For questions citing or requesting references to academic and/or professional research.
3
votes
0answers
60 views
Individual/casual investors and the bias towards blue-chip stocks?
There's quite a bit of research (example, [1]) teasing out the fact that home/casual/individual investors prefer stocks with large positive skewness. It surprised me, as I was reading a bunch of these ...
2
votes
3answers
275 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 ...
2
votes
2answers
452 views
Resequencing of MsgSeqNum in FIX 4.2
I am trying to achieve the following functionality using QuickFIX for FIX 4.2
Send a couple of orders and make sure they’re filled.
Then disconnect.
Change the incoming (from Broker) sequence number ...
2
votes
0answers
49 views
Event studies using revenue data vs. measuring abnormal returns
This may be a silly question, but does there exist a methodology for examining the impact of "events" on companies that are not publicly traded? I suppose it would look at abnormal revenues rather ...
2
votes
0answers
81 views
Good Environment, Social, and Governance Indicators to correlate with financial performance of PE
I am trying to see if there is a correlation between the Environment, Social, and Governance (ESG) performance and the financial performance of Private Equity (PE) funds.
Are there any suggestions ...
2
votes
0answers
217 views
What is an appropriate hedge ratio for hedging a credit instrument with equity of the same issuer?
Given a bond and a stock issued by the same issuer, what is the appropriate ratio of bond-to-stock one should hold in order to minimize the specific risk to that issuer? Equivalently, what is the ...
1
vote
1answer
227 views
What are the pros and cons of applying for a patent on a financial model or trading system?
I've never understood the purpose of patents in the financial industry.
What would be the pros and cons of applying for a patent on some financial model or trading system?
What would be the ...
1
vote
1answer
299 views
FIX Heartbeat message not sent
I am using FIX4.3 and QuickFIX/n v1.0.0 for its implementation.
I came across a situation where i had subscribed for Market Data and was successfully receiving Snapshot message then suddenly all ...
1
vote
1answer
674 views
Home/hobbyist quant trading - possible to profitable or just an intellectual hobby? [closed]
I've been researching algorithmic (non discretionary) trading at the several-day to month timescale, i.e. not HFT. I am not interested in voodoo i.e. no technical analysis, I am looking for solid ...
0
votes
1answer
364 views
S&P 500 P/E percentile
I am researching the past five year return for the securities in the top and bottom 10 percentile of the S&P 500 on date 5 years ago. I used Bloomberg to get this data. When I searched for the ...
0
votes
0answers
470 views
What is the current state of the algorithmic trading research? [closed]
Searching for 'algorithmic trading' through scholar.google.com reveals a large list of trading strategies, related on topics like the liquidity of markets, volatility modelling, volume modelling, the ...
0
votes
0answers
235 views
Calculate Enterprise Value from Pro Forma Financial Statements [closed]
Can I calculate the enterprise value of business from the pro forma financial statements submitted in SEC Form 10? If so, how?
-1
votes
1answer
322 views
Is it possible to “steal” financial data on publicly traded companies off the internet? Legally, I mean, what is the truth about “data” as a property
What constitutes "stealing" when it comes to publicly posted financial data?
I think there are three instances of this that we can individually vet:
a.) you physically broke into a location or ...
