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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How can we estimate new stock price after a large purchase?
Suppose someone buys $4bn of a particular stock over the period of a few weeks. Depending on how much that stock is being traded, you would expect that the price goes up in a visible way compared to ...
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Any known bugs with Yahoo Finance adjusted close data ?
Yahoo Finance allows you to download tables of their daily historical stock price data.
The data includes an adjusted closing price that I thought I might use to calculate daily log returns as a ...
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How to simulate stock prices with a Geometric Brownian Motion?
I want to simulate stock price paths with different stochastic processes. I started with the famous geometric brownian motion. I simulated the values with the following formula:
$$R_i=\frac{S_{i+1}-...
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Why does the adjusted closing price take into account dividends?
I'm trying to get an intuition as to why the adjusted closing price includes a dividend adjustment:
\begin{equation}
1 - \frac{dividend}{close}
\end{equation}
I understand why the adjusted closing ...
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How to design a custom equity backtester? [closed]
I was thinking about writing my own backtester and I realize I have to make some assumptions. So I was hoping I could post what I am planning on doing and hopefully some of you can give me some ideas ...
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When should you build your own equity risk model?
Commercial risk models (e.g., Barra, Axioma, Barclays, Northfield) have evolved to a very high level of sophistication. However, all of these models attempt to solve a very broad set of problems. ...
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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 ...
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P/E Ratio of a stock index
I tried to find the P/E ratio of a stock index. Should I calculate the weighted harmonic mean of all constituents OR select the weighted median P/E ratio as the index's P/E?
many thanks!
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Forward Adjusting Stock Prices?
How should one correctly forward adjust historical prices given a time series of Open, High, Low, Close, Return?
Suppose that the data series is given below ('1' is the oldest interval; '5' is the ...
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Scanning a stock database for errors/flaws
I'm currently working on some matlab code that is supposed to check a stock database for any errors (missing values, wrong values, etc.). The reason for this is that after reading this post I came to ...
user2278
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Why do low standard deviation stocks tend to have superior future returns?
I've recently stumbled on something that really surprised me. These papers (1, 2) find that past standard deviation of returns is inversely related to future returns. That is, portfolio of low ...
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How to normalize stock data
Please advise how can i normalize stock prices.
Recently, I've been using such formulas:
Log prices = Ln(Close(t))
Close(t)-Mean
(Close(t)-Mean)/(StdDev)
Ln(Close(t))-Mean
Is there any other ways?
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How do traders hedge against “tail side risk” in practice?
In a recent CNBC interview, Black Swan author Nassim Nicholas Taleb gave a categorical advice about investing in the Corona period. “It is very unwise to do any form of investment without some form of ...
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Nasdaq trading under the scenes: market makers, ECNs, brokers. Who buys from and sells to whom?
U. S. Securities and Exchange Commission (SEC) defines market maker as:
"A market maker is a firm that stands ready to buy and sell a particular stock on a regular and continuous basis at a publicly ...
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call vs put open interest
I have been observing the data for US stock options.
In general, it seem like there are more open interest for call rather than for put, is there a reason people like to write more call?
at the ...
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How can you determine the correct significance of the Shiller P/E regression?
The "Shiller P/E regression" refers to the regression of real stock market returns over the next 20 years on the Shiller P/E. When I did this OLS regression myself (based on the data from Prof. ...
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Bloomberg API / Excel Add In - Delisted Stocks
So I am using the Bloomberg Excel add in but can also use the API. My dilemma is I have a list of tickers containing SP500 historical constituents and I have retrieved 600 of them from an alternative ...
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Exclusion of Utilites and Financials in Magic Formula
In Joel Greenblatt's magic formula, see https://en.wikipedia.org/wiki/Magic_formula_investing, why are utilities and financials excluded? What is the reasoning behind this?
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Definition of wilder's moving average
https://www.marketvolume.com/technicalanalysis/wildersvolatility.asp
I see this page describes wilder's moving average. But the first step ATR = SMA(TR) is not ...
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Lévy alpha-stable distribution and modelling of stock prices.
Since Mandelbrot, Fama and others have performed seminal work on the topic, it has been suspected that stock price fluctuations can be more appropriately modeled using Lévy alpha-stable distrbutions ...
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Machine Learning vs Regression and/or Why still use the latter?
I come from a different field (Machine learning/AI/data science), but aim to ask a philosophical question with the utmost respect:
Why do quantitative financial analysts (analysts/traders/etc.) prefer ...
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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 ...
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What are the best sources for equity quantitative research?
What are the best sources of quantitative finance research in equities?
I will list a couple and note an asterisk if the research is available by request (i.e. non-clients) or online:
BAC-Merrill ...
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Is the stock price process a martingale or a Markov process?
Some people claim that the data-generating process for stocks is a "martingale" and that is has the "Markov property".
Are they unrelated? Is it that the Markov property implies some sort of ...
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How to solve for the implied stock lending rate given equity options prices?
When market makers price options on hard-to-borrow equities, they include the cost to borrow the underlying equity that their broker is going to charge them to sell the security short to hedge. I'm ...
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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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How do you distinguish "significant" moves from noise?
How do you distinguish between losses that are within the normal range for day-to-day shifts and situations with a real potential for loss? The specific application I have in mind is pattern ...
