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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1answer
26 views

ETF with international constituents

I was just wondering how the fair price of ETF with international holdings are accurately priced. Say we have an ETF that trades on domestic exchange but the holdings are international and the market ...
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Pricing a barrier call option using a copula

Consider two stocks, $S_1$ and $S_2$, with marginal pdfs $f_{S_1}$ and $f_{S_2}$. Assume $F(S_1,S_2)$ is the joint CDF. I'm trying work out a semi-analytic formula for the price of the barrier call ...
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32 views

optimize.portfolio not processing 'mean' objective

I've just started investigating the capabilities of the PortfolioAnalytics package. I've had it working for smaller considerations, around 20 stocks. These return all objectives I have registered (...
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0answers
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How does a futures contract work [closed]

Can someone explain to me how a futures contract work. I am still a bit confused about the overall mechanics and would appreciate if someone could help clear any misunderstanding. From what I ...
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4answers
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+500

What mechanisms does the market use to brining an asset back to the market line, as defined by CAPM?

The Capital Asset Pricing Model (CAPM) model states that, on efficient market, expected return of an asset should be given by a linear function of its volatility (as measure by standard deviation of ...
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1answer
19 views

ETF bid/ask spread

I was just wondering if someone could explain to me how an ETF market maker earns profit through the spread they collect while hedging the positions to be non-directional. For example I read somewhere ...
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0answers
34 views

Single period risk-neutral probability derivation

Let $S_u$ be the price of stock in the up-state one period from now. Let $S_d$ be the price of the stock in the down state. Let $C_u$ be the payoff of a call option at time $1$ in the up-state and ...
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2answers
145 views

What drives the difference between M1 & M2 money supply (in the US)?

From what I understand the only entity that controls M1 in US is the Federal Reserve. Is it true that M2-M1( M2 minus M1; the part of M2 that is NOT in M1 like timed deposits) is controlled by the ...
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1answer
45 views

Technical analysis - Market vs Stock/Product Growth Decomposition

I am looking for an authoritative source for the standard methodology for decomposing growth between market and individual units. For example, in retail sales, decomposing growth between market level ...
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1answer
38 views

Historical intraday dataset with penny stocks with a gap-up of 10% or above

I am trying to find intraday datasets of pennystocks. My criteria for the dataset is that it needs to only contain pennystocks where the gap-up was 10% or above. I am looking for a free option but ...
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24 views

What BUY order type should I use if I have a limit price in mind, but I still want to capture best price if it goes below my limit?

I'm pretty new to trading, and I couldn't really find anything helpful online. Say I want to buy a stock for a maximum of 21 USD per share. However, if the price hits 21, I don't want my order to fill ...
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48 views

How to Determine the Total Return Swap Notional Value at Each Reset Period?

Say my asset leg of a quarterly reset TRS is: $$V_{asset}(t) = \sum_{\tau=0.25}^{T}\bigg(N(t,\tau) \cdot \frac{F(t,\tau)-F(t,\tau-0.25)}{F(t,\tau-0.25)} \cdot Z(t,\tau)\bigg)$$ and my funding leg is $$...
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2answers
179 views

Are there any standards for the precision of stocks prices, amount of stocks etc.?

I am currently developing a software that needs to store stock prices and the amount of stocks (sold/purchased) of a given company. Now I am wondering which data types I need to use to store this data....
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3answers
96 views

Risk free rate's role in CAPM

I don't understand what is the mathematical and financial role of risk free rate in the CAPM formula . Why do we need to add 10 years treasury yield to the formula then substract it again from the ...
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2answers
132 views

Backtesting a portfolio strategy with several assets

I am aware that there exist several libraries and programs that allow to baktest a portfolio strategy by iterating through the OHLC dataframe of the stocks of interest (Backtrader, Backtesting, ...). ...
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1answer
57 views

Price a contingent claim with payoff $(S_T-K)1_{\{S_T>K\}}1_{\{L\leq X_T\leq U\}}$

I'd like to price the following contingent claim using a copula model. $$V_T = (S_T-K)1_{\{S_T>K\}}1_{\{L\leq X_T\leq U\}}$$ where $S$ and $X$ are two stock price processes which follow a non-flat ...
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0answers
32 views

How to deal with blank entries in computing log growth

I am conducting a study to discover which variables best explain stock volatility during COVID. I am currently completing linear regressions before implementing GARCH, however I have come across a ...
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1answer
130 views

R - Portfolio construction based on own calculations, with rebalancing of components

I have used random forest in R to get probabilities for stocks being in a certain class. With those probabilities i would like to construct portfolios containing the 5 stocks with the highest ...
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5answers
350 views

Technical Indicators reference

I have been looking for a good reference where I can find how technical indicators of stock market analysis are calculated. I have a dataset (time series) which I want to extract these indicators to ...
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2answers
810 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, ...
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1answer
38 views

Capital efficiency of event triggered strategy

Let's assume we have two long short equity strategies A, B with a Sharpe ratio of 2 each. ...
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0answers
47 views

How to download all tickers listed in the Tokyo stock exchange?

