The price tag has no wiki summary.
9
votes
2answers
308 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 ...
8
votes
7answers
734 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 ...
6
votes
4answers
490 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 ...
3
votes
2answers
129 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 ...
2
votes
1answer
82 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
votes
0answers
119 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 ...
0
votes
0answers
52 views
What are reasonable bounds for historical Price to Earnings?
I am working with the US CRSP universe and have constructed a time series of monthly price-to-earnings back to the early 1960s. I have this for both individual securities as well as for portfolios ...
