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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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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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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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....
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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 ...
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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 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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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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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 ...
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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 ...
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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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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 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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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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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 ...
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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 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 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?
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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 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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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 ...
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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 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 ...
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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 ...
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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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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?
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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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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 ...
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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 ...
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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 ...
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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 ...
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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 ...
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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?
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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 ...
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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 ...
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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 ...
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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 ...
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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 ...
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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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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 ...
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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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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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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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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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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.
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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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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 ...
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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 ...
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