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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6
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2answers
2k views

How can index futures trade 24/7 when the index doesn't change?

I have read that the E-Mini S&P 500 Futures trade 24/7, how is that possible? I mean the underlying stocks which form the index are traded from 9:30am-4pm - so outside of these hours the S&P ...
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2answers
985 views

Using AlphaVantage For Japan/Shanghai/Hong Kong/Shenzhen stock exchange data?

Can I use AlphaVantage to pull data from Asian stock markets? I've been able to do it for others such as the London stock exchange, India stock exchange, Australian stock exchange etc. but haven't got ...
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0answers
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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0answers
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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0answers
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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0answers
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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3answers
106 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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0answers
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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0answers
87 views

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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0answers
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
65 views

Weighting stocks by market capitalization in a cross-sectional weighted regression

I am trying to regress stock returns on a series of factor scores to get factor coefficients. I want to weight the regression by the square root of market cap which I'm doing by applying a weighting ...
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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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1answer
75 views

Downloading all stocks of an index from CRSP

I am new to the CRSP database and wanted to ask if it's possible to download all the stock prices/returns (daily or weekly) of e.g. the NASDAQ Index (just like in Bloomberg)? And if yes, how exactly? ...
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0answers
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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0answers
31 views

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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0answers
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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1answer
147 views

Simulating assets of different currencies

I have a situation as follows: One year call option on a Euro stock with a Euro denominated strike. Knock in feature as follows - The option can only pay out if the growth in the Euro stock over ...
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0answers
34 views

Stock Valuation

Getting into account the different stock valuation methods, is there any good citation on modeling the growth parameter? As far as my humble research is concerned I have found only stochastic growth ...
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1answer
59 views

Stock pricing using Binomial model

A stock is prices at $ \$100$ and follows a one-period binomial process with an up move that equals 1.05 and a down move that equals 0.97. If one million Bernoulli trials are performed and the average ...
3
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1answer
273 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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1answer
64 views

Appropriate Encoding for Stock Technical Indicators ? RSI

happy new year and i am new to machine learning + python.. so recently i am doing a project on my own to use machine learning models on technical indicators.. I have my technical indicators data ...
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0answers
27 views

Practical definition of stock rating scores

I am trying to understand the practical quantitative definitions of the stock scoring system (1-5) that can be commonly found in sell-side analyst predictions. For instance, a score of 3 suggests ...
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0answers
38 views

Why is it impossible that an investor buys only securities in levered firm?

On page 5 of this slide deck, it says that if the value of levered firm is smaller than the unlevered one, then investor buys only securities in levered firms (which is understandable) and hence value ...
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1answer
96 views

How to find sector/industry and market cap for securities in my portfolio using R?

I am working on a project where I need sector/industry classification and market cap for some securities, many of them are not in SP500, but are part of US market. I am using R for this. I don't have ...
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0answers
49 views

Practical approach to get average option IV

Is there a practical method to calculate some sort of average IV for each level of moneyness of equity options? I'm thinking of an algorithm to find mispriced options and do to so, we need to figure ...
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0answers
258 views

List of US Industry sector ETFs that map to ICB classification

I am in the prcess of carrying out intra-and intra sector analysis of US stocks, and am proxing sectors with sector ETFs. I therefore, need to catalog the list of US sector ETFs - but have been unable ...
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5answers
10k views

Free intra-day equity data source

Are there any free data source for historical US equity data? Yahoo finance has daily prices but I'm looking for something more granular and goes back 2 or more years (doesn't have to be close to tick ...
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1answer
81 views

Why would a stock price have frequent very short, very high spikes?

If I look at the five year price for GML on Yahoo Finance: https://finance.yahoo.com/quote/gml/ I see many strange spikes: What could cause such behavior?
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0answers
42 views

How to find the volatility indices corresponding to equity indices?

I have a list of equity indices that I got through Eikon API (with Python). I successfully got their time series but at this point I would need the corresponding implied volatility, which is not ...
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1answer
179 views

How do market makers make money

I was looking into market making and the common idea is market makers make money by capturing the spread. I am a little confused about how this works, since on an exchange if the stock is listed that ...
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0answers
43 views

Replication of the paper: “A Comprehensive Look at the Empirical Performance of Equity Premium Prediction”

I recently replicated the paper "A Comprehensive Look at the Empirical Performance of Equity Premium Prediction" and found out that my estimation of the equity premium differs from the data provided ...
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1answer
85 views

Question is about the data in the paper: “A Comprehensive Look at The Empirical Performance of Equity Premium Prediction”

I would like to ask a question if you download the data from the Amit Goyal website: http://www.hec.unil.ch/agoyal/ You will see that there are two columns "CRSP_SPvw" "CRSP_SPvwx", they are ...
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0answers
39 views

Value premium / HML - Long/short portfolio useful?

