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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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47 votes
12 answers
7k views

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 ...
Raskolnikov's user avatar
  • 1,527
44 votes
6 answers
11k views

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 ...
Kirk Hadley's user avatar
36 votes
7 answers
3k 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 ...
Tal Fishman's user avatar
  • 13.5k
34 votes
5 answers
66k views

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}-...
user1690846's user avatar
31 votes
5 answers
10k views

Quantitative Math required for Market-making?

I understand there is an awful lot of Quantitative Math required for statistical arbitrage/algorithmic trading. However, would someone "in the know" be able to tell me whether there is less ...
intrigued_66's user avatar
31 votes
6 answers
9k 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....
gappy's user avatar
  • 3,593
29 votes
9 answers
20k views

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 ...
Paul's user avatar
  • 523
28 votes
8 answers
6k views

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 ...
user667's user avatar
  • 381
27 votes
5 answers
16k views

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 ...
Andr's user avatar
  • 763
27 votes
3 answers
8k views

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 ...
23 votes
2 answers
2k views

What are reasons not to do factor investing in equity markets?

Factor investing in equity markets is one of the hot topics of these days. Many manufacturers of investment products offer exposure to small cap, momentum, minvol, value and other pure factors or ...
Richi Wa's user avatar
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22 votes
4 answers
9k views

data on historical stock price of bankrupt companies

does anybody know a site where I can download historical data on stocks including companies that have gone bankrupt such as lehman brothers? it appears that bankrupt companies no longer appear in the ...
kamikaze_pilot's user avatar
22 votes
4 answers
6k views

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. ...
Tal Fishman's user avatar
  • 13.5k
21 votes
4 answers
8k views

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 ...
unclepaul84's user avatar
21 votes
11 answers
16k 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 ...
kefeizhou's user avatar
  • 357
20 votes
2 answers
974 views

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 ...
monksy's user avatar
  • 766
19 votes
5 answers
8k views

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" ...
Navi's user avatar
  • 243
19 votes
2 answers
5k views

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 ...
Soham's user avatar
  • 305
19 votes
4 answers
22k views

How to get list of all CUSIPS/ISIN?

I want a list of all CUSIPs/ISINs. It would be nice if they were also categorized (e.g. Bonds/Funds etc). Where can I get such a data?
pathikrit's user avatar
  • 241
18 votes
4 answers
8k views

Most complete list of investment mistakes in stock markets

I'm looking for a (hopefully exhaustive or at least extensive) list of behavioral biases that are currently observable in the stock market. I'm well aware and replicated some of the evergreens such as ...
T123's user avatar
  • 545
18 votes
4 answers
2k views

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 ...
pteetor's user avatar
  • 2,297
18 votes
2 answers
2k views

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,...
Tal Fishman's user avatar
  • 13.5k
18 votes
1 answer
2k views

Testing Valuation, Size and Momentum (proprietary factors) from 1988-2013: No evidence of driving cross-sectional returns

I am currently testing whether three proprietary factors - Valuation, Size and Momentum - explain cross-sectional returns. A sample of 3000 securities was tested using Fama-MacBeth two-pass ...
Mayou's user avatar
  • 662
17 votes
3 answers
14k views

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 ...
randomletters's user avatar
17 votes
3 answers
603 views

How do you characterize dividends for equity options?

While many systems like to treat dividends as a continuous yield when pricing equity options, it works quite poorly for short-dated options. In the short run, deterministic dividends are clearly the ...
Brian B's user avatar
  • 14.9k
15 votes
2 answers
886 views

Missing step in stock price movement equations

Assuming a naive stochastic process for modelling movements in stock prices we have: $dS = \mu S dt + \sigma S \sqrt{dt}$ where S = Stock Price, t = time, mu is a drift constant and sigma is a ...
jeebs's user avatar
  • 423
14 votes
1 answer
3k views

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 ...
Dzidas's user avatar
  • 241
14 votes
1 answer
706 views

How to estimate the covariance of an index with a basket of stocks?

What would be an ideal way to estimate the covariance of an index with a basket of stocks? For example, should I use one-tail ANOVA test or an individual stock & index F-test?
Add's user avatar
  • 1,397
13 votes
7 answers
14k views

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 ...
em70's user avatar
  • 345
13 votes
1 answer
726 views

What methods do I need to learn in order forecast asset price movements?

