Questions tagged [equities]

Shares of stock traded in a stock market. Equities represent the residual claim or interest of the most junior class of investors in assets, after all liabilities are paid.

Filter by
Sorted by
Tagged with
1 vote
1 answer
71 views

Calculate PE ratio of equal-weighted index

I need to calculate Price-to-Earnings Ratio (PE Ratio) of an Equal-weighted index. ...
  • 111
1 vote
0 answers
28 views

What does it mean to cancel a NYSE OPG LIM order after open? Does the NYSE open auction not happen in an instant?

I've just placed a LIM OPG order for a NYSE-listed stock, waited until 09:31, and seeing it did not fill, I requested to cancel it (via the API) and, to my surprise, it was successfully canceled. But ...
  • 111
0 votes
0 answers
43 views

Is it a good idea to train a CNN to predict stock prices using a dataset that includes multiple stocks?

the purpose of this question is that I am exploring the use of a CNN to predict stock prices, with a focus on the SPY ETF. However, I have a data limitation because I only have data available from ...
0 votes
1 answer
72 views

difference between strike notional and spot notional

Can someone please explain the difference between strike and spot notional? in the context of equity options trading?
0 votes
0 answers
50 views

Relationship equity and bond shocks of same issuer

I'm running some stress tests and I have data on equity shocks available. Is there a relationship which, for the same issuer, links the returns of the shares with those of the bonds issued?
0 votes
0 answers
33 views

Surface SVI and value-at-risk computation [duplicate]

Currently interested in some Value-at-risk calculation methods, I understood in a video by Claude Martini (https://youtu.be/_OZvk-G92EQ), that it is now common to see SSVI-based VaR calculation models ...
0 votes
0 answers
37 views

Are stablecoins stable if the merchant processor uses fiat currencies or insurance without fiduciary indemnity like stocks?

This NBER working paper on cryptocurrency says stablecoins are such that if they use fiat currencies bills, notes, and bond good will over both the treasury currency stock and public lands of each ...
0 votes
0 answers
57 views

PE ratio of QQQ = 3.5? [duplicate]

According to yahoo finance, QQQ (a Nasdaq ETF) has a PE ratio of 3.56. Since that is significantly less than the rule of thumb cutoff of 20, I'm not complaining. I'm just wondering two things: How is ...
  • 101
2 votes
0 answers
35 views

How to apply a funded equity collar to illiquid stocks?

I investigate a specific case of the funded equity collar [1]. Let's assume that counterparty $A$ already has a stake in share $XYZ$ and wants to get funding out of it from a bank $B$, which does not ...
4 votes
1 answer
173 views

Existence of an upper bound for risk-factor betas/coefficients

Theory: Based on Hansen/Jagannathan, the set of means and variances of returns is limited. With $R^f$ as the risk-free rate, $R_i^e$ as the return of stock $i$ in excess of $R^f$ and a stochastic ...
  • 2,826
0 votes
0 answers
43 views

Derive the Probability of Default (PD) of private companies with Merton Model

Do you know a well used method how to calculate the PD of private companies using the Merton Model. The main challenges I am facing is to get the appropriate volatility of the assets and the drift. ...
  • 1
2 votes
0 answers
40 views

Mispricing models for non-equity asset classes

Despite risk-factor models like Fama/French (1993) or q-theory based models like Hou et al. (2015), others have proposed factor-models to capture mispricing in equities, e.g. Stambaugh/Yuan (2017) and ...
  • 2,826
0 votes
1 answer
90 views

Price of a simple autocall - Sebastien Bossu Advanced Equity derivatives

I am reading Advanced Equity Derivates by Sebastien Bossu and trying to do the exercises. In chapter 1 we have the following question : Consider an exotic option expiring in one, two, or three years ...
  • 1
0 votes
1 answer
88 views

How SPY ETF really works? [closed]

So this is very confusing. If you read online they say that: "SPY is an exchange-traded fund (ETF) that tracks the Standard & Poor's 500" Now the word "track" is super ...
0 votes
1 answer
54 views

Equity and Credit Portfolio Return

This might sound like a trivial question but would appreciate the answer. How would you calculate the return of the portfolio consisting of only equity and credit instruments? For example, consider ...
  • 3
0 votes
0 answers
31 views

Analysing sensitivity of stock price on economic data

If one wants to estimate the sensitivity of stock price on economic data, one just fit a regression equation on change in current stock price w.r.t. change in contemporaneous (or lagged) value of that ...
0 votes
0 answers
61 views

