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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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21 views

Evaluate model performance across all stocks

Suppose I have a lm model that captures per-stock level alpha. Therefore, I fit this model using all historical data stock by stock. My question is that how to combine all individual models’ ...
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0answers
36 views

Pricing a preferred share

I am looking for references for models which price preferred shares. What are the classic pricing papers?
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0answers
32 views

How do stock market simulators calculate price? [on hold]

When a player in a stock market simulator makes a trade,does the stock price react to the order within the simulator ? If it does, how is the price calculated ?
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1answer
61 views

Exclusion of Utilites and Financials in Magic Formula

In Joel Greenblatt's magic formula, see https://en.wikipedia.org/wiki/Magic_formula_investing, why are utilities and financials excluded? What is the reasoning behind this?
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0answers
20 views

Setting strike price/rate of an option [on hold]

Is there a systematic way of setting your strike price/rate of your option, rather than just having an explicit view on the underlying, e.g., "I see the stock price rising from 100 to 110"? Thanks, ...
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0answers
22 views

Newey-West standard errors in Fama-MacBeth regressions

I noticed that during the recent decade most of papers, which use Fama-MacBeth regressions compute Newey-West standard errors. I tried to find detailed description of this procedure in the books on ...
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0answers
27 views

Seeking papers on multi-factor models on the equity long short hedge funds

I am seeking papers that use regression & multi-factor models for equity long-short funds. I am interested in understanding the funds' behavior and exposure to various factors using some ...
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1answer
52 views

Correlation among different sectors of the market

It is known that many sectors/industries within the stock market are correlated with each other. For example, using VIF as a measure of correlation, I have the following result: ...
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0answers
18 views

Identifying primary share class of U.S. firms and deleting excess observations

I have a fairly large dataset of CRSP firms with their daily closing prices from 2006 till 2017. I need to filter the data so that I have one daily observation per unique firm. I've identified the ...
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vote
1answer
50 views

EOD historical data

Apologies If I'm not posting in the right area. Currently I'm using eoddata.com to get pricing data for the US market. Although not always 100% in pricing, I'm quite happy with it. There is another ...
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0answers
13 views

Where can I find a comprehensive list of Stock Ticker Symbols indexed by Company URLs? [closed]

I am looking for a downloadable table (or service) that enables the lookup of a Stock Ticker Symbol by the main Company URL (web address). It should cover equities listed on major world exchanges ...
1
vote
1answer
46 views

How to model High/Low prices for Stocks with Monte Carlo

I'm using monte carlo simulation to model stock paths and measure risk, but I was wondering if there is a way to simulate the full bar/candle chart with open, high, low and close prices , as I'm only ...
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0answers
13 views

For which companies reported/consensus revenue matters?

Is there a good heuristics to figure out the answer to this question? I.e. I don't want to regress revenue reported on subsequent returns.
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1answer
36 views

Risk attribution model without weights data

I was just wondering if there are risk attribution model that does not require the asset weights data. It appears that most risk attribution models do require asset weight data. I am looking for model ...
2
votes
1answer
78 views

Backtesting Fundamental Equity Strategies in Python

I am trying to run a local backtest using Python and Zipline seems to be the most popular package out there. Does any one have isnight on ingesting fundamental data for the backtest? The documentation ...
1
vote
1answer
61 views

Why is the expected value of bias statistic one?

I have been reading about factor models recently. One of the ways in which the developer of these models (Barra/ Axioma) measure the accuracy of their models is by calculating the bias statistic for ...
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0answers
36 views

Reverse convertible quanto decomposition

I'm trying to decompose the pricing of a reverse convertible when quantoed. Say my domestic currency is EUR and the stock $S$ currency is USD. The quanto reverse convertible, structured as a ZC bond ...
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0answers
50 views

Constrained Optimization for performance attribution

I am trying to perform constrained opmitization for portfolio performance attribution analysis. Specifically, I am trying to determine the impact of sectors performance on the S&P 500 index. Min ...
2
votes
2answers
124 views

Pricing Corridor Variance Spreads

Recently in the equity derivatives market there have been some trades on what are known as "Corridor Variance Spreads." The large equity derivative dealers and investment banks have been promoting it ...
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0answers
52 views

Backtest Portfolio Analysis

I actually finished an algorithm that i can use to extract all the trades for each stock (each file for each stock). Essentially, i run this code on Excel where there are the input about one stock, ...
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2answers
131 views

Seeking papers that deal with stock market analysis

I am sure there are a lot of papers that are related to stock market analysis.. but I haven't been able to find ones that fit my needs most. I want to read papers, replicate their analysis, and use ...
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vote
0answers
35 views

Correlation between a sector and MSCI ACWI returns

I have daily return data of 11 sectors of MSCI World Index and the MSCI ACWI index. I want to know the stationarity of correlations between the sectors and MSCI ACWI index. This is what I have done: ...
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0answers
43 views

Convert long/short stock portfolio into one sector ETF position

Assuming a portfolio contains long and short positions in stocks that are in the same sector, is it possible to create a similar overall position using only the sector ETF to which the constituents ...
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0answers
10 views

Are there any APIs for Brazil stock exchange data? [duplicate]

I'm building a web application where I need to display stock data from BOVESPA, the Brazil's stock market. I would like to retrieve this data using an API or Rest Service. I have found some APIs for ...
2
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2answers
114 views

Classifying stocks by industry (free)

Is there anyway to get the stock symbols of an exchange classified by industry? For example: AMD-semiconductor The best I could find was this page: https://money.cnn.com/data/sectors/tech/electronic/...
2
votes
1answer
44 views

Fama and French 1997 Cost of Equity

Dear Quantitative Finance Members, I was wondering if you can clarify me the following issue. I am trying to estimate the cost of equity following "Industry costs of equity" (Fama and French, 1997). ...
2
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0answers
55 views

volatility for multiple time series

I have time series data for a total of 4 stocks and want to analyze the volatility of those. Moreover I want to demonstrate that they have the same volatility. As a response variable I would use log ...
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0answers
36 views
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1answer
83 views

For a trading strategy how many trades have to occur for statistical significance [closed]

I created a strategy using a regression on a price series. I tested it with many walk-forward analyses and it has passed. I am currently live trading it with real capital (the ultimate test). My ...
2
votes
0answers
22 views

z-score of an active return with a no-volatility benchmark

I don't know how to approach the problem I am having. Basically, the statement I am trying to make is: the fund's return is X standard distribution away from the mean. Normally, for a single fund, ...
1
vote
1answer
59 views

What is the correct way to calculate the annualized returns from rolling windows starting from monthly returns?

