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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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 ...
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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....
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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 ...
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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 ...
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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 ...
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4 votes
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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 ...
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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(...
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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, ...
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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 ...
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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?
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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,...
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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 ...
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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 ...
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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....
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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 ...
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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 ...
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Robust approach to capture price movement of a stock universe

Let's say we have a universe of 100 stocks, S1, S2, ... S100, and their historical price data (daily, for the past 50 days). What would be the most robust/widely used method to capture the price ...
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Source for Formulaic Screening of U.S. Corporate Issuers

I'm looking for a web app or API source that allows creating screens of U.S. listed companies based on formulas. For example, say, I want to screen for net debt-to-EBITDA. Since earnings before ...
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What is the name of (close-close_prev)/(max(high, close_prev)-min(low, close_prev))?

Balance of Power (BOP) is defined as BOP = (Close - Open) / (High - Low). https://school.stockcharts.com/doku.php?id=technical_indicators:balance_of_power For a daily bar of a stock, this is for a ...
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Historical end of day price data for non US stocks

I'm looking for historical end of day price data for non US-stocks. Preferably as bulk download for analysis, but an API would do also. Specific markets of interest: China Japan Major European ...
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Applying the Gordon stock model when there is one change in the dividend growth rate [closed]

Below is a problem I did. I am hoping somebody can confirm I did it correctly, or tell me where I went wrong. Problem: ABC Corp. has just paid a dividend of \$3 per share. You—an experienced analyst—...
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Initial value of EMA

https://school.stockcharts.com/doku.php?id=technical_indicators:moving_averages It says "First, calculate the simple moving average for the initial EMA value. An exponential moving average (EMA) ...
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Is there a name for price change times volume?

Price change times volume ((close-close_prev)*volume) is used in the following indicator. https://www.tradingview.com/script/672uPH9q-Enhanced-Time-Segmented-Volume/ Is there a well-accepted name for ...
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How to approximate bid and ask volume?

https://www.tradingtechnologies.com/xtrader-help/x-study/technical-indicator-definitions/volume-delta-vol/ Bid and ask volume is defined as the volume traded at bid or ask prices. Given only OHLCV ...
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How is cumulative volume delta computed?

https://coinalyze.net/blog/cumulative-volume-delta-cvd-indicator-analyzing-buyer-and-seller-activities/ I see the cumulative volume delta mentioned above. But I don't see the exact mathematical ...
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Can 2 unique Instruments have the same ISIN?

I always thought that 1 ISIN uniquely identifies 1 financial instrument. However, I have come across cases, where the same ISIN is used for a stock and a bond: ...
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Relation between Weekly ATR and daily ATR?

I will need to use weekly ATR (ATR computed using weekly HLC data) to compute some technical indicators on a daily time scale. But instead of directly computing the weekly ATR, it is more convenient ...
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Modify Wilder's ATR so that some values still return for the first N period

Wilder's ATR does not have values for the first n period. Definition of wilder's moving average There can be multiple ways to adjust the definition of Wilder's ATR so that some values still return ...
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How the vwap band is defined?

https://www.prorealcode.com/prorealtime-indicators/vwap-bands/ https://www.investopedia.com/terms/v/vwap.asp I don't see a clear definition of the vwap bands. There can be several reasonable ways to ...
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Empirically validating GBM assumptions

I'm trying to get a better grasp on the suitability of Geometric Brownian Motion as a model for asset prices, and I've stumbled across a hurdle which I can't seem to get over. Assuming GBM, the asset ...
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candlestick plot with the order of high and low achieve time represented?

candlestick plot does not have information on whether the high price or the low price is achieved first. Is there a commonly accepted way to represent this info on a candlestick plot?
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Definition of wilder's moving average

https://www.marketvolume.com/technicalanalysis/wildersvolatility.asp I see this page describes wilder's moving average. But the first step ATR = SMA(TR) is not ...
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2 answers
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Verify the split history of BF.A

https://finance.yahoo.com/quote/BF-A/history?period1=1517875200&period2=1518134400&interval=1d&filter=history&frequency=1d&includeAdjustedClose=true Yahoo Finance says BF-A has a ...
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2 answers
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How to verify the split history of SPB?

https://www.splithistory.com/spb/ I see a 162 for 1000 reverse split of SPB on 07/16/2018 as shown above. But the stock open price on 07/16/2018 is 82.70, the stock close price on 07/13/2018 is 82.72. ...
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2 votes
1 answer
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Why a company can have one stock on NASDAQ and one stock on OTC?

