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.

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2answers
27 views

Cross-listed stocks - how to get capital allocation per country?

https://en.wikipedia.org/wiki/Cross_listing Cross-listing (or multi-listing, or interlisting) of shares is when a firm lists its equity shares on one or more foreign stock exchange in addition to its ...
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1answer
52 views

Why does an autocall on a linear payoff have vega?

Consider a (stochastic) linear index, say $I(t)$, in that it grows at the risk free rate (with some volatility of course). There exists a maturity date $T$ on which I receive $I(T)$; however there is ...
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Change of the stock price dynamics while pricing using the Fourier transform techniques

Right now I am trying to understand how we can use the Fourier theorem in obtaining the formula for option pricing (from Zhu J., "Modular pricing of options"). While modeling the interest ...
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What is 'No. of Trades' in NSE's 'Security-wise achieves' web page?

Let's say we have a stock ABC trading in NSE (Nation stock exchange of India), let's assume only 10 shares get traded on a particular day (so, volume is 10). A person named 'X' sells 10 shares from ...
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Differences between transaction types on the Euronext exchange (“Auction”, “Exchange Continuous”, “Retail Matching Facility”, etc.)

I was looking at the intraday transactions for securities listed on Euronext exchanges. Example 1 — Pharol (Euronext Lisbon: PHR): Example 2 — Aures Technologies (Euronext Paris: AURS): Notice the ...
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28 views

ARMA Order in GARCH

I want to do a GARCH forecast with a GARCH(1,1) Model but I am confused on which mean model I can or should choose. If I call the Auto.Arima function on the squared returns I get an ARMA(0,4) process ...
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1answer
24 views

free equity screeners with export to excel

I am having a tough time finding a free equity screener that allows me to download the following data into excel: P/E or EV/EBITDA, Growth, Return on capital or any return measures would be helpful. ...
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1answer
44 views

Non-Trivial ATM Volatility in Vol smile construction from Market data on US Equities

have 2 quick questions please help. Constructing vol smile (OTM puts & OTM calls) from US equity market data. for Parabolas fit or other methods, the choice/method for ATM vol is non-trivial, ...
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1answer
167 views

Do stock returns show positive skewness?

Do highly liquid (blue chip) stocks exhibit positive skewness more than negative skewness? If so, would positive, rather than negative, skewness be an appropriate and intuitive prior when modeling ...
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108 views

Inter-temporal structural stability of stock markets

For my bachelor thesis I am trying to determine structural stability of some stock market in the following way: Identify an ARMA model for the whole sample Split the sample in two parts, and estimate ...
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1answer
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I have missing data on my portfolio weightings but it can be solved through stock prices - how can I code to find this? [closed]

firstly I would like to say sorry for the title - its not the best. In fact its crap. Here is my problem (I am new to coding btw - still learning) I am using Python on my MacBook - using Terminal. I ...
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33 views

variance of asset returns linear for time

I am reading Wilmott's book, "Quantitative Finance" and try to understand the derivation that the variance of asset-returns, $V[\Delta S/S]$, is a linear function of the time step $\delta t$....
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22 views

Calculation of 5-minute returns

My goal is time series clustering, I would like to compare 5 minute returns, liquidity seems to be very low sometimes, so is it better idea to calculate average volume weighted price in 5 minute ...
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29 views

complete historical mapping of EDGAR Central Index Key (CIK) to stock ticker

I see a previous question Central Index Key (CIK) of all traded stocks mentioned https://www.sec.gov/include/ticker.txt contains the EDGAR Central Index Key (CIK) to ticker mapping. However, this file ...
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1answer
69 views

where to find historical ticker data for securities no longer in s&p 500 index?

im looking for the complete intraday ticker data time-series for a number of securities that formerly were part of the s&p 500 index. eg. PGN, Progress Energy Inc, removed from index 2012 because: ...
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1answer
44 views

Why no stock's amount data on us stock market?