I'm currently working on a paper about the value premium. Right now I'm wondering if there's any reason why calculating the long-short portfolio return as a difference between the high B/E portfolio ...
6
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3answers
256 views

Intuition for Stock Price Numeraire Drift

I would like to ask whether there is an intuition for the drift of price processes under the Stock numeraire. I find it intuitive that the martingale measure under the Money Market numeraire induces ...
1
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1answer
81 views

Bloomberg code for last trade price before the closing auction

I would like to run a study on stock prices before the closing auction. I would like the study to look at prices once a day for each stock. I do not currently have access to a Bloomberg terminal so ...
2
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1answer
139 views

Stock price value as a continuous-time stochastic process

I am studying a mathematics textbook on the modelling of stochastic systems. The textbook uses the price of a stock as an example of a continuous-time stochastic process: If $X(t)$ is the value of a ...
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1answer
73 views

Adjusting your delta hedge when the stock crashes and were originally delta hedged

You are long a call option on a stock and you are delta hedged. The stock crashes in price. How do you adjust your delta, do you buy or sell stock? Could answers please be quantitative (i am getting ...
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0answers
39 views

Calculation of upper stochastic dominance bound of an option

I’d like to calculate, for a call option on a stock, the upper stochastic dominance bound as proposed by Constantinides et al. in their 2002 paper 'Stochastic dominance bounds on derivatives prices in ...
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0answers
40 views

Where could I get European non-dividend option data

I am pretty new to option pricing. I got a task asking me to price a stock option, which should be an European non-dividend option, and compare my price to its quote. I used to use TSLA data ...
0
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1answer
47 views

Recovering index weights via least squares regression on components

As an exercise, I wanted to re-construct the index weights for the Nasdaq-100 (^NDX) via linear regression. For these purposes I got the daily adjusted close of its 103 components from alphavantage.co ...
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0answers
68 views

Fama-Macbeth Regression: Weird Risk Premia

I just conducted a Fama-Macbeth regression where in the first step I calculated a time-series regression for each individual stock to get three betas (for mkt-rf, smb, hml) for each stock. Then I ran ...
2
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0answers
48 views

Option on Futures vs. Stocks

The Black-Scholes call on a Futures is valued as: $$ C_t=e^{-r(T-t)}[F_tN(d_1)-KN(d_2)] $$ It holds: $F_t=S_te^{r(T-t)}$. If I plug this back in, I get the Black-Scholes call on a stock: $$ C_t=S_tN(...
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0answers
29 views

Pricing Data/Regressions in R

I'm working on a project for my econometrics class and trying to replicate a few papers relating to Fama-French factor models. I got data from CRSP and Compustat, but I'm a bit unsure how to ...
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0answers
27 views

Costly reversibility and countercyclical cost of risk - confusion

I'm currently working on potential explanations behind the value premium. As there're two school of thoughts, rational pricing describing fundamental risk in value stocks vs. irrational behavior, I ...
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5answers
7k views

List of TSX stocks with their sector and industry

Is there a website that offers free download or API where I can get an up-to-date list of all securities listed on the TSX along with their sector/industry? I could scrape individual screens for each ...
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0answers
30 views

How can I use both Stochastic and RSI in technical analysis?

Stochastic and RSI both are momentum indicator but they both show momentum in different way. It leading me to confusion how to use them in trading.
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3answers
302 views

Intuitive explanation for the smile in FX

What is the intuitive reason for the smile in FX? For equities this usually down to crash risk.
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0answers
65 views

Log returns vs normal returns with weekly prices

I am constructing equity factors and I am given weekly prices for several thousand stocks. Every year the portfolio should be rebalanced, so I am always calculating the returns for a single year. Now ...
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1answer
81 views

Some interpretation on some plots / statistics

I have been playing with a model just for learning purposes (I don't expect to make any money from the model) but I wanted to get some opinions on what you think are "good" values and some opinions on ...
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1answer
185 views

Value-weighted return: which date should the market-capitalization be based on?

I got a short question regarding calculating the value-weighted return of portfolios. Example: The portfolio is constructed based on the value of a certain criteria on date 31.1 (Jan 31st). The ...

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