I'm trying to download all tickers listed in the Tokyo stock exchange (according to their website, there should be 3,756 tickers in total). What I have tried so far: I have tried the Yahoo-ticker-...
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0answers
35 views

How does yahoo calculate Growth Estimates

Does anyone know how yahoo calculates Growth Estimates for the Next 5 Years (per annum)? For example, I can see 12.64% for AAPL as reporetd in Yahoo finance in https://finance.yahoo.com/quote/AAPL/...
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2answers
950 views

Free dividend data API for non-US stocks

Is there are any free API for dividend data that does also include non-US stocks? I know of this question from three years ago. However, the situation has changed since then apparently, as there are ...
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0answers
105 views

How is the total return of an alpha strategy being calculated during backtesting?

I am using a quant simulation platform and I have chosen a formulaic alpha to be used. Now the platform is backtesting and displaying the total return of the alpha strategy over 12 years. The trading ...
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2answers
129 views

What's the difference between a stock trading on an exchange and a stock being listed on an exchange?

As I recently learnt, all U.S. stocks are part of either Tape A, Tape B or C. Stocks listed on the NYSE are on Tape A, NASDAQ-listed stocks are on Tape C and everything else is on Tape B. Of course, ...
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2answers
197 views

Where to get historical price and fundamental data for global equities?

I'm looking for reliable research data on global equity fundamentals, but I'm not sure which vendor provides these (and preferably only these) features: Programmatic access of data. Coverage of ...
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1answer
86 views

How to download full daily historical data of MSCI AC Asia Index

I'm trying to download the daily historical data of the MSCI AC Asia Index. I've been testing different combinations of the following url: https://www.msci.com/eqb/esg/performance/110.0.all.html using ...
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0answers
34 views

spinoff entity value / adjusted close of a spinoff

When company $A$ spins off company $B$ (i.e. $A = A'+B$), how do we know exactly the adjustment factor of $A'$ and $B$ before trading Note I am not asking to value the new companies. That's a whole ...
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1answer
74 views

Using geometric brownian motion for stock price forecasting [closed]

I am doing a dissertation in finance on a maths degree. I wanted to forecast stock prices using artifcial neural networks but none of my tutors are able to supervise so I'm having to do something else....
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1answer
72 views

Copula analytic formula for $max(S_T^1 - K, 0) 1_{\{L<S_T^2<U\}}$

Consider the payoff function $$ V_T = max(S_T^1 - K, 0) 1_{\{L<S_T^2<U\}} = (S_T^1 - K)1_{\{S_T^1 > K\}}1_{\{L<S_T^2<U\}}$$ where $S_T^1$ and $S_T^2$ are two GBM distributed stocks with ...
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1answer
166 views

Downloading Historical Data from Finam.ru

I am looking for free historical intraday data (e.g., 30 mins, 1 hour) and I have came up to this website finam.ru, which is in Russian but it can be translated. The link to download the data is here. ...
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1answer
66 views

How does clearing and settlement work in Europe?

I understand the basic trade lifecycle but I can't find more information on how clearing and settlement works. To my knowledge, if I buy VOD LN executed on LSE - this will be cleared by LCH which is ...
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3answers
133 views

Backtesting Period Effect

I am backtesting a stock trading strategy. I tested it over two time periods: 2000-2020 and 2015-2020 and compared the results against a buy and hold strategy. To be clear, I only changed backtesting ...
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1answer
26 views

Why does historical equity ticks from Dukascopy.com not contain trade ticks?

I've found that ticks for equities (for example for companies from US market like Amazon or Apple) someone could name as "best bid/ask offer" (or Level 1 type of tick data) and them clearly ...
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0answers
31 views

Running a Hedge PnL Stress Test - how to?

I have a long only global equity portfolio hedged a by shorting an equity future. Say my portfolio is long USD100m equities and therefore I short USD100m of MSCI World future (assumed Beta of ...
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2answers
142 views

Forecasts for the S&P 500?

Would anyone know of any monthly forecasts for the S&P 500, historical over a long time periods. Websites like estimize provide forecasts of all sorts of things likes stocks and the balance of ...
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2answers
60 views

free equity screeners with export to excel

I am having a tough time finding a free equity screener that allows me to download the following data into excel: P/E or EV/EBITDA, Growth, Return on capital or any return measures would be helpful. ...
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3answers
503 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 ...
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2answers
110 views

how to implement momentum strategy for stocks in R

Good morning, I'm implementing factor investing strategies to choose stocks to insert in a portfolio. I have calculated low volatility factor and now I would to calculate momentum of each stock so ...
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0answers
31 views

How can I know the distribution of how many shares were bought in specific