ATRO is traded on NASDAQ. https://finance.yahoo.com/quote/ATRO ATROB is traded on OTC. https://finance.yahoo.com/quote/ATROB I don't understand why a company has one stock on NASDAQ and one stock on ...
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What does G in ZG stands for? [closed]

I see the tickers Z and ZG are for the same company, zillow. But I don't understand what G stands for. Could anybody let me know?
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longer US stock halt history

https://www.nyse.com/trade-halt-historical I see the above history is only good for the last one year. Is there a resource that has a much longer history?
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How to reduce validation error for LSTM while working on time series data?

I am currently building a multivariate LSTM for predicting the close price of the next 3 days. I have tried changing parameters such as learning rate, number of layers (and neurons), activation ...
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What is SIV and LMV in the hollywood stock exchange?

I am studying the Hollywood Stock Exchange (HSX). It is a popular prediction market/ stock simulator, that uses movies as stocks. In the patent details, US5950176A - Computer-implemented securities ...
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Which sector classification system is used by tradingview and yahoo?

https://www.fidelity.com/learning-center/trading-investing/markets-sectors/know-your-sectors-and-industries I see there are GICS, ICB and TRBC. Can anybody tell which classification system is used by ...
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What was the lowest traded price of Paladin Energy on 2020.03.23? Every source disagrees, then it gets even weirder

I am looking at the stock PDN (Paladin Energy) on ASX (Australia Stock Exchange), and I am trying to determine the lowest price traded on the date 2020.03.23 (YYYY.MM.DD). Should not be such a ...
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2 votes
1 answer
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Unexpected Inflation and Asset Allocation

If asset allocation decisions were made prior to the news of unanticipated inflation, how should asset allocators incorporate the fact the inflation is now 5% higher than the 2% inflation target? It ...
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2 votes
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Can we construct a complete classification of the ways that the shareholders' equity of a company can change?

One of the most straightforward approaches to investing involves predicting how the book value, or shareholders' equity, of a company will change over time. This in turn requires that we know the ...
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free download of 1- or 5-minute stock quote data [duplicate]

I know Yahoo has stock quote data (OHLCV). But it contains errors. tdameritrade API have 1- and 5-minute data. But it only starts at 7AM ET, instead of 4AM ET. It is only limited to 182 trading days, ...
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A theory behind an accumulation and distribution process

A concept of accumulation and distribution process was developed by Richard Wyckoff. In simple words a smart money sells shares in order to hit its buy limit orders, then starts to buy shares in order ...
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"value of trademark increased" - what could it mean?

I'm reading this website to understand how to read a balance sheet. https://www.samco.in/knowledge-center/articles/how-to-read-a-balance-sheet/ Under the section "Intangible assets" , under ...
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Official list of tickers of AMEX

I can not find an official list of tickers of AMEX (a.k.a, NYSE America). https://www.nyse.com/listings_directory/stock There is a listing directory for NYSE. But as I understand, NYSE is different ...
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How do market makers calculate bid/ask prices to quote for RFQs, specifically for stocks? [duplicate]

Say a client submits an RFQ to buy/sell 100,000 Apple shares. The market maker will respond with their bid/ask prices. My question is how are these bid/ask prices calculated by the market maker? Is ...
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Where to find consensus forward estimates from the past?

I need to find the market consensus estimate values (Revenue, EBITDA, Net Income, Free Cash Flow) since 2018 for a set of publicly-traded American companies. The thing is, I can find the present ...
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Asymmetric information in capital markets: EU ad-hoc announcements/8-K filings in other countries

In many countries, companies whose securities are traded on a stock exchange are subject to an ad-hoc disclosure requirement. This ad-hoc announcement publication duty refers to the obligation to ...
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