In chinese stock market , every stock's traded volume and amount (price * volume) data was disclosed. Why in us stock market no amount data disclosed? There must be such 7 fields as ...
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By how much do specific asset correlations increase during a market downturn?

It is well-known that asset return correlations of stocks increase during market downturns. But are there any general properties derived from empirical observation or evidence regarding by how much ...
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28 views

Combining multiple securities' Net Asset Value time-series into one total NAV series

I have a number of individual securities that each have a Net Asset Value (NAV) time-series. For example: ...
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1answer
124 views

Continuous Percentage Profit and Loss calculation

I need to calculate a profit and loss for an equity timeseries. The position size (column D in the below table) is not binary (not moving from zero position to a position and then back to zero ...
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40 views

Which features based on orderbook information could be relevant for price prediction?

I have some orderbook data, including 5 ask prices, 5 bid prices, amount of asks and bids for every price, and midprice which is equal to (best bid + best ask)/ 2. I would like to predict absolute ...
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2answers
65 views

Risk free rate's role in CAPM

I don't understand what is the mathematical and financial role of risk free rate in the CAPM formula . Why do we need to add 10 years treasury yield to the formula then substract it again from the ...
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2answers
90 views

How do leveraged ETFs achieve their investment objectives?

I am interested in the ways how those leveraged ETFs, e.g. TQQQ, achieve their leveraged investment objective. Questions are around, Do they use stock options of the underlying asset primarily to ...
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1answer
186 views

Is it pretty easy to predict the stock market from price/sales?

Except the recent boom (entirely driven by tech) isnt the stock market just an oscillator around quarterly price to sales? I'm getting like 25% explained variance just from that. The returns are close ...
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15 views

Sector Contribution Analysis

I am trying to conduct a sector contribution analysis of a certain mutual funds. But I don't quite understand the logic. I am given these datasets. stock universe dataset.(it is a dataframe ...
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2answers
61 views

How can you use factor modelling to improve your current portfolio [closed]

Firstly let me apologise if this has been asked on on here before - I went through some of the factor modelling post on here but I've struggled to find the answers. I am new to the quant world and I ...
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0answers
225 views

Has AlphaVantage stopped NSE stock quotes data? [closed]

I have been using AlphaVantage to get the historic data for NSE stocks (NSE= National Stock Exchange of India Ltd.). But since past 1 month the API has stopped returning data for NSE stocks. It ...
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2answers
65 views

Affordable NASDAQ/NYSE Tick-By-Tick

I am looking for a place to get all NYSE/NASDAQ data for every trade (price/size) on a particular ticker. The data can be delayed by minutes/hours. I am a student and am trying to use this for a ...
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1answer
46 views

Do corporate events happen intraday?

Does any corporate event that affects the stock price/shares outstanding happen during the trading session in vanilla US Common stocks or predominantly at night ?
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“ugarch” roll from “rugarch” not working in source()

I have an automatic rolling GARCH forecast using the rugarch package in R. It is stored in a file GARCH.R. When I try to run the code using source('GARCH.R'), I get ...
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1answer
36 views

Difference between Order Expire and Order Done for Day (DFD)

Whats the difference between Order Expire and Order Done for Day (DFD) ? In general and from FIX protocol point of view.
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1answer
62 views

Equity Risk Premium calculation [closed]

Can someone help me understand the intuition of the following? The formula for calculating the nominal return is: I have the following problem for which I know the answer is A (5.4%). I was told it ...
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0answers
70 views

Downloading Historical Data from Finam.ru

I am looking for free historical intraday data (e.g., 30 mins, 1 hour) and I have came up to this website finam.ru, which is in Russian but it can be translated. The link to download the data is here. ...
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1answer
54 views

How to download full daily historical data of MSCI AC Asia Index

I'm trying to download the daily historical data of the MSCI AC Asia Index. I've been testing different combinations of the following url: https://www.msci.com/eqb/esg/performance/110.0.all.html using ...
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4answers
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Is this how stock trading works?