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How can I learn about the quantitative aspects of market making in illiquid single stock options?
I would like to learn more about the possible ways of doing quantitative research regarding option market making. In particular, while the mainstream index option market may be very liquid, the ...
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How to cluster stocks and construct an affinity matrix?
My goal is to find clusters of stocks. The "affinity" matrix will define the "closeness" of points. This article gives a bit more background. The ultimate purpose is to investigate the "cohesion" ...
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How to forecast expected volatility from high-frequency equity panel data?
I'm wading through the vast sea of literature on realized volatility estimation and expected volatility forecasting (see, e.g. Realized Volatility by Andersen and Benzoni, which cites 120 other papers,...
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Hedging stocks with VIX futures
It seems that VIX futures could be a great hedge for a long-only stock portfolio since they rise when stocks fall. But how many VIX futures should I buy to hedge my portfolio, and which futures ...
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How do I reproduce the cross-sectional regression in "Intraday Patterns in the Cross-section of Stock Returns"?
Recently I was trying to reproduce the results of "Intraday Patterns in the Cross-section of Stock Returns" (published in the Journal of Finance 2010). The authors used cross-sectional regression to ...
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Which brokers offer a .NET stock trading API?
I'm trying to make up my mind and choose a broker, however much of my choice depends on the trading API offered.
I'm definitely not interested in FIX solutions and I'd very much like a .NET ...
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Price functions based on order book events
Assume some equity traded on a given exchange based on an electronic limit open-order book $B$ that makes sequential updates as a function of time $t$. What are "natural" or common price functions $P: ...
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What are the main market efficiency measures in the stock market?
I'm going to test for the effect of the change in market efficiency on the stock market portfolio, and, I want to know what are the main measures known in the academic literature in order to compare ...
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What are the econometric assumptions in the Fama-MacBeth procedure (1973)?
Fama-MacBeth (1973) introduce a two stage cross-sectional regression method (http://en.wikipedia.org/wiki/Fama%E2%80%93MacBeth_regression).
If I was to regress stock prices (or returns) on a ...
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How to use binomial tree for portfolio of equity products
How can I use a binomial tree to price a European option that's based on a portfolio of equity products? I have volatility and correlation matrix of all underlying products?
Looking for a formula ...
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What is a reasonable upper bound on the performance of a daily trading strategy?
I am backtesting an equity trading strategy which trades only once per day. Is there a general rule of thumb for the reasonable upper bound on the rate of return of such a strategy? For example, a ...
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Why should there be an equity risk premium?
After years of mathematical finance I am still not satisfied with the idea of a risk premium in the case of stocks.
I agree that (often) there is a premium for long dated bonds, illiquid bonds or ...
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Why is stock futures price much lower than spot?
What might be the reason for a futures price on a stock being much lower than the spot, i.e. stock price?
Spot = 8.30
Futures
M17 = 7.45
U17 = 7.23
The company does not pay dividends.
No-arbitrage ...
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Can Gaussianity of returns depend on the time frame?
I would be interested in knowing if the fact that returns are Gaussian is disproved on all time frames, or if, for example, the 5 minute intra-day time frame could exhibits Gaussian returns assuming ...
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Data exported from Capital IQ, FactSet, Bloomberg, Compustat
I'm looking for reliable data on US equity fundamentals, but not sure which vendor provides these features:
Unlimited data export
Coverage of disbanded entities (bankruptcies, M&A)
Financial ...
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Replicating a portfolio with a certain payoff function
Assume there are two stocks $S_1$ with price $p_1(t)$ and $S_2$ with price $p_2(t)$ where $t$ indicates time. Assume, there is a hypothetical derivative $D$, which is such that, price of $D$ at a time ...
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Cochrane on Return Predictability
Being a lover of Sir Arthur Conan Doyle's work, I picked up a copy of Cochrane’s 2008 paper, The Dog That Did Not Bark: A Defense of Return Predictability and read:
If returns are not predictable, ...
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Why can sometimes stock prices rise when interest rates rise?
Basic macroeconomics theory states that stock prices are inversely correlated with interest rates, i.e., when interest rates rise, borrowing is more costly, and thus companies with huge debt would be ...
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How are quants able to verify whether their calculated prices are any good
This question is related to the discussion on Model Validation Criteria
However it appeard to be very high level to me and I would like to go more into detail.
Not working at a pricing desk the ...
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What is the relative performance of hard-to-borrow securities?
Is there any research on the equity return performance of hard-to-borrow securities?
Many shops will simply screen for hard-to-borrow and eliminate these names from their short book.
Anecdotally, ...
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How to hedge a derivative that pays the reciprocal of the stock price?
1) Suppose S is the stock price, how to hedge a derivative that pays $1/S_t$ at time $t$?
2) Suppose there will be a dividend of amount $d$ between $t$ and $T$, how to hedge a derivative that pays $...
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What is meant by innovations in volatility?
I am currently reading about stocks with "high sensitivity to innovations in aggregate volatility". I am not a native speaker so this might be a trivial question, but I truly cannot find an answer ...
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Latency and Delays across Exchanges
I have recently come across this paper by Battalio et al. "Can Brokers Have it all? On the Relation between Make Take Fees & Limit Order Execution Quality" and realized how little I know about the ...
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