What is the correct way to calculate the annualized returns in 5-year rolling estimation windows starting from monthly returns? Is it most correct to first annualize the returns (using the geometric ...
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vote
0answers
46 views

Equity repo close to money market rates?

I've noticed that the repo rate (here I mean the effective financing rate of the forward position in stock) implied from synthetic forwards is almost the same as money market benchmark (XXXibor 3M) ...
3
votes
0answers
43 views

American CRR implied vols

Given I have all other parameters lined up with the market (borrow rate, dividends...), if I imply volatility using CRR tree from american call and put with the same strike and expiry, will I always ...
1
vote
1answer
54 views

What steps are for a specific Day Trading Pattern

I am new to day trading, and I am looking to get a better understanding of what key attributes can be identified when trying to identify patterns when day trading. Specifically, I am looking to find ...
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0answers
58 views

Skew vs Normalised Skew

In this paper, https://globalmarkets.bnpparibas.com/r/Volatility_Express_20171128.pdf?t=BG3REXwMP3NZJRN7wY5Vt&stream=true, it states that, SPX Implied Normalized Skew: (25D Put IV - 25D Call IV)/(...
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0answers
45 views

VIX/SPX Realized Beta Calculation

In https://globalmarkets.bnpparibas.com/r/Volatility_Express_20171128.pdf?t=BG3REXwMP3NZJRN7wY5Vt&stream=true, it states that 3M VIX/SPX realized Beta calculation: Use a blend of 1st, 2nd and 3 ...
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0answers
58 views

SPX/VIX Implied Beta Calculation

In https://globalmarkets.bnpparibas.com/r/Volatility_Express_20171128.pdf?t=BG3REXwMP3NZJRN7wY5Vt&stream=true, it states that 3M VIX/SPX implied Beta = (VIX 3M IVOL*VIX 3M futures)/SPX 3M IVOL ...
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0answers
42 views

Financing of an equity forward

How reasonable it is to assume that the forwards (implied through call-put parity from European options) on easy-to-borrow European stocks will "grow" at Euribor/Eonia rate? In other words, is it ...
2
votes
1answer
101 views

Put pricing embedded in autocall

When pricing an autocall, there are 3 parts: Strip of coupon, Zero coupon bond, Put down and in. Probabilities of a call is given from the trigger level on call dates. However, let's say my ...
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0answers
20 views

Calibration of stock's intrinsic value under the gordon model

Assume we have the constant growth Gordon model, for a stock paying dividend $D$,Earnings per Share $EPS$, annual growth rate $g=ROE*(1-\frac{D}{EPS})$ and discount rate $r$. Then: $IV=\frac{D*(1+g)}...
4
votes
1answer
103 views

How do I convert order book data into OHCL( Open,High,Low,close) format?

The image represents the order book data with columns having following attributes: a0: Best ASK price (i.e. the lowest posted price at which someone is willing to sell an asset) b0: Best BID price (...
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0answers
25 views

Negative abnormal stock return and permanent impact

Assume we have a day where stock price falls many standard deviations of the mean (e.g >3) . How could we test, in terms of time-series, if this negative shock is permanent or deminishes in the long ...
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votes
4answers
197 views

If equity returns are normally distributed, why are average equity returns not zero [closed]

So I am getting confused between assumption of equity returns normality and why then equity markets in the long term on average go up i.e equity risk premium. Does this not already poke wholes in the ...
1
vote
1answer
48 views

Index implied repo gerater than the stock repo

I've observed that the repo rate implied from options on Euro Stoxx 50 is significantly higher than the repo rate implied from options on individual stocks that are constituents of the index. This is ...
2
votes
2answers
112 views

Does using adjusted closing prices constitute a lookahead bias?

One of my machine learning project involves the use of adjusted close prices (from Yahoo Finance, for better or worse) to determine the label – if a stock's adjusted close price increases by more than ...
3
votes
3answers
207 views

Fund size and alpha

During my research I found that fund active returns (alpha), measured by Fama and French four factor model, decreases as the fund increases in size (asset under management). What are some reasons ...
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0answers
46 views

Trouble calculating the Dow Jones Industrial Average

I can successfully calculate the Dow Jones closing price by taking the sum of closing prices of the 30 component companies. However, using this same method, I'm unable to calculate the correct opening ...
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0answers
20 views

How to get Financial Information of Stocks in R [duplicate]

I am trying to get financial Information like NAV, Dividends, Liabilities. I try to get all the stock information using quantmod package. But it is not working for <...
2
votes
4answers
157 views

Why not break the volume every day into buy and sell volumes?

In stock trading softwares, the volumes underneath the candlestick chart of stock prices are typically marked by one color, either green (buy volume) or red (sell volume), depending on if the closing ...
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0answers
34 views

Vega with SVI Gatheral bumps

How would one go about computing a vega profile of an exotic derivative where the volatility surface is modeled using Gatheral's SVI parameterization? In particular, I am thinking about bumping each ...