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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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Supertrend Indicator

I'm trying to implement the Supertrend indicator. Unfortunately, I can't calculate the values ​​that my chart software generates. At the moment, I don't fully understand my problem. You can add the ...
M14's user avatar
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2 answers
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Different risk neutral measure

I don't understand in the following example how there can be a single risk neutral measure. The risk free asset price $B$ at time $t = 1$ is $1+R$. An other asset $S$ at time $t=1$ can take two values:...
missing_name's user avatar
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Forward price arbitrage

To price a forward on a stock we usually use arbitrage to find that the price of the forward is the price of the stock compounded by the risk free rate. I don't have the data to try things, so was ...
missing_name's user avatar
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Data Feed for Gold (XAU/USD)

Hi I've been searching for Orderflow trading softwares & different real-time data feeds they use. For Stocks it's easy to get live orderbook data. I'm confused which data feed would be best for ...
Ali's user avatar
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3 votes
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Clarifying the Fundamental Difference Between Growth and Value Stocks

The more I think about the fundamental difference between growth and value stocks the more confused I am. Both strategies seem to exploit market mispricing: growth investors target underestimated ...
vonjd's user avatar
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Issues running Fama French regression for annual portfolios

As part of my master thesis I am planning to do some analysis based on the 3-Factor Fama french model. I am not a quantitative finance person at all, so my question might be extremely basic and I ...
T_K's user avatar
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How to retrieve Yahoo Finance tickers for stocks, given the companies' name [closed]

I'm a student attempting to download time-series data for 27,000 stocks. I initially tried using Factset's API but lack access (as a student, I am able to manually download data, without access to ...
Irina's user avatar
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What are "Funding Events" for Equity Swaps

have been using PE Swaps deck on Swaps pricing as a reference to understand Equity Swaps better. https://osf.io/72693/download. As I understand it, the Funding Leg Present value can be determined as: ...
ESN's user avatar
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variation margin affecting futures price

A quote from Natenberg's Option Pricing and Volatility, on stock index futures and how variation margin can change their price. Ignoring dividends, the fair value of a stock index forward contract is ...
APerson's user avatar
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1 answer
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Stock split and fractional shares

One of the main reasons for the stock split is liquidity. By increasing the number of shares, the new price will be half or one-third, depending on the split ratio. Wouldn't it be possible to achieve ...
XY0's user avatar
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1 answer
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Market Making in practice

I read some of the papers in the market making literature such as: Avellaneda - Stoikov market making model but was wondering if these types of models are actually use in pratice? It seems that when ...
confucius_is_confused's user avatar
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Why does not index (S&P500, NASDAQ, Dow Jones, etc), use liquidity?

Stock indexes such as SP500, NASDAQ, Dow Jones, etc all try to capture the temperature of the market. If the market cap of the companies in the market increase, the index increase. But, imagine a ...
Orvar Korvar's user avatar
3 votes
1 answer
145 views

TRS and leveraged etf

To get the leveraged return of an index daily, leveraged ETF uses TRS to get that leveraged. Yet I don't really understand how it is used and who is the counterparty of that TRS. So, first you have ...
option_vol's user avatar
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Future vol is bigger than realized vol

One strategy that I've seen on Leveraged ETF is shorting both the BULL and BEAR leveraged ETF to exploit the decay when volatility is high. Though I am wondering how an entry signal is triggered for ...
ilovebagels's user avatar
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Create a turnover based stock index, for non liquid stocks?

I want to create an stock index that use the turnover, and not the price. How to do that? The problem I am trying to solve, is that if one stock has a very low trading volume, but the stock price is ...
Orvar Korvar's user avatar
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SDP and riskless profit

I am trying to understand the Single Dealer Platform model that a lot of banks and prop shop are launching. So I am not sure to understand really how a Single Dealer Platform works. From what I ...
option_vol's user avatar
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1 answer
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Exchange redirecting order

I was reading about exchange to understand better how they execute my market-orders. So let's say I am sending a market order to buy one share of AAPL to NYSE. When NYSE gets my order he looks at the ...
missing_name's user avatar
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short-term statistical factor models for equities with different trading hours

I wonder if there are existing theory/literature about estimating a short-term statistical factor models for equities with different trading hours. For example if we are estimating a universe with US ...
CuriousMind's user avatar
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What are some effective and easily implementable volatility smile/skew smoothing models?

