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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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0answers
48 views
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52 views

z-score of an active return with a no-volatility benchmark

I don't know how to approach the problem I am having. Basically, the statement I am trying to make is: the fund's return is X standard distribution away from the mean. Normally, for a single fund, ...
2
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1answer
94 views

What steps are for a specific Day Trading Pattern

I am new to day trading, and I am looking to get a better understanding of what key attributes can be identified when trying to identify patterns when day trading. Specifically, I am looking to find ...
3
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0answers
80 views

American CRR implied vols

Given I have all other parameters lined up with the market (borrow rate, dividends...), if I imply volatility using CRR tree from american call and put with the same strike and expiry, will I always ...
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1answer
861 views

Robust way to calculate P&L for stocks/futures trading

I have implemented a class in C# that will calculate P&L based on this description from TT. However it worries me that it gives different results for the same fills, if you apply the "fill ...
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1answer
406 views

Put pricing embedded in autocall

When pricing an autocall, there are 3 parts: Strip of coupon, Zero coupon bond, Put down and in. Probabilities of a call is given from the trigger level on call dates. However, let's say my ...
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0answers
78 views

Financing of an equity forward

How reasonable it is to assume that the forwards (implied through call-put parity from European options) on easy-to-borrow European stocks will "grow" at Euribor/Eonia rate? In other words, is it ...
2
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0answers
34 views

Calibration of stock's intrinsic value under the gordon model

Assume we have the constant growth Gordon model, for a stock paying dividend $D$,Earnings per Share $EPS$, annual growth rate $g=ROE*(1-\frac{D}{EPS})$ and discount rate $r$. Then: $IV=\frac{D*(1+g)}...
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1answer
491 views

How do I convert order book data into OHCL( Open,High,Low,close) format?

The image represents the order book data with columns having following attributes: a0: Best ASK price (i.e. the lowest posted price at which someone is willing to sell an asset) b0: Best BID price (...
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4answers
337 views

If equity returns are normally distributed, why are average equity returns not zero [closed]

So I am getting confused between assumption of equity returns normality and why then equity markets in the long term on average go up i.e equity risk premium. Does this not already poke wholes in the ...
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0answers
37 views

Negative abnormal stock return and permanent impact

Assume we have a day where stock price falls many standard deviations of the mean (e.g >3) . How could we test, in terms of time-series, if this negative shock is permanent or deminishes in the long ...
1
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1answer
173 views

Index implied repo gerater than the stock repo

I've observed that the repo rate implied from options on Euro Stoxx 50 is significantly higher than the repo rate implied from options on individual stocks that are constituents of the index. This is ...
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2answers
269 views

Does using adjusted closing prices constitute a lookahead bias?

One of my machine learning project involves the use of adjusted close prices (from Yahoo Finance, for better or worse) to determine the label – if a stock's adjusted close price increases by more than ...
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1answer
105 views

Comparing values of indicator between different stocks

I would like to ask whether there is a good way of analysing stock indicators that have no value limitations. For indicators like RSI we have a closed range ( 0 - 100 ) but in case of indicators like ...
3
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4answers
184 views

Why not break the volume every day into buy and sell volumes?

In stock trading softwares, the volumes underneath the candlestick chart of stock prices are typically marked by one color, either green (buy volume) or red (sell volume), depending on if the closing ...
3
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3answers
244 views

Fund size and alpha

During my research I found that fund active returns (alpha), measured by Fama and French four factor model, decreases as the fund increases in size (asset under management). What are some reasons ...
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0answers
50 views

Trouble calculating the Dow Jones Industrial Average

I can successfully calculate the Dow Jones closing price by taking the sum of closing prices of the 30 component companies. However, using this same method, I'm unable to calculate the correct opening ...
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2answers
149 views

Fractal market hypothesis testing

I would like to do an analysis on the AEX stock exchange index for the last 20 years, but I ran into some issues. It would be really appreciated if you can answer my questions: In order to apply ...
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0answers
146 views

Vega with SVI Gatheral bumps

How would one go about computing a vega profile of an exotic derivative where the volatility surface is modeled using Gatheral's SVI parameterization? In particular, I am thinking about bumping each ...
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1answer
686 views

Google Finance API for historical price data analysis?

I've been trying to build a trading algorithm and fooled myself into thinking it worked. Turns out, Google Finance quite often returns the wrong data. Not "sorry, we couldn't return data for this ...
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2answers
120 views

% Drawdown on Stock Portfolio to hit Margin Call

Margin requirement is industry standard at 30% of total portfolio (cash + margin loan) e.g. You have 600k in equities purchased with cash and 400k in equities purchased on margin loan. The total ...
3
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1answer
141 views

Rate of convergence between price and value

In my experience, there are two primary methods of alpha generation. In both cases, assume we know what price is. Method 1: Inference on what the price/payoff will be. Method 2: Inference on what ...
2
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1answer
107 views

Convertible Bond Pricer papers

I'm looking to build a convertible bond pricer. Where should I get started? Which papers/books should I look at?
2
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1answer
251 views

How to download only amex and nyse data from CRSP?

