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Singer and Terhaar original paper can be found at this link. They do not provide an explanation about how to estimate this factor and just mention that both values provide a boundary. The CFA curriculum mentions that " For example, it has been observed that developed market bonds & equities are approx 80% integrated and 20% segmented.", however the ...


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They won't be the same. If you run a discrete simulation you will get the actual (or an instance of an actual path) price process for the future value of the stock using the real probability measure. If you do the same thing using the closed form solution, the path will look very similar but will drift downwards. Why are they different? To see it ...


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The Technical Analysis of Financial markets is considered as a milestone of the matter. I suggest to read that before starting to test your strategy. It explains well the use of each indicator, providing the economic reason behind that and when it is useful to use that; moreover, the book deals the stock market with mainly, as you need for. In my humble ...


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Unless the counterparty specifically bought the swap, then at inception the swap had a 0 value, i.e. the spread is that value which equates the two legs. Of course, it's usually bumped up (bank receiving) or down (bank paying) as the trader's profit.


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A very reference can be found here: http://www.asiapacfinance.com/trading-strategies/technicalindicators


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The TA_lib Technical Analysis library here has open source code for numerous indicators.


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Apparently this company was traded OTC/Pink sheet (and was already dubious in 1988 see "Precision Imaging Corp" http://babel.hathitrust.org/cgi/pt?id=uiug.30112058759736;view=1up;seq=175). To my knowledge Compustat database doesn't have it neither. My next best guess is to try at your library in some old books like "Walker's Manual" or Moody's. And my last ...


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You need to take in to account the variation in return ( i.e. standard deviation) of the returns to get the VaR. Alternatively,you can simulate the total return using Excel as well and find the VaR accordingly.


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For starters, one can argue they provide a better fit to the distribution of asset returns than a Normal distribution simply because stable distributions allow for more degrees of freedom. I had a discussion with a very well-known financial mathematician on the subject of using stable distributions as the return process for derivatives pricing, and his ...


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It can be a couple things depending on what you are looking at: If you are looking at a single exchange's feed, it can be a Trade Message that isn't linked to any individual order ID. These can be things like block orders or off exchange orders that get reported to them. I usually ignore Trade messages when looking at intraday data. These are different from ...


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FYI, @Alpha13, if you are still following this, Quantopian, a retail algo platform just added share buy-back data to their data catalog. I'm not affiliated with the company, but thought it might help you: https://www.quantopian.com/posts/sneak-peek-using-a-quantopian-research-notebook-to-analyze-share-buyback-data


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The indexing business is very big, and is not cheap and easy for a small participant to enter it. Disseminating an index requires to pay the subscription to different data providers like Bloomberg, Reuters, Yahoo, etc plus having the right infrastructure in terms of systems, calculation of the index, your own company setup, etc If you are interested in ...



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