What are the standard models used to forecast asset price movements? For example, if I were to trade an option, what model would I use in conjunction with option pricing models to forecast the stock ...
user697697's user avatar
13 votes
1 answer
560 views

Currency Hedged ETFs

At work we were talking about currency hedging our equity index exposures but I am struggling to understand how this happens in a typical iShares ETF. If we take the Japan ETF IJPN then we see this ...
Jack Kada's user avatar
  • 809
13 votes
4 answers
3k views

Thesis using Momentum strategies in R, tips on good books, guidelines etc on how to do the programming?

I am quite new to R and will be doing an empirical analysis of momentum strategies in R using a dataset from the index OSEAX from 1980 to 2014. The momentum strategy will for the most part resemble ...
V.kogn's user avatar
  • 131
12 votes
4 answers
2k views

Why is volatility said to be persistent?

Persistence in volatility of stock returns is one of the common 'stylized facts' when it comes to analyzing time series. However, I am wondering for theoretical arguments why (estimated) volatility ...
Stefan Voigt's user avatar
  • 1,466
12 votes
6 answers
11k views

Where to get historical intraday stock data?

I hate to ask questions that have been asked before. But I am afraid that this is one of them. I have searched the web for days now, read so many forum posts. But I can't find an answer. Most answers ...
No Body's user avatar
  • 121
12 votes
4 answers
10k views

How google finance calculates beta of a stock

How google finance calculates beta of a stock - What is the proxy for the market? - What is the time period it uses for regression?
Sriwantha Attanayake's user avatar
11 votes
4 answers
2k 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 ...
Jan Stuller's user avatar
  • 6,178
11 votes
5 answers
17k views

Quick way to check what 'tape' a stock belongs to?

For the SIP feeds, there is the CTA and the UTP plan and they cover Tapes A,B and Tape C respectively. Is there an easy way to check on google what tape a stock would belong to? Particularly when it ...
Palace Chan's user avatar
  • 1,347
11 votes
1 answer
3k 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 (...
Vijay Kumar's user avatar
11 votes
1 answer
623 views

Alternative liquidity measures

I'm going to write the MSc thesis on flight-to-liquidity phenomenon in stock markets and I'm interested in liquidity measures other than Amihud or bid-ask spread. What are some other popular measures ...
p_giannuzzo's user avatar
11 votes
2 answers
4k views

How we can forecast stock prices using chaos theory?

I saw an article in which the writer had mentioned that he used chaos theory to predict stock prices and ended up with a profit over 30%. Chaos theory is basically about finding patterns called ...
Egalitarian's user avatar
11 votes
3 answers
14k views

Which Database (MySql or NoSQL) for a Stock market App

I'm re-creating an app for Stockmarket Screening & Realtime charting Display. The database wireframe which i propose to design is as follows: 1. Company master - Where all the information of ...
Sunny's user avatar
  • 111
11 votes
1 answer
6k views

SP500 sector weights - how do they change?

The weights of the nine S&P equity sector indexes vary over time. One can find measures of them in a number of different formats: S&P 500 Sector SPDRs - historical sector weights Here's ...
Jagra's user avatar
  • 581
11 votes
1 answer
2k views

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: ...
Randomblue's user avatar
11 votes
3 answers
7k views

Determine trends of data (direction detection or turning point detection)

I'm working on a model to determine trends (direction detection or turning point detection). Suppose that we have a stock trend which is illustrated below. Blue line is real trend of stock close ...
user2991243's user avatar
11 votes
1 answer
3k views

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 ...
user749's user avatar
  • 213
11 votes
1 answer
3k views

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 ...
Quantopik's user avatar
  • 2,486
10 votes
1 answer
738 views

Any research paper on stop loss?

Has there been any rigorous study on stop loss ? When to apply it? Has it been shown to work through proper statistical backtests? I am interested in Equities, preferably European stocks.
Siddharth's user avatar
  • 101
10 votes
2 answers
4k views

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 ...
Sunv's user avatar
  • 321
10 votes
3 answers
4k views

Is equity market making a game of speed?

I have always felt that equity market making was a speed game for HFTs. But recently I talked to someone on the buy side, who made a claim to the contrary. He argued that with the right market making ...
silencer's user avatar
  • 1,553
10 votes
3 answers
889 views

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 ...
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