Futures roll implied financing implications

I often see commentary saying, for example: ‘Last weeks sep/Dec SPX roll VWAP traded at FedFunds + 32bps’ and ‘Dec/Mar SPX rolls currently imply a Year End premium of FedFunds + 49bps.’ But what does ...
0 votes
0 answers
39 views

Pricing Risk Parity w/ Futures

I want to be able to price a risk parity index using the following prompt expiry futures contracts available from ECBOT and GLOBEX. Using a synthetic portfolio priced by adding the CASH VALUE of the ...
2 votes
0 answers
76 views

Default risk and stock price probability distributions [closed]

First of all, I realise this question might border on `meta-finance', so I'd be totally OK if it gets closed. Having said that, the question itself: Given a stock $S$, in the absence of default it is ...
user avatar
0 votes
0 answers
140 views

What is the maximum yield that can be received from owning an equity?

Suppose I lend you an equity security for ten years, interest-free, and you have to return it to me at the end of term (which means little-to-no risk-taking). What is the maximum (near-)riskless yield ...
  • 177
1 vote
0 answers
31 views

How does one get exposure to stock borrow rates?

Suppose I am long equity borrow rates, but I don't know exactly when borrow will increase. What is the most effective way to trade this? The naive strategy of borrowing the stock now and then lending ...
  • 177
0 votes
1 answer
31 views

How to create Industry Portfolios per country? [duplicate]

Regarding the industry portfolio as created by Kennth R. French like here: https://mba.tuck.dartmouth.edu/pages/faculty/ken.french/Data_Library/det_17_ind_port.html I was wondering how I could do this ...
  • 1
0 votes
1 answer
41 views

Equity vs Credit Performance [closed]

When comparing performance of equities (for example S&P 500) versus credit indices (for example US HY) people often adjust equity returns by its beta relative to credit. Can someone please explain ...
  • 3
1 vote
0 answers
34 views

Warren Buffett about the long term debt [closed]

In the book Warren Buffett and the interpretation of the financial statements, Mary Buffett explained companies that have enough earning power to be able to pay off their long-term debt in three or ...
  • 73
0 votes
0 answers
92 views

Replicating Dispersion Trade with Vanilla Options

I'm studying dispersion strategies and would like to know if one can replicate a payoff of dispersion with a strike as per below (e.g. a basket of 10 stocks and strike = 19%) with vanilla options. ...
  • 1
0 votes
0 answers
29 views

Equities: API or Python Historical Fundamental Data Source [duplicate]

All of my API sources have gone down/gone premium/don't provide sufficient data. Does anyone know any sources (paid or free) where I can extract extensive income statements, balance sheets, etc. for ...
  • 1
0 votes
2 answers
76 views

How do Personal Finance companies get access to their customers investment accounts? [closed]

I want to create an app that centralizes all the customer's investment accounts into one platform where they can view/monitor their trading positions across all brokerage accounts. How do apps like ...
0 votes
0 answers
58 views

How do you model share repurchase agreement?

If I understand correctly a share repurchase is when a public company decides to re-acquire its own shares. Let's say it does that with a deadline (expiry). This would mean that if there is some ...
0 votes
1 answer
103 views

Algorithm / formula / method to determine optimal weightings given expected return, % of volume and slippage

Please bear with me - I know I'm supposed to do this with a bunch of Greek letters but I don't know how so I'll just describe the data I have and what I am trying to do. I have an expected return for ...
  • 113
0 votes
0 answers
18 views

How to interpretate sparse inverse density estimations network of stock market structure?

Given the daily price variations(close-Open) , I understand that the stocks can be clustered using affinity propagation. What does it mean for Valero Energy and ConocPhil to have a black line and ...
1 vote
2 answers
228 views

Are there open source or academic-only limit order book data sets available?

