Hot answers tagged equities
3
Your first definition is wrong; I'm not sure where you got that from. Your second definition is correct: the ISO alerts the exchange that the submitting party has taken responsibility for RegNMS and requests a fill at only that venue's price; there is no routing away. Obviously, there is a huge red-tape burden to get permission to do this.
1
I'm currently also using daily returns which I want to annualize. This is my approach:
For every month, I calculate the simple return using the formula: (end-of-month closing price / beginning-of-month closing price) - 1.
I use the Excel formula somproduct(geomean(A1:A12+1)-1) to find the monthly compounded return.
Finally, I annualize the result of step 2 ...
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