I am a beginner and I have a very elementary question, but I don't know where to find the answer! I am downloading the CRSP monthly stock files for 20 years. I ...
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1answer
96 views

Question on OHLC historical data

I am going through some historical stock exchange data and I have stumbled on a few cases where the stock closing price is higher than the recorded high price; is this even possible or is there error ...
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2answers
166 views

Literature recommendation on extreme asset price movements

I'm looking for good papers and books covering extreme stock price movements and mathematical theories of stock market crashs.
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1answer
105 views

Markov switching regime for stock returns

I want to see if day of the week (or month) has some effect on stock returns. I want to use Markov switching model to identify different regimes in time series. If $Y_1,Y_2,...Y_t$ are stock returns,...
2
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2answers
5k views

Funded equity collars and margin loans

There is an article in the Financial Times today concerning equity funded collars [1]. The equity collar structure is used by a counterparty $A$ which wants to build up a position in a stock $S_t$. ...
3
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1answer
212 views

Economics of spoofing

I am trying to understand the economics of spoofing (I am a lay person). I understand that from a risk point of view, aside from the legal risk, the main risk is that of having a limit order filled ...
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1answer
190 views

Can we 'predict' the delta of a stock? The delta of a stock is $\pm 1$ right? [closed]

“A stock is like a living organism. A sparrow, say. And we are able to create an emergent-based abstraction of that sparrow, which closely approximates the sparrow itself, accounting for migration ...
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5answers
8k views

Any research on how natural language processing can be used to forecast stocks?

Is there any published research of decent quality linking news or unstructured information to asset returns? I know that Thomson Reuters offers its Machine Readable news (MRN), so somebody must use it....
1
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1answer
127 views

dividend paid on FTSE100 time series data

I need dividend paid on FTSE100 for last 10 years. I want to calculate the dividend-price ratio for FTSE100 as a time series data. I would really appreciate if anybody can give me a clue about finding ...
4
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5answers
3k views

Where to find historical stock news and other events?

So, I am working on a strategy that has pin-pointed some very interesting events in the form of extremely low volatility. The phenomena spans the past few years and a wide variety of symbols. Now, to ...
1
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2answers
337 views

Why does the Weak Form of Market Efficiency and Markov Property hold?

This question is to do with a paragraph in Hull (Options and other Derivatives) He explains that Stock Prices usually follow a Markov Property, where the current price of the stock contains all the ...
4
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3answers
1k views

Black Scholes and high dividend paying stocks

I understood there were 3 alternative methods of dealing with dividends in BS: 1) using a continuous dividend yield as an input; or 2) setting dividends to zero and subtracting the PV of divs from the ...
5
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1answer
300 views

Interpret predictions weekly and monthly stock price returns [closed]

I have built a model in R that predicts weekly and monthly returns of stock prices using regression trees, roughly based on https://www.r-bloggers.com/using-cart-for-stock-market-forecasting/. In my ...
2
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0answers
511 views

How does this return decomposition work?

http://image-src.bcg.com/Images/BCG-Value-Creators-2017-Appendix-July-2017_tcm9-166061.pdf The paper here decomposes total shareholder return into different components. Here is my derivation of the ...
3
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2answers
566 views

Clever ways of “summarising” the equity fund universe

I am trying to get some advice or direction (brainstorm) as to the best way to summarise/cluster/etc. the equity fund universe (which for my purposes consists of about 150 funds). Some of my ideas at ...
1
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1answer
130 views

Risk Management methods for Stock portfolio with ~30 stocks

What is ideal Risk Management method/methods s for stock portfolios with 25-30 stocks and around 50.000 USD invested in those stocks. Every stock bought will be kept in the portfolio for 1 to 12 ...
0
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1answer
116 views

Is it possible to generate time&sales(tape) off of the tick data for a stock?

I want to build my own stock trading simulator with the ability to play it faster. ThinkorSwim has onDemand. But it's not fast enough to accumulate more experience. To code up my own market replay ...
1
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1answer
116 views

Dividend Yield Goyal and Welch (2008)

Following the Goyal and Welch (2008) stock return predictability data, does anyone know how they calculate the dividend yield from the dataset that they provide on Amit Goyals website http://www.hec....
4
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2answers
183 views

SPX Trading Capital: What happened on December 5, 2016?

(I am not certain if this is the correct Stack to post this question.) What structural changes, legislative or otherwise, took place in 2016, such that on Dec 5, 2016, the Trading Capital (Price*...
4
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2answers
26k views

How to calculate equally weighted market portfolio

There's two studies that test the same thing in different markets (i.e. they apply the identical methodology). They state: 1) "$R_{mt}$ is the equally weighted average stock return in the dual-listed ...
0
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1answer
56 views

What are the reasons that make stock return - bond yield correlation a meaningful one?

I have come across interesting charts that show the changing correlation between stock returns and government bond yields. My gut instinct tells me that such relationship would be expected to be ...
8
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5answers
721 views

Modeling Long-Term Mean Reversion in Asset Returns

Fortunately, for obvious reasons, few applications require simulating asset returns over horizons in excess of 30 years. Nevertheless, simulations over long horizons are sometimes conducted as part ...
31
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7answers
2k views

Why do some anomalies persist while others fade away?

In their 1990 book, A Non-Random Walk Down Wall Street, Andrew Lo and Craig MacKinlay document a number of persistent predictable patterns in stock prices. One of these "anomalies" is variously known ...
2
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0answers
262 views

Long term equity repo

Let's assume I have various European stocks and would like to somehow estimate their long-term (5y+) forward prices. As for repo rate for each individual stock, is it reasonable to assume that its ...
2
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3answers
125 views

Does longer time horizon necessarily imply reduced risk?

Is there a mathematical/statistical basis for the commonly-held belief that the longer certain assets (particularly equities) are held, the less risk the investor is exposed to? Alternatively, is ...
0
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2answers
98 views

Basic question re: Fed interest rate tightening and rising interest rates

February 2/8/2018 - context in case the question is still around beyond today: the stock market has been falling for almost a couple of weeks in the midst of fears of overheating of the economy (...
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2answers
425 views

Identify stock split from historical price data

I have price series data with open, high, low, close and adjusted close for different companies. I am not sure whether this data is adjusted for stock splits or not and would like to know how to check ...