Inspired by another post on Bakshi et al. (1997), the paper talks about the feasibility of option pricing models, particularly the SVSI-J variant. I would like to ask the Quant community if there are ...
KaiSqDist's user avatar
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Does switching between Bond and Equity closely tracking Interest rate generate more returns?

Is there an evidence to suggest that we buy bond during high interest regime and when interest rates goes down , we sell the bond and buy Equity Index .. Repeat this by closely following the central ...
Kavinkumar R's user avatar
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Why didn't LMT stock spike and NOC dip in 1990 due to the F-22 raptor competition?

Disclaimer, I am a newbie at finance! I have been tracking the NOC and LMT stock prices and I have a few questions. Both companies seem to be moving together in terms of stock prices. I would expect ...
George Fanaras's user avatar
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Calculating PIN or PIN-like factor without having intraday / tick data

I am looking for a method of estimating PIN (probability of informed trading) for US equities without having access to intraday / tick data, but using daily OHLC instead. I imagine its impossible but ...
helloimgeorgia's user avatar
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Autocallables - valuation/modelling/booking

Recently heard a view on how one should model/book autocallable swaps (in its basic form where there is a series of observation dates on which the product autocalls and there is exposure to the ...
eMe's user avatar
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Autocall Selling Process [closed]

I'm new in structured products and I need some help for understanding some stuff on autocall. When a client gives his money to the bank for investing in an Autocall, this money goes in a ZCB and in ...
Simon's user avatar
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2 votes
1 answer
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Markout PnL why looking in the past [closed]

Most of the time to analyze a strategy people will take all the trades and look at the PnL a certain markouts. Yet I don't understand why so many people look at negative markouts? What can infer from ...
option_vol's user avatar
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119 views

Cross corridor var swap

How should I think about replicating a cross corridor variance swap like breaking into strips of calls and puts and an over hedge that I can rebalance at some frequency? Given the earnings move, I can ...
exotics101's user avatar
2 votes
2 answers
187 views

How to interpret the turnover formula?

How would one interpret the below turnover formula ignoring the average from each time period i.e., what is the meaning of the term inside the brackets? Reference: Empirical Asset Pricing via Machine ...
PrinceZard's user avatar
2 votes
1 answer
189 views

In which context do hedge funds use the Gauss Markov Theorem?

Hedge Funds really like asking questions about linear regression during interviews. Especially about the properties of the OLS. But I don't understand in which context this is used. For example the ...
confucius_is_confused's user avatar
5 votes
1 answer
239 views

What is the current state of the art method to predict the equity risk premium one month ahead?

I am aware of Goyal, Welch and Zafirov's paper A Comprehensive 2022 Look at the Empirical Performance of Equity Premium Prediction that seems to imply there is nothing one can do to predict the return ...
volcompt's user avatar
2 votes
0 answers
57 views

questions after reading the article by knuteson

I recently read this article by Knuteson and some thought/questions arose. So I was wondering if anyone read it or wants to read it and can comment on a few statements-questions below. I could ...
mark leeds's user avatar
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2 votes
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Rigorous formula for adjusted close price

I'm a mathematician who is new to the stock market, and I'm hoping to shine a rigorous light on a simple example of adjusting close prices for, say, dividends. Let time $t$ represent today. Say that ...
Andrew's user avatar
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Average correlations of stock returns

Say I had a pool of companies (specifically the Latin American Countries). The task was to work out the 'Correlation coefficient between the returns of any 2 companies selected from "different ...
Bossman Joestar's user avatar
1 vote
1 answer
316 views

How to calculate holding period return of a long-short strategy?

I have daily close prices of two stocks, A and B. Suppose that we long stock A and short stock B. Assume that we do the long-short every day and hold that portfolio for some days. How to calculate ...
user546106's user avatar
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1 answer
131 views

How do I measure the "dispersions" of a group of stock returns

I have $n$ stock return time series $X_1, X_2, ... X_n$. I want to measure how much they have "dispersed" over time. i.e. are they moving "more together" in 2023, comparing to 2022....
Taylor Fang's user avatar
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186 views

Combining trading signals (equity long/short strategy)

Currently, I have developed three separate trading strategies on equity securities. All involve taking long and short positions in the top and bottom decile with respect to some measure (say, a ...
StackExchangeDisplayName's user avatar
1 vote
1 answer
279 views

What is the purpose of a floating interest rate leg on an autocallable equity swap transaction?

