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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12 views

Equity risk factors with daily rebalancing

I am building some well known equity factors on the S&P for research purposes. It means those are going to be used for general evaluation purposes but do not need to be replicable. Would it be a ...
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55 views

How to find/calculate daily S&P500 dividends?

I need a time series with daily dividend data on the S&P500. I understand most dividend data is on a quarterly basis but I'm looking to model short-term effects of COVID-19 on dividends so I need ...
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Results of Fama french three factors model and Fama MacBeth cross sectional regression

I am doing research work on “Idiosyncratic volatility and stock return”. I have calculated Idiosyncratic volatility with the help of Fama french three factor model. IV is defined as the standard ...
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72 views

calculation of theoretical value of futures contract

we form a stock index by using only two stocks in the index. One of the stocks is the Stock-A. The current selling price of the stock-A is 103 dollars and the second stock is the stock-B. The current ...
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32 views

Results of Fama MacBeth regression

I have run Fama MacBeth cross section regression of of Excess Return of stocks on Idiosyncratic volatility, the log of market capitalization, book to equity ratio and Beta. I'm getting all significant ...
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11 views

Mutual Fund holdings data

Is there any source where mutual fund full holdings data can be found? I cannot seem to find it anywhere, even paid sources. Some sites will have to 10 or 25 holdings but not full.
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3answers
63 views

What is the benefit of buying stock options vs. purchasing stock? [closed]

I am aware that this is a simple question; but, given the scenario below, I have not found a satisfying answer while searching this site or Google. My understanding Stock options have been described ...
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1answer
31 views

How to calculate long-short performance using CFDs?

I am trying to calculate NAV and performance for a L/S fund which shorts via CFD. Obviously in a traditional short sale, there would be cash generated to match liability incurred but this is not the ...
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27 views

Stock IPO date data

I would like to get the date a company was founded and the date it went public for all US stocks listed on major exchanges (NYSE, NASDAQ). I thought this data would be very basic and easy to find, ...
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30 views

API for Real-time and historical Stocks Tick Data

I am looking for a reliable API (e.g. Bloomberg, but available for individuals) where I can get stock tick data up to the minute, both historical and real-time. Obviously I am willing to pay for the ...
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1answer
82 views

Variance attribution calculation from a covariance matrix

Say I have a portfolio with two assets with weights $(x, y)$, and the covariance matrix of the two asset is $((a, r)(r, b))$. Then the total portfolio variance would be $x^2a+2xyr+y^2b$. It is easy to ...
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intraday periodicity adjustments

I recently studied and implemented the intraday periodicity model of Andersen and Bollerslev from here. https://www.sciencedirect.com/science/article/abs/pii/S0927539897000042 The seasonality ...
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2answers
60 views

Bloomberg European equities tickers

I am trying to understand the abbreviations in the Bloomberg European stock or STOXX data. Each ticker represents company name abbreviation - Listed exchange. For example, CSP - LN is Countryside ...
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1answer
60 views

Do Institutions (large trading firms) use market orders?

It is well known that Institutional traders (Large trading firms, market makers) most of the time use LIMIT orders or Hidden limit orders. My question is, do they ever use market orders in their ...
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32 views

Discounted Cash Flows in Excel

I'm taking an online class on stock valuation. In my class, the instructor calculated stock intrinsic value using XNPV function in Excel. While I understand this part, I don't know why it gives a ...
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1answer
58 views

Calculating the daily continuously compounded return from index values

Given I have 3 index values at time $t = 0, 1 , 2$, how would I go about calculating the daily continuously compounded return? Time: $ 0, 1, 2$ Index Values: $4000, 4086, 4114$ Any help would be ...
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1answer
40 views

What to do if certain parameters are not market observable?

Lets say I have no clue on correlation between 2 equities in the market (i.e. i don't have an observable market price). What is the best way to go about marking this correlation for lets say the best ...
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20 views

I need to calculate trading charges for buy and sell stocks separately, How do you calculate formula based on brokerage calculator?

I am attempting to reverse engineer formula to use as code based on brokerage calculator that have buy - sell process coupled. Here is a link to the calculator. I have view charges blog but I am ...
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24 views

Where can I get the listing dates of companies listed on the NYSE?

Where can I find the date when a company first listed its shares on the New York Stock Exchange? For example, if I am interested in finding the listing date for Abbott Laboratories or Union Pacific, ...
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34 views

Best practice to optimize trading price, once I've already decided to sell or buy in next few days

I'm investing in long term. By different means not related to this question, I've already decided that I want to buy or sell a particular instrument, but I'm not in such a hurry: I'm still allowing a ...
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QuantConnect Strategy Metrics

I am new here and trying to write new strategies. I am a good computer engineering student working on robotics now, but I want to see the opportunities(money) in the financial fields. Currently, I am ...
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1answer
81 views

Calculate Third Order Greeks Options

Hope you're doing great! I'm struggling to develop the code for the Third Order Greeks. In all places I have searched, the development is missing. For example: But I don't know how to develop it, ...
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37 views

Is implied volatility model specific in the context of options on stocks and indices?

I just wanted to clarify a few things around implied volatility which I've read in the Hull/Natenberg books, which I find quite confusing. Both books refer to implied volatility in the context of a ...
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Is there a way to tell if a time series price data is reversed?

Assuming you are given an array of values representing a stock's historical price, without timestamps, is there a way to tell if this array of prices has been reversed?
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2answers
65 views

Closing prices are predicted very well but returns are predicted poorly

I'm learning some time series analysis and forecasting techniques, I've tried to predict stock prices for Netflix but I'm very confused. At first I've tried Auto ARIMA which gave me a straight line, ...
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1answer
41 views

How brokers' spread costs work?

