# Tag Info

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 ...

4

Art markets typically have huge transaction costs of the order of 10%, caused by buyers premium and auction fees. Therefore long holding periods are unavoidable, with long-term returns somewhere between those of bonds and equities. By its very nature, art is not easily replicated so arbitrage or derivatives are out. The rationality of agents (aka collectors) ...

4

Usually stockreturns $R$ are assumed normally distributed. If market goes up 1%, the expected stockreturn is $R=\beta\cdot0.01=0.02$ (since $\beta$ being the senstivity to market). Stockprice from $100$ over $103$ requires at least $103/100-1=0.03$ return $R$. As we have now from the question $\sigma=0.02$ and $\mu=0.02$, with $R\sim N(\mu,\sigma)$ we ...

3

This mean that the reason why apple stock price went from 3 to 100 in 10years is the overnight variation in price. This is quite unexpected, if there was no overnight variation the stock price would have died a long time ago... Why is that ? Have we been lying to us ? This is because many business and financial news are reported at market close, either ...

3

I would say the financial- and the art market is very different, only the roots of the market / auctions is the same. As the art market is unique and very illiquid, alot of the strategies from the modern financial market simply does not apply. I have been building (and still maintains) a toolbox of models, which mostly try to find trends based on multiple ...

2

The upper bound for the 80 call is C(90) + 10, or 30. At least assuming no arbitrage. Let's start by assuming the risk-free rate is 0 (this isn't a problem, but the math is clearer without it), so we don't have to discount the price. Then, the call price is given by $C(K) = E_t[(S_T - K)^+]$, which gives: \begin{array} \$C(K - 10) &= E_t[max(S_T - (K - ...

1

This is a very broad question and a large number of issues have been discussed in the literature. As such, it's hard to give specific advice except that it is better to model returns instead of prices directly. What I would do if I were you: Read some of the available literature to get a good overview. This is an interesting paper but many more exist. ...

1

A unique state price vector does not have to exist for there to be no arbitrage. It sounds like the state price vector in question has infinitely many solutions. Try to reduce the price matrix to row echelon form and show that at least one state price vector exists.

1

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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