Hot answers tagged

5

Pring was (probably) simply referring to the fact that most indicators are function of price -- lots of different ways to twist and contort prices to define trends, reversal points, etc. Volume is another parameter entirely, as it doesn't depend on price; the market or share price can have an up day on average, high, or low volume, it can have a down day on ...


3

Since you're asking on a quant finance forum, the mathematical approach would be Decide on a model that the stock price follows, and Compute the expected value of the price, conditional on the most recent price. A famous model, made ubiquitous by Black, Scholes and Merton, is a geometric Brownian motion. Under this model, the stock price $S_T$ at time ...


3

Why not just use Geometric Mean Returns? Each time you buy/sell an ETF calculate the holding period return as a percentage and plug into the formula. The answer is a percentage that you can use to calculate the approximate money appreciation (or loss) against your "fixed notional"


1

Whenever you are looking to estimate total return, you would use adjusted closing prices. If you are strictly looking for the future stock price, you would use unadjusted closing price. I assume, though, that you are looking to predict the value of holding a stock during a given period, so you would want to use adjusted prices. The only time I've used actual ...


1

The average would be called the mid-price, not the best in my opinion, but that depends on your modeling. Another strategy is to weight the bid and offer prices according to size, also called the micro-price or bid-offer weighted price. This has the advantage of moving your calculated price closer to where it is traded as volume is depleted from whatever ...


1

You are mostly right, I don't really get what you don't understand. The answer in the book is quite clear, but let me put it that way : Selling a put and buying a call on the same underlying $S$ with same maturity and same stike $K$ is always equivalent to a long position in a forward contract on $S$ with delivery price $K$. The easiest way to see that is ...


1

To start, it very much depends on your outlook. Do you believe that the future price movement is independent of previous price movement? If so you probably wouldn't look for trending or consolidating markets (it would be entirely random). On the other hand, maybe you have a fractal view of the market (search for fractional Brownian motion, regime switching ...


1

Read paper written by Malkiel, "The Efficient Market Hypothesis and Its Critics". It is wonderful paper on EMH. http://eml.berkeley.edu/~craine/EconH195/Fall_14/webpage/Malkiel_Efficient%20Mkts.pdf It will help you to gain conceptual clarity in EMH.


1

Market is efficient when all available public information gets priced-in relatively fast by market participants. This yields the fair price. Efficiency depends on the speed of the information dissemination. Equilibrium is a balance between supply and demand, which can be skewed by short term liquidity issues. So market can be efficient and not in equilibrium ...



Only top voted, non community-wiki answers of a minimum length are eligible