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| bio | website | |
|---|---|---|
| location | London, United Kingdom | |
| age | 35 | |
| visits | member for | 1 year |
| seen | May 22 at 16:48 | |
| stats | profile views | 18 |
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May 2 |
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How to determine ratios for mean-reverting basket You generally regress returns, not prices... |
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Apr 18 |
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how do you evaluate an FX market aggregator? @Freddy You will (almost) always see better prices if you trade directly with the counterparty, not least because the counterparty pays a fee to FXAll. The impact on spreads can be as high as 2/4 pips on major pairs such as EUR.USD (it can be less). Probably negotiable though. |
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Mar 21 |
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Mapping symbols between tickers, Reuters RICs and Bloomberg tickers Also worth adding the Bloomberg open symbology links. On this one, you can download whole files (bottom left: predefined files) with tickers, names etc. And on this other one you can query securities by external codes (ISIN, SEDOL etc.) and get a file with the corresponding Bloomberg identifiers. |
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Mar 20 |
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Mapping symbols between tickers, Reuters RICs and Bloomberg tickers Depending on the security, the SEDOL might work better (ISIN don't specify listing place): =BDP("AAPL US Equity","ID_SEDOL1") => 2046251 / =BDP("2046251 SEDOL1","PARSEKYABLE_DES") => IBM US Equity. |
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Mar 20 |
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Mapping symbols between tickers, Reuters RICs and Bloomberg tickers @Radek On Bloomberg, in Excel for example, =BDP("AAPL US Equity","ID_ISIN") returns the ISIN: US0378331005 and inversely, =BPD("US0378331005 ISIN","TICKER") returns AAPL. You can do something similar with their VBA/C/C#/Java API. I'm not that familiar with Reuters but I would have thought you can do something similar. |
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Mar 20 |
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Mapping symbols between tickers, Reuters RICs and Bloomberg tickers AFAIK neither Bloomberg or Reuters provide a direct mapping - so the typical solution is to go through a third common code (like ISIN for example) - that requires to have access to both a Bloomberg & a Reuters data source. |
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Mar 8 |
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Is there a comprehensive reference book on US fixed income conventions? This guide (link towards the end of the post) details several market conventions but does not cover everything you asked for. |
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Mar 8 |
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How to implement a long-term trade on oil? @Freddy If you go for option 3, you need to carefully select the stocks - not all oil companies make more money when oil prices increase. Typically, services company would be good candidates. |
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Feb 8 |
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Daily returns using adjusted close @chrisaycock you make the assumption that he keeps the div in cash. If you assume that he reinvests it the result is in line with the ratio methodology. So with the ratio calculation you get a total return history (ie with divs reinvested). |
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Feb 7 |
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Daily returns using adjusted close @chrisaycock (i) I don't see why (ii) I believe that's what Bloomberg does. If a USD 100 stock pays a USD 5 div, you simply adjust all past prices down by 5%. Adjusting them down by USD 5 would not keep the returns constant. |
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Feb 7 |
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Daily returns using adjusted close the reason for adjusting closes in the future is to prevent negative prices, which can happen if you subtract dividends from the values in the past. => You generally adjust by applying a ratio, not by subtrating - so prices can't become negative. |
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Oct 4 |
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How to account for bid/ask spread when backtesting? Why would the bid ask spread matter if you use limit orders (which basically get executed at your limit outside of the open or temporary suspensions)? |
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Sep 28 |
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What happens if a custodian bank defaults? @chrisaycock "through a third-party broker" ;-) It sounds like an expensive hedge though. |
