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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4answers
114 views

Sending order to Forex or Stocks from Python strategy

I have my own strategy developed in Python. But I couldn't find a reliable method to send, close, and modify orders using Python. Are there any tools that help order management using Python? I also ...
4
votes
2answers
366 views

Retrieval of MSCI factor index performance data from the web

I hope this question is on-topic. What is a convenient way to get MSCI index performance data from the web? I would be interested in daily performance data of the factor indices momentum, minvol, ...
4
votes
2answers
787 views

Equity short Interest data source

I'm looking for short interest data (those disclosed on 15 days basis to FINRA) As far as I know FINRA publishes only OTC data (http://otce.finra.org/ESI). Nasdaq.com contains only nasdaq traded ...
1
vote
2answers
85 views

If historical returns are no indication of future returns, why are they still shown to investors?

Stock returns and fund returns are on average not autocorrelated and thus unpredictable. Consequently, looking at a historical price chart gives no indication in which direction tomorrows price will ...
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votes
2answers
81 views

Locked/crossed prices in US equities

I'm trying to build a consolidated LOB from several direct feeds. However, there are many instances in which for a given stock, the bid price in one venue equals or crosses the ask price in a ...
5
votes
1answer
2k views

Commerical delayed stock quote feed that is redistributable?

I'm looking for a commercial delayed quote feed that will allow us to distribute delayed US stock market quotes to the public (ie. that will allow us to display US delayed quotes on the Internet). We ...
2
votes
1answer
104 views

Can you use GARCH-MIDAS for intraday data?

I'm working on a project to forecast volatility and I'm using intraday data (1 min). I want to include exogenous variables to the model that have daily frequency. I was wondering if GARCH-MIDAS can be ...
2
votes
1answer
53 views

Is it possible to calculate the equity required (or expected) return using Black-Scholes option pricing model?

I know the method of calculating the equity value as a European call option (using Black-scholes formula). My question is: Is it possible to calculate the expected (or required) return of equity when ...
2
votes
1answer
161 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 ...
2
votes
1answer
142 views

What is the correct way to calculate the annualized returns from rolling windows starting from monthly returns?

What is the correct way to calculate the annualized returns in 5-year rolling estimation windows starting from monthly returns? Is it most correct to first annualize the returns (using the geometric ...
2
votes
1answer
297 views

source for yahoo finance equities volume traded

I am looking at some academic studies regarding volume of stock traded. Yahoo Finance is used as the data source for volume. Does anyone know where the volume figure comes from? Is it a compilation ...
1
vote
1answer
80 views

Is there a straightforward way to get a “family tree” for a stock?

I would like to find a way to generate what might be called a "family tree" for a stock. Given a stock symbol and a future date, I'd like a graph (either literally or represented in list or other ...
1
vote
1answer
98 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 ...
1
vote
1answer
78 views

Where to Find Historical Earning Event (Quarterly Figures Dissemination) Dates?

I am looking for a data source / database that holds historical (10 years, better 20 years) dates of US and European stocks: I need the historical date when the quarterly (or annual) fundamental data ...
1
vote
1answer
198 views

Building predictive model for closing price using only previous days data

I am trying to determine which quantitative model to try and build a predictive model for the next day's closing price for all the S&P stocks based on their bar for that particular day. However, I ...
1
vote
1answer
247 views

What does NPV ASSENTED after stock name mean?

For a project, I have to quantitatively implement a strategy for value investing in EURO STOXX 50. I pulled the data from Datastream. When I was checking some data plots for dividend yields and total ...
0
votes
1answer
51 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 ...
0
votes
1answer
73 views

Geometric Brownian Motion - Price Probabilities

I am modeling a stock price that follows Geometric Brownian Motion and have the following: $E(X)$ = .16 (16%) $\sigma$ = .24 (24%) $X_0$ = 95 $T$ = 1 (12 months) I am trying to find the ...
0
votes
1answer
42 views

Tracking historical short interest

I am looking for a source of historical (more than one year) short interest in a specific equity. NASDAQ provides only one year of short interest history. I am interested in looking back 2 to 3 years. ...
0
votes
1answer
321 views

API for fundamentals for NSE and BSE

I want APIs for accessing fundamental data of all stocks in NSE and BSE India. I have searched a lot But no luck. Any such services available please guide me. I'm looking for specifically quarterly ...
-1
votes
1answer
111 views

ITCH feed, price executed at different to original order?