I was told to move this question here from Money Stack Exchange, where some people have already provided some feedback. This is a very basic question about the Stock Exchange, and I was looking for ...
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1answer
67 views

List of ticker-symbols of European countries

To download the European countries' equity (stocks) data from CRSP database, I need individual stocks ticker symbols. Can anyone help me regarding how can I get the list of ticker-symbols of European ...
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2answers
58 views

What date to pick for regression on global stocks

Let's say I have a return of a stock in Japan that I wish to regress on the S&P 500 index using daily data for 1 year. Since the Japanese stock market has different holidays than the US, the dates ...
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0answers
17 views

Why some SEC XBRL documents are broken?

I'm analyzing "EXTRACTED XBRL INSTANCE DOCUMENT" documents provided by SEC, and some companies have theirs completely broken format, and impossible to search for their us_gaaps reporting in ...
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2answers
36 views

Calculating the allocation of a fund given two correlated variables

Imagine this hypothetical situation: I have a time series of cumulative performance of a fund and two time series of equities that are highly correlated to them. I know that that this fund ONLY ...
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0answers
25 views

Why are extended-hours Level-2 stock quotes odd?

What factors contribute to the odd quotes shown for stocks during extended market hours? (I'm guessing that at least some of them are the product of requirements of market makers, but I wonder if ...
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1answer
50 views

Where can I find official s&p500 companies list? [closed]

For some research purposes, I need the official s&p500 companies list. I cannot use any data from Wikipedia or any other such kind of websites. I can use data from yahoo finance or s&p500 ...
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How do I calculate the real taxes paid from 10-K forms

I guess we are familiar with the discussion, whether companies especially tech companies are paying their due in taxes. There was the huge discussion of Amazon paying nearly no taxes, using loopholes ...
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3answers
653 views

How do traders hedge against “tail side risk” in practice?

In a recent CNBC interview, Black Swan author Nassim Nicholas Taleb gave a categorical advice about investing in the Corona period. “It is very unwise to do any form of investment without some form of ...
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1answer
75 views

Predict Log Stock Return Direction and Trading Strategy

The $k$ period log return is defined as $$r_{t}(k)=log(S_{t}/S_{t-k}),$$ Where $S_{t}$ is the stock closing price at time $t$. For argument sake, assume that by time I mean a stock trading day and ...
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1answer
75 views

Can someone explain me why Disney has two different CIK's?

Disney, Ticker : DIS is triggering me, it seems that is has two different CIK's If you search disney 10-K forms here: https://www.sec.gov/cgi-bin/srch-edgar?text=company-name%3D%28DISNEY%29+and+form-...
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1answer
187 views

Simulate stock prices with Geometric Brownian Motion motion with mu and signa based on 'normal' or continuous compounding?

I have written a simple script for modelling stock prices using Geometric Brownian Motion. The time series I am downloading are daily adjusted closing prices. My aim is to be able to change the ...
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0answers
33 views

Barra equity factor model handling equity index future

How is equity index future handled in Barra type of equity factor model, i.e. to get its market value exposure to various factors? Does one just treat it as a weighted combination of underlying single ...
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3answers
157 views

What are the advantages and limitations of predicting future stock prices using stochastic differential equations?

Recently I came across the following stochastic differential equation that "predicts" the value of a given stock: \begin{equation} dS_t = \mu S_t dt + \sigma S_tdW_t \\ S_t(0) =S_0 \end{...
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1answer
46 views

Why do prices of stocks change “premarket” and during “after hours”

How is it possible for there to be trading "premarket" and "after hours"? I thought the exchange is closed and thus trading during "premarket" and "after hours" ...
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0answers
24 views

Abnormal Returns vs. Equity Cost of Capital

In trying to perform a meta analysis on the effect of KLD CSR scores on the cost of equity, I stumble upon plenty of papers that show positive abnormal returns for a company's stock given high CSR-...
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1answer
46 views

How does clearing and settlement work in Europe?

I understand the basic trade lifecycle but I can't find more information on how clearing and settlement works. To my knowledge, if I buy VOD LN executed on LSE - this will be cleared by LCH which is ...

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