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.

Filter by
Sorted by
Tagged with
1
vote
1answer
46 views

Are there any standards for the precision of stocks prices, amount of stocks etc.?

I am currently developing a software that needs to store stock prices and the amount of stocks (sold/purchased) of a given company. Now I am wondering which data types I need to use to store this data....
0
votes
2answers
87 views

Backtesting a portfolio strategy with several assets

I am aware that there exist several libraries and programs that allow to baktest a portfolio strategy by iterating through the OHLC dataframe of the stocks of interest (Backtrader, Backtesting, ...). ...
0
votes
0answers
30 views

How to deal with blank entries in computing log growth

I am conducting a study to discover which variables best explain stock volatility during COVID. I am currently completing linear regressions before implementing GARCH, however I have come across a ...
0
votes
0answers
42 views

can I trade stocks in IEX with Interactive brokers? [closed]

I have accounts in a couple brokerages. I trade stocks just fine, however I miss any good understanding of some fundamentals, and how things work under the hood. I'm confused about stocks being traded ...
1
vote
1answer
38 views

Capital efficiency of event triggered strategy

Let's assume we have two long short equity strategies A, B with a Sharpe ratio of 2 each. ...
0
votes
0answers
46 views

How to download all tickers listed in the Tokyo stock exchange?

I'm trying to download all tickers listed in the Tokyo stock exchange (according to their website, there should be 3,756 tickers in total). What I have tried so far: I have tried the Yahoo-ticker-...
1
vote
0answers
35 views

How does yahoo calculate Growth Estimates

Does anyone know how yahoo calculates Growth Estimates for the Next 5 Years (per annum)? For example, I can see 12.64% for AAPL as reporetd in Yahoo finance in https://finance.yahoo.com/quote/AAPL/...
0
votes
0answers
104 views

How is the total return of an alpha strategy being calculated during backtesting?

I am using a quant simulation platform and I have chosen a formulaic alpha to be used. Now the platform is backtesting and displaying the total return of the alpha strategy over 12 years. The trading ...
0
votes
1answer
35 views

Technical analysis - Market vs Stock/Product Growth Decomposition

I am looking for an authoritative source for the standard methodology for decomposing growth between market and individual units. For example, in retail sales, decomposing growth between market level ...
2
votes
2answers
127 views

What's the difference between a stock trading on an exchange and a stock being listed on an exchange?

As I recently learnt, all U.S. stocks are part of either Tape A, Tape B or C. Stocks listed on the NYSE are on Tape A, NASDAQ-listed stocks are on Tape C and everything else is on Tape B. Of course, ...
0
votes
0answers
23 views

How to Determine the Total Return Swap Notional Value at Each Reset Period?

Say my asset leg of a quarterly reset TRS swap is: $$V_{asset}(t) = \sum_{\tau=0.25}^{T}\bigg(N(t,\tau) \cdot \frac{F(t,\tau)-F(t,\tau-0.25)}{F(t,\tau-0.25)} \cdot Z(t,\tau)\bigg)$$ and my funding leg ...
2
votes
0answers
34 views

spinoff entity value / adjusted close of a spinoff

When company $A$ spins off company $B$ (i.e. $A = A'+B$), how do we know exactly the adjustment factor of $A'$ and $B$ before trading Note I am not asking to value the new companies. That's a whole ...
0
votes
1answer
57 views

Price a contingent claim with payoff $(S_T-K)1_{\{S_T>K\}}1_{\{L\leq X_T\leq U\}}$

I'd like to price the following contingent claim using a copula model. $$V_T = (S_T-K)1_{\{S_T>K\}}1_{\{L\leq X_T\leq U\}}$$ where $S$ and $X$ are two stock price processes which follow a non-flat ...
-4
votes
1answer
71 views

Using geometric brownian motion for stock price forecasting [closed]

I am doing a dissertation in finance on a maths degree. I wanted to forecast stock prices using artifcial neural networks but none of my tutors are able to supervise so I'm having to do something else....
1
vote
1answer
72 views

Copula analytic formula for $max(S_T^1 - K, 0) 1_{\{L<S_T^2<U\}}$

Consider the payoff function $$ V_T = max(S_T^1 - K, 0) 1_{\{L<S_T^2<U\}} = (S_T^1 - K)1_{\{S_T^1 > K\}}1_{\{L<S_T^2<U\}}$$ where $S_T^1$ and $S_T^2$ are two GBM distributed stocks with ...
0
votes
1answer
26 views

Why does historical equity ticks from Dukascopy.com not contain trade ticks?