I am parsing an ITCH feed (Nasdaq) and I received an Add message (A) for 100@105.2 on the Ask. Later I receive an Order Executed message (E), indicating 5 lots of the above order had been filled. No ...
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votes
1answer
428 views

Where to get historical IV rank & IV percentile data?

I thought my broker (Interactive Brokers) was offering this but looks like what they actually supply is IV / with historical realized volatility. I also checked Quandl but as this is not data for ...
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votes
1answer
85 views

How to calculate the elapsed time until a stock reach a certain price?

In specific, I will set a certain price to a stock and I want to know how long takes until the historical prices reach this price. Thanks you.
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1answer
154 views

European option on a dividend paying stock, limits to arbitrage?

What is the price C of a European call option on a dividend paying stock? I believe it is: C = U. N(d1) - exp(-rt).K.N(d2) d1 = [ ln(U/K) + (r + v^2/2).t ]/[ v.sqrt(t) ] d2 = d1 - v.sqrt(t) U ...
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votes
1answer
727 views

Forecasting next day return of a stock using PCA of index constituents

I am trying to predict the return of BN4.SI ( a singapore stock ) and part of Strait Times 30 component index using principal component Analysis. I have written my code in python. My Question is i ...
0
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0answers
16 views

For which companies reported/consensus revenue matters?

Is there a good heuristics to figure out the answer to this question? I.e. I don't want to regress revenue reported on subsequent returns.
0
votes
0answers
49 views

Reverse convertible quanto decomposition

I'm trying to decompose the pricing of a reverse convertible when quantoed. Say my domestic currency is EUR and the stock $S$ currency is USD. The quanto reverse convertible, structured as a ZC bond ...
0
votes
0answers
60 views

Constrained Optimization for performance attribution

I am trying to perform constrained opmitization for portfolio performance attribution analysis. Specifically, I am trying to determine the impact of sectors performance on the S&P 500 index. Min ...
0
votes
0answers
134 views

Interpretation of drift parameter $\mu$ in GBM

Currently studying Ito's calculus. Looking on the GBM model: $ \frac{d S_t}{S_t} = μ dt + \sigma d B_t$ we end up on the expected stock price at time t: $E[S_t]=s_0 e^{\mu t}$.What does actually $\mu$ ...
0
votes
0answers
47 views

Calculating total market price of security

Typically securities trade on a primary exchange and as such the 'price' of that security is quoted from the primary exchange. For example Exxon (XOM) stock is listed on the NYSE, even though there ...
0
votes
0answers
52 views

How do analyst on Wall Street forecast whole balance sheet

I am always curious as to how people on wall street forecast every single item on a company's balance out up to 3 years. It seems to me just pure false accuracy in order to come up with a price target....
0
votes
0answers
54 views

Calculating the PB of a stock in practice

This is a practical problem of calculating the PB of a stock. Here is a example of Jenapharm, but I am not sure which terms following can be found in Bloomberg. ...
0
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0answers
41 views

RegNMS, National best bid/offer and Smart Order Routing

I read Flash Boys when it first came out. If memory serves correctly it said US exchanges are required to forward received orders to another exchange if it has better prices, to achieve the best ...
0
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0answers
28 views

Best strategy for generating floats with minimum amount of risk

I'm looking for a way to get cash-in-hand in exchange for future obligation. For example, I can sell deep-in-the-money puts and buy out-of-the-money puts (for hedge) with expiration of 2 years, The ...
0
votes
0answers
35 views

Spot an activity of stock tickers

I've got 5 minute interval data of the 500 most viewed tickers. I would like to try to correlate changes in place in ranking of given ticker with volatility of underlying asset (for given stock market)...
0
votes
0answers
80 views

Where can I get alerts for future delisting of stocks/ETFs?

I scan / trade a universe of 1500 different European and US stocks and ETFs trading on many different exchanges. I would like to get notified before any of the tickers are delisted, so I can sell ...
0
votes
0answers
26 views

Random Walk choosing constant $g$

I am looking at a stock, say stock X and I am simulating it by a random walk. It is only simulated once every month, where $t$ represents the month. I am letting $S_0$ represent the value of the stock ...
0
votes
0answers
76 views

Real value of small numbers of shares of company stock

What is the real value of a single share of company stock? Let's ignore the "the value is what someone is willing to pay for it" angle. At some point, there has to be a real inherent value to ...