I understand that the purpose of the equity leg is to hedge the issuers exposure under the note but I don't understand why the buyer of an autocallable equity swap pays a fixed fee at the beginning of ...
Robert Smith's user avatar
0 votes
1 answer
130 views

Is it possible to exchange one stock for another without cash as an intermediary?

According to my research, it is possible to exchange one stock for another without selling to cash and then buying the other. The process is known as a "stock-for-stock" or "share-for-...
anonim's user avatar
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1 vote
0 answers
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Convertible Bond Option - Yield analyzis

The following problem can be understood as an extension/modification of the textbook example of Hull (Options, Futures and other derivatives, chapter 27.4, 9th Edition), which is related to ...
PAS's user avatar
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3 votes
0 answers
181 views

Option-like behaviour of momentum strategy

this may come as rather vague question, since I do not have something very exact issue on my mind. Nevertheless, I think this is an interesting question and must have been thought by some other people ...
blizzard16's user avatar
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0 answers
56 views

Relationship Between the Equity Funding Curve and Equity Forward Curve

am trying to understand the core concepts of Equity Forwards Curve, Funding Curve and yield Curves (most sources online seem to focus on Interest rate related examples, so any sources for equity ...
ESN's user avatar
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2 votes
0 answers
149 views

Bound on path length of a stock price

Consider a time series $(S_i)$ representing a stock price (say close prices of one minute candles). Let $\Delta$ be a quantization step (could be the price step in the strike prices of the ...
TryingHardToBecomeAGoodPrSlvr's user avatar
0 votes
1 answer
70 views

Marginal effect of asset in a strategy

Im trying to develop a stastical arbitrage strategy that depends on a universe of assets and in a brief way, they replicate some factor(s), index(s), etf(s), etc, and then trade residuals. So, after ...
NICOLÁS ZANNI's user avatar
1 vote
0 answers
76 views

Purpose of equity listing?

I have a simple question on US stock market: what is the purpose of listing a stock to a specific exchange given that it can be traded on multiple exchanges? For example, apple stock (AAPL) is listed ...
beginner's user avatar
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0 answers
76 views

Should I resolve factor collinearity before hedging?

Goal: I want to run a portfolio, daily or weekly rebalanced, with a target idio vol %. Thus I will be market neutral, sector neutral and maintain some style exposure at 70-80% idio overall. Okay, this ...
Arjun P.'s user avatar
1 vote
0 answers
70 views

Risk adjusted returns for a portfolio relative to CAPM

This is very likely a simple question. When following Lewellen (2015) (open access here), how should I compute alphas for portfolio returns relative to the CAPM and FF3? Do we simply subtract the (...
Julien Maas's user avatar
1 vote
1 answer
48 views

FM regressions for size groups when examining a cross section of expected stock returns

When doing FM regressions for size groups similar to Lewellen (2015) (open access here), should I obtain the cross sectional rolling return window betas using only the size group? (E.g only use large ...
Julien Maas's user avatar
0 votes
0 answers
65 views

Power-utility function for calculating Certainty equivalent

I have a question regarding how i should calculate 3.2-3.4, currently studying for an exam. What i don't get is how to acctually derive the certainty equivalent from the expected utility of gross ...
Jens's user avatar
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1 vote
1 answer
295 views

Why stock beta is not equal to its index weight?

Index is a linear combination of stock prices with known weights. In case index is equally weighted, the weights are fixed. Beta measures stock sensitivity to index - by how much stock moves when ...
Kreol's user avatar
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0 answers
96 views

If investors are risk-neutral, should the (equity) risk premium be zero?

I looked up ChatGPT and they stated that the (equity) risk premium should be zero for a risk-neutral world. The definition of a risk-neutral investor is that one is indifferent between additional or ...
KaiSqDist's user avatar
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1 vote
1 answer
142 views

If there was a way to back out implied volatility (IV) from a stock, would it be the same as the IV backed out from an option on that same stock?

I know that it is not possible to back out an IV for a stock, because the concept of IV is based on a model with underlying assumptions applied to pricing an option. I was thinking of why IV is ...
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