I've found that ticks for equities (for example for companies from US market like Amazon or Apple) someone could name as "best bid/ask offer" (or Level 1 type of tick data) and them clearly ...
1
vote
3answers
127 views

Backtesting Period Effect

I am backtesting a stock trading strategy. I tested it over two time periods: 2000-2020 and 2015-2020 and compared the results against a buy and hold strategy. To be clear, I only changed backtesting ...
0
votes
0answers
31 views

Running a Hedge PnL Stress Test - how to?

I have a long only global equity portfolio hedged a by shorting an equity future. Say my portfolio is long USD100m equities and therefore I short USD100m of MSCI World future (assumed Beta of ...
0
votes
2answers
140 views

Forecasts for the S&P 500?

Would anyone know of any monthly forecasts for the S&P 500, historical over a long time periods. Websites like estimize provide forecasts of all sorts of things likes stocks and the balance of ...
0
votes
2answers
95 views

how to implement momentum strategy for stocks in R

Good morning, I'm implementing factor investing strategies to choose stocks to insert in a portfolio. I have calculated low volatility factor and now I would to calculate momentum of each stock so ...
0
votes
0answers
31 views

How can I know the distribution of how many shares were bought in specific price?

Given a stock and any time $t$, is there a way to find the distribution $f_t$ $$f_t: \text{price}\ p \rightarrow \text{in current time $t$, how many shares were bought in price $p$}$$ For example, a ...
0
votes
1answer
42 views

Complicated DCF valuation [closed]

Recently I tried to do a few valuation models. I searched a lot for information on the topic, but everything I found was pretty similar simplified models. Please recommend where I can look at more ...
0
votes
0answers
20 views

Seed Values guaranteed convergence of Implied Volatility Calculation

Looking for good seed values for Newton Raphson to guarantee convergence of implied volatility calculation for a few models, all of which are for equities that have divs. 1) Bjerksund-Stensland 2002; ...
0
votes
1answer
86 views

Sharpe Ratio Graphed Over Time

I looked and could not find a suitable answer to my question already, so: What is the best way to calculate the Sharpe Ratio over time, given I have about a decade's worth of 1-minute candlesticks? I ...
0
votes
1answer
63 views

Longstaff-Schwartz for any optimal stopping

Let's say I have the stock of General Motors and I assume some fancy model for the price of this stock and I have to sell it within a month. Can I use Longstaff-Schwartz algorithm to determine the ...
1
vote
1answer
55 views

Metrics to apply to trading strategies [closed]

Other than average gain, average loss, and accuracy, what other metrics might be helpful if you were to attempt a new trading strategy? Is there any oddities of mathematics that you would take into ...
0
votes
1answer
60 views

What happened to direct access “electronic day trading” after 1998-2002?

I was looking through book catalogues and databases when I noticed something: most books about direct access "electronic day trading" for retail traders were published between 1998-2002, ...
0
votes
0answers
32 views

Are there research that suggests stock will open higher than average daily value?

I heard it somewhere that it is an academically documented behavior. I am quite skeptical about it. Are there relevant research that supports it or debunks it?
0
votes
0answers
41 views

Measuring Information Coefficient and Sharpe Ratio

I have been looking through / using Quantopians' Alphalens library to measure/create new factors, and I had some questions in evaluating the credibility of the factor. This is what I have: I have ...
1
vote
0answers
93 views

The real reason behind discrepancy between Amazon low level of earing of and its staggering market value? [closed]

It is often said that, in the history of Amazon, the discrepancy between its low level of earnings and its staggering market value can be justified by its high level of free or operating cash flows(...
0
votes
1answer
50 views

Is this the reason why stock prices on the broad average always rise?

According to the so called Dividend Discount Model (DDM), a particular, temporary stock price is the discounted sum of all future dividends resulting from the investment: $$P=\frac{D}{i-g}$$ $P$ is ...
3
votes
0answers
27 views

Extract Qualitative information from annual report commentary and disclosure

Can anyone give idea on the value of latent information in annual report commentary and disclosure. It would be interesting to hear from analyst on how much time they spend reading through annual ...
0
votes
2answers
41 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 ...
1
vote
1answer
61 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 ...
4
votes
0answers
59 views

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 ...
1
vote
0answers
17 views

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 ...
0
votes
0answers
46 views

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 ...
0
votes
0answers
33 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 ...
0
votes
2answers
60 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. ...
1
vote
1answer
56 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, ...
2
votes
1answer
181 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 ...
0
votes
0answers
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 ...
0
votes
1answer
49 views

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 ...
0
votes
0answers
34 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 $\delta t$....
0
votes
0answers
30 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 ...
0
votes
0answers
113 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 ...
1
vote
1answer
78 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: ...
-3
votes
1answer
46 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 ...
0
votes
0answers
41 views

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 ...
1
vote
0answers
31 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: ...

1
2 3 4 5
17