase as well? If so, how do I go ...
90 views

Generating financial data

I am trying to generate monthly stock data using a one-factor model: $$R_{a,t} = \alpha + BR_{b,t}+\epsilon_{t}$$ The description says: $R_{a,t}$ is the excess asset returns vector, $\alpha$ is the ...
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What is the difference between book value per share (BVPS) and earning per share(EPS)? [closed]

Hi I was reading about book value of a company and the book value per share and couldn't figure out the difference between book value per share and earning per share. Are the two even related?
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Are PX_BID and PX_ASK on Bloomberg closing bid/ask? or are they daily averaged?

Bloomberg provides PX_BID and PX_ASK on a daily basis, but it's not clear exactly where these numbers come from. Are they closing bid and ask prices, or are they averaged over the entire day? For ...
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How does Fed Qe affect the housing sales in the US? Why does it happen to be that way?

From my research, Fed's Qe should encourage house sales, however the graph shows houses price in the state seem to gradually go down after 2009. Isn't that contradicting itself? Ain't the increase in ...
32 views

a paylater option has the folowing payoff: $(S_{T}-K)_{+}-P1_{S_{T}>K}$. To determine the fee P that the option holder must pay, we must write the non arbitrage condition. Why is it this: $E_{Q}[(... 3answers 258 views Best known performance of stock prediction algorithms I asked this question here and was directed to answer it on this stack exchange. My question is very simple. What is the best [known] performance of a stock prediction algorithm? I've seen papers ... 1answer 45 views Negative risk neutral probabilities economic argument We know of plenty ways to extract risk neutral distirbutions from option prices (for example Breeden Litzberger) but there is no real analysis on how to interpret negative state prices (Haug 2007 for ... 0answers 27 views Find all possible permutations of asset weights in a given portfolio? I need to find all possible asset weight combinations for an 8 asset portfolio. Each weight is a multiple of 10 (0, 0.1, 0.2, 0.3, 0.4, 0.5, 0.6, 0.7, 0.8, 0.9, 1) Some assets can be weighted with ... 1answer 79 views Duration vs. Convexity Contradiction A lower coupon bond exhibits higher duration, which means higher price volatility with changing YTM. A lower coupon bond also exhibits higher convexity. However, with higher convexity, bond prices ... 0answers 36 views What do you think of refining and testing your strategy over the same period What do you think of refining and testing your trading strategy over the same 2 years? Is it good to do this, or is it not? 0answers 114 views How to calculate break-even point of merged plant/company? The question goes like this : ... 1answer 80 views What is more likely effect to call and put prices, respectively, if the stock price decreases by$1?

The current stock price is \$80.Call ,and ,put, options, with ,exercise ,prices, of$50 and 3 days to maturity are currently trading. What is more likely effect to call and put prices, respectively, ...
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Cost of revenue vs SG&A [closed]

How do cost of revenue and SG&A compare (across industries)? For cost of revenue, one definition is "the cost of manufacturing and delivering a product or service". Assuming my product is beer, ...
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Difference between stochastic calculus and newton calculus

As I am not a student of hard core mathematics,I just want to know how stochastic calculus is different from newton calculus. What make stochastic calculus different from simple newton calculus ?
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where to get shares trading info [closed]

I have no idea about finances, trading and other things. But very interested in passive long term income. I've read many things about how cheap was microsoft, google, facebook shares in the past. ...
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Finding a stock traded at two venues

For a project of mine I need to find a stock that is traded on two venues, e.g. NYSE and NASDAQ, but could be others. So I ...
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how negative rates (mr and rf) affect CAPM

I don't understand how the negative rates factor into this and what it means in the market ...
6k views

data on historical stock price of bankrupt companies

does anybody know a site where I can download historical data on stocks including companies that have gone bankrupt such as lehman brothers? it appears that bankrupt companies no longer appear in the ...
33 views

Aggregating growth rates

I'm working on a simple forecast model that uses Cumulative Annual Growth Rate (CAGR) to project future growth, and I've run into an apparent paradox. The model includes multiple lines of business ...
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How to user GARCH(p,q) to identify most volatile sector?

I would like to ask help concerning the utilization of GARCH(p,q) models to identify volatility. Suppose that I have daily closing prices of 6 financial sectors spanning several years, and I am ...
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Ledoit-Wolf Shrinkage estimator not giving positive definite covariance matrix

I used ten year daily data for 407 stocks and computed the daily and monthly covariance matrices. Since I have more variables than observations for the monthly matrix, I wasn't surprised to find the ...
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Want to understand the links and relationship between all the risk metrics?

For Example : if Risk weighted asset (RWA) increased or decreased this month, which other risk metrics could have influenced RWA to increase or decrease. Also in different situations like, upward ...
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Calculate and compare IRR among products and companies

I am trying to calculate return on investment for a couple of companies and their respective products. I have two main products: credit card installment loan Owners would like to be able to ...
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Shrinkage Estimator giving unrealistic portfolio variances

I have a historical covariance matrix which is invertible for daily and monthly returns. I used the Ledoit,Wolf shrinkage estimator for the covariance matrix and now I get really small portfolio ...
168 views

Yahoo finance, interactive chart and historical prices are different

I am very new to the stocks. I checked the TNTE.AS stock on Yahoo Finance website. Here it provides "Interactive Chart" and "Historical Prices". But I found they are showing different values. For ...
935 views

Change periodicity on Rblpapi

So Dirk Eddelbuettel, Whit Armstrong, and John Laing released Rblpapi to CRAN recently, and it is awesome. I'm having some difficulty understanding how the overrides work though, hopefully someone can ...
94 views

GARCH estimation does not work, error in my returns?

Hey everyone and I hope that there are some smarter people out here that can help me out with my problem...: I have trouble with my implementation of a GARCH(1,1) model and I do not know how to move ...
51 views

where can I get the intraday data for S&P 500

I am trying to analysis the price of S&P 500 during the flash crash in 2010. Where can I get the data?
I want to prove Determine the coupon rate $r$, such that the price of the bond, at $T_0$, equals its face value
Consider a coupon bond, starting at $T_{0}$ , with face value $K$, coupon payments at $T_1, . . . , T_n$ and a fixed coupon rate $r$. Determine the coupon rate $r$, such that the price of the bond, at ...