I am trying to understand how to size and compare brokers' costs. As per my understanding, they charge customers on either or both spreads and commissions. The latters are straightforward: for each ...
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33 views

How to check if a symbol is a Common Stock (Equity)?

I had read this Where to download list of all common stocks traded on NYSE, NASDAQ and AMEX?. I know the ETF field of ...
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27 views

calculating sharpe-ratio and annualized returns

Im trying to get the sharpe ratio to be calculated daily but I can only calculate it annually, this is also happening for my annualized returns, can somebody help me please? ...
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1answer
63 views

R - Portfolio construction based on own calculations, with rebalancing of components

I have used random forest in R to get probabilities for stocks being in a certain class. With those probabilities i would like to construct portfolios containing the 5 stocks with the highest ...
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Finding share class values in a complex ownership and capital structure

I’m curious about how you would deal with the following situation. The company is a startup with a complex ownership and capital structure. Any links or resources on these subjects would be greatly ...
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1answer
183 views

Why someone would prefer CFDs rather than stocks?

From Investopedia: Essentially, CFDs are used by investors to make price bets as to whether the price of the underlying asset or security will rise or fall. That's the same with stocks, right? ...
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21 views

Search for a stock in different markets around the world

I want to search for a stock to see on how many stock markets globally the stock is listed. How can I do that? Thank you very much
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3answers
53 views

Hedge performance in times of volatility: Beta changes impacting PnL during market rebound

I hedge a portfolio of Global Equities (200 stocks within MSCI World universe) by shorting futures on MSCI World Net Total Return. The hedge is calculated using Beta. Beta is calculated using a risk ...
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32 views

Question about financial mathematics, meeting a claim

I have a question regarding exercise 12, chapter 1 of "A course in Financial Calculus" by Alison Etheridge. It is as follows: "Suppose that the value of a certain stock at time $T$ is a random ...
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Where to retrieve financial data? [duplicate]

I am struggeling finding an updated list of free sources for historical financial data. My main interest is for intraday european stock markets data and companies' fundamentals data, but it would be ...
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1answer
59 views

The extent of the usage of DDM formula by the big boys

I am wondering to which extent versions of the DDM formula(https://en.wikipedia.org/wiki/Dividend_discount_model) is used by large banks and institutional investors etc, in some sense anyone who is ...
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50 views

Where do trades take place when the stock exchange is closed?

Some markets support pre-market and after-market trades. These trades take place outside the opening hours of the stock exchange. My questions are: If the stock exchange is closed, how and where do ...
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29 views

L/S cash-neutral portfolio exceeds margin

I am testing out a systematic, cash-neutral, long/short strategy in a paper trading account with Interactive Brokers. Each day, an algorithm tells me what my target portfolio should look like in terms ...
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21 views

Limit order book - Behaviour of GTC orders in the Orderbook

If I made a GTC (good till cancelled) to a Stock Exchange how will it stay within the Orderbook of the Stock Exchange if not executed during the day? Will it be removed after the trading day is over ...
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22 views

Where to get the “total” dividend (for a specific stock) from?

I´m trying to build a Stock ranking/Picking model sorted by some kind of score. For this I need the total dividend by Stock, let´s say for AAPL and FCAU I have been checking several financial sites, ...
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19 views

SABR - several maturities in equities

SABR model is quite popular and given options on a certain forward, you can easily calibrate it. In Fixed Income, the extensions to several tenors typically involve LMM. Is there a popular way to so ...
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Volatility Managed 6 Factor Model (Fama French) - Does it make sense?

after weeks of intense research and in spite of the current situation, I decided to ask the following question to some experts (you): I would like to develop/investigate a volatility managed six ...
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52 views

What share of the stock market is owned by whom

These days we were discussing whom you have to beat if you are trying to earn money in the stock market. I think the players are private stock holders actively managed investment funds ETFs maybe ...
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1answer
74 views

Why are equity futures so disconnected to the underlying index? Example

I am looking at ZWPH0 which is a future and the underlying index MSCI World. According to Bloomberg the prices are as follow: 13 March 2020: MSCI World 451 / ZWPH0 5234 16 March 2020: MSCI World 410 /...
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3answers
168 views

Why multiply stock returns with $\sqrt{252}$?

When converting daily volatilities to annual volatilities one need to multiply with $\sqrt{252}$. But I found this piece of code this piece of code who calculate log-returns in the following way: In ...
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3answers
105 views

Where to get the stock universe?

Is there any way to reliably get a full list of symbols (in whatever format), for multiple exchanges (e.g. NYSE, NASDAQ, LSE, JPX, HKEX and so on). Additional info (like sector, or symbols of listed ...
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1answer
93 views

R: Finding peaks on a stock price chart

I would like to do is what I thought to be a simple task: find the locations of peaks for a certain stock, and mark those peaks on a chart. I was surprised by a lack of appropriate examples on the ...
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36 views

Optimal Cash Deployment in a Bear Market

Assume: You can't time the market bottom You have a finite amount of cash to buy equities There are P dip/bear periods you're gonna purchase the equity 2 Problems: You deploy too much cash early, ...
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Valuing Long-Term (5+ year) Cliquet Options

I'm trying to figure out how to value long term equity cliquet options with expirations 5+ years out. Even for SPX cliquets, vol surfaces are from what I can tell non-existent. Where would someone get ...
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84 views

Attributing hedging p&l to several options

Given a delta-neutral portfolio of one underlying stock and several options, I'm trying to attribute stock trading p&l to the options (assuming the underlying is traded only for hedging purposes)....

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