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25 views

Where can I find historical P/E values of Russell 2000 Value and Russell 2000 Growth index?

I have no problems finding the current values, but historical (ie yearly) is harder and even my commercial databases have failed. Only need the last ~15 years or so, and yearly is enough. Do any one ...
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3answers
77 views

What is the difference between market equilibrium and market efficiency? equilibrium implies efficiency?

The market efficiency hypothesis means securities are traded at their fair price. If the market is at the equilibrium, does it mean the market is efficiency? If equilibrium cannot implies ...
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2answers
79 views

Why is volume a totally independent variable from price?

In Martin Pring's book "Technical analysis explained", when talking about volume, he asserts that it is "a totally independent variable from price" Why is this?
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0answers
45 views

Why do leveraged and inverse leveraged WTI ETNs have this price relationship?

UWTI: 3x leveraged exposure to WTI DWTI: 3x leveraged inverse exposure to WTI The inverse relationship between these two symbols seems to trend toward the origin on a log-log plot (using log base ...
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0answers
50 views

Calculating Asset Returns

The question pertains to a simple phenomenon. There is gold futures listed on Exchange A and Exchange B. Exchange A and Exchange B overlap times with A and B starting 8 hours later and A and B ...
2
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1answer
81 views

Quick way to extrapolate call price as function of strike

Let's say I know the price of a call for two different values of strike. Is there a quick way to guess the price for another value of strike ? Actually, I know that C(100)=15 and C(90)=20 and I have ...
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0answers
6 views

Finding the price of an option that will be exercised [duplicate]

I am reposting this question because it was originally unclear, and I didn't get the answers I was hoping for. In my finance book I have the following question T-bills currently yield 5.5 percent. ...
0
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1answer
101 views

How to forecast bond price with time series

I have the goal of being able to develop a model that can forecast the future prices of european government bond (or other private bonds), particularly from the historical prices and returns of the ...
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0answers
53 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: ...
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1answer
64 views

Proving there exists no arbitrage opportunities given 3 states and 2 assets

Assume there are 3 states of the world: w1, w2, and w3. Assume there are two assets: a risk-free asset returning Rf in each state, and a risky asset with Return R1 in state w1, R2 in state w2, and R3 ...
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1answer
49 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 ...
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1answer
38 views

Differential equation involving bond price and forward rate

Given forward rate f(t,T) and bond price P(t,T) where $f(t,T) = - \frac{\partial}{\partial T} \ln P(t,T)$, $P(T,T) = 1 = P(t,t)$, T>0 and $t \in [0,T]$ Does it follow that $P(t,T) = ...
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0answers
25 views

price engine configuration [closed]

My question is about forming market data which is received from the LPs. Some tools work with these parameters: min spread, max spread, bid spread, ask spread. If current spread < min spread or ...
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0answers
53 views

For futures contracts, do we need to do price adjustment during live testing?

I am trying to do pair trading on a pair of future contracts, e.g. CME gold and silver. During the training of my trading model, I do forward adjustment on the pair of future contracts. Let the ...
0
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1answer
118 views

Difference in weekly and monthly data

I am confused about the following: I checked daily and weekly prices for Exxon (and also GE). But the values for Open, Low, High, Close, Vol., Adj. Close for both data streams seem to differ from each ...
0
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1answer
200 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 ...
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2answers
95 views

Art market specificities

I am looking for some reference on the art market in light of quantitative finance. I am interested in some things: The market in general, how is it compared to financial market ? What about common ...
1
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1answer
549 views

Probability of stock closing over a certain price

A stock has beta of 2.0 and stock specific daily volatility of 0.02. Suppose that yesterday's closing price was 100 and today the market goes up by 1%. What's the probability of today's closing price ...
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2answers
131 views

How current prices is formulated in markets?

I can't understand how immediate prices are formulated in stock & currency (Forex) markets. I have been informed that every tick means one new deal that closed in current price, but this can't be ...
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0answers
108 views

Option payoffs and replicating payoffs

I've come across the below question which has no answers to it and I was hoping someone could provide some help. I know it quite a long question and I appreciate any help with this. An investment ...
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1answer
50 views

What does “percent of change” mean? [closed]

Whenever a price is changed, you can find the percent of increase or the percent of decrease by using the following formula: $$\frac{\text{percent of change}}{100}=\frac{\text{change in ...
0
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1answer
183 views

Calculating the Sum of Squared Deviations between two Normalized Price Series

How can I calculate the sum of square deviations between two normalized price series according to (Gatev et. co 2006)? My normalized price series of stocks $X$ and $Y$ consist of the cumulative total ...
0
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1answer
534 views

Determine state price vectors?

I have 3 states with two assets, stocks and bonds. The bond has a payoff of 1 in every state of the world. And the stock has a current price of $S_0 = 100$ and ...
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2answers
161 views

How to simulate one-minute bars data from one-day bars?

I need to generate one-minute bars out of one-day bars to test the performance of an algorithm (speed, memory usage, etc). I don't need them to resemble real data, but they should be consistent with ...
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4answers
994 views

Threshold calculation for buying a mean-reverting asset

I am trying to figure-out an optimal policy for buying a unit when its price follows a mean-reverting price process (Ornstein–Uhlenbeck), when I have a finite time deadline for buying the unit. I ...
2
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1answer
230 views

In Yahoo! Finance, what determines the number of decimals for a stock/index quote?

In Yahoo! Finance, we see the following quotes among others: ...
2
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0answers
129 views

Calculating stock weight for SEC13F filers

I am trying to evaluate weight of stocks in portfolio for an investor. For this purpose I use SEC13F filings for particular quarters and historical prices from Yahoo. There are stocks in portfolio ...
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2answers
362 views

local price return and volume relationship

I wanted to see how the stock price and volume relationship is locally. So I tried ranking both the daily return (at day t) and volume (at day t) base on a 30 day rolling window with historical daily ...
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8answers
2k views

Has spectrum analysis ever been used successfully to analyse historical price data?

Spectrum analysis is often used to analyse waveforms. A common configuration, for example, is to create a graph where X is time, Y is frequency, and the brightness of each position represents ...