I am looking for limit order book data for an academic paper that has a snapshot for every change in the orderbook (1st five levels are fine, but more is better) or can be built from ITCH files. Any ...
  • 113
0 votes
0 answers
23 views

Machine learning on NASDAQ [duplicate]

I want to perform an ML analysis on NASDAQ, based on historical fundamentals. Suppose I want to take a temporal window of 10 year and quarterly data. I have a question: I suppose I should know the ...
  • 1
0 votes
0 answers
45 views

Forward Equity Curve Computation

I have been thinking about how forward equity prices are usually computed. For the purpose of simplicity, let us take a share paying deterministic discrete dividends $(D_i)$ at times $(T_i)$ with a ...
1 vote
0 answers
75 views

Simulating the same stock price with different methods/distributions

I would like to ask if we could simulate stock price paths with different methods/techniques. What I mean is : say we have a specific stock price hence we can extract historical mean and standard ...
0 votes
1 answer
276 views

Px_volume in Bloomberg

I would like to know What Px_volume data tells us which we extract from Bloomberg? If I want Number of Shares traded of a particular stock then what term I'll use in Bloomberg? When I match the ...
  • 151
1 vote
1 answer
158 views

Why is there a lot of focus on derivatives pricing and much less on stock pricing?

I am a quantitative finance student, and during the first year of this Master’s Degree I couldn’t help but notice that there’s a lot of focus on derivatives pricing and little or none on stock pricing....
  • 11
0 votes
0 answers
31 views

How to calculate Share Price based on Outstanding Shares of $ATVI?

I am looking at the latest 10-Q SEC Filing of ATVI stock (March 31, 2022). (RefLink: https://investor.activision.com/sec-filings/sec-filing/10-q/0001628280-22-011987) The Balance Sheet states the ...
  • 1
0 votes
0 answers
52 views

How to measure the difference between the trend of two curves

I'm looking for a way to measure the trend of two curves. For example, the figure below is my forecast for the S&P 500. It can be seen that although I haven't predicted the exact index price, the ...
0 votes
2 answers
154 views

Is there any utility to being able to predict an assets current price?

I was playing around with some models, and I'm able to predict a stock's current price based on the current prices of other stocks. This model is extremely accurate, although I can't see any use of ...
4 votes
1 answer
181 views

Assistance understanding relation between the "Bid-ask bounce" and the "Tick rule"+"Quote rule"

I need some assistance in understanding the relation between the "bid-ask bounce" and "the tick rule" + "quote rule". The two rules mentioned above are used to classify ...
1 vote
1 answer
55 views

SDE linear combination of stock price

Assume that $X_t$ is a process with dynamics $dX_t = \sigma X_t dW_t$ is where $W_t$ is a standard Brownian motion. Given two deterministic functions $p(t)$ and $q(t)$, compute $\mathbb{E}[p(t)X(t)+q(...
  • 21
2 votes
0 answers
33 views

Determine if stocks are hurt by rates or recession fear

Looking at a portfolio of growth stocks which traded at high multiples until end of last year. Stocks have been underperforming (no surprise there) but I'm trying to find ways to determine, ...
  • 507
18 votes
4 answers
8k views

Most complete list of investment mistakes in stock markets

I'm looking for a (hopefully exhaustive or at least extensive) list of behavioral biases that are currently observable in the stock market. I'm well aware and replicated some of the evergreens such as ...
  • 512
0 votes
0 answers
52 views

mean return and volatility with transaction cost

What means that 5 bps per half-turn for transaction cost? How can I implement mean return and volatility with this transaction cost in formula or python code?
  • 1
1 vote
0 answers
60 views

ATR with direction considered?

ATR is defined without considering the direction of the move. But when the price is going up or going down, just knowing the range loses some of the big pictures. Is there a modified definition of ATR,...
0 votes
1 answer
154 views

What is the standard to compute volume profile using OHLCV data?

https://www.tradingview.com/support/solutions/43000502040-volume-profile/ Ideally, the volume profile should be computed using tick data. But such data may not be readily available. Given only OHLCV ...
2 votes
0 answers
194 views

Local volatility implied spot vol correlation

I have a question about local volatility models. In a lot of articles it is stated that the implied spot vol correlation of this model is -1 and we usually compare this with stochastic volatility ...
0 votes
0 answers
19 views

Prediction of OBV computed using lower time scale using only data available on higher time scale

https://www.investopedia.com/terms/o/onbalancevolume.asp I use 5 minute OHLVC data of COIN to compute the OBV for each day. I also use daily OHLVC data of COIN to compute the daily OBV. https://www....
0 votes
0 answers
16 views

A/D indictor considering 24 hours for daily charts

https://www.investopedia.com/terms/a/accumulationdistribution.asp The above definition used high and low. If the data is of daily bars, then high and low is that of the day session, but not the 24 ...
1 vote
0 answers
71 views

How to price an Equity Structured products [closed]

I'm new to equity structured products, I understand the overall construction but I want to have an example of an equity structured product with the steps of creation from seller point view of this ...
  • 476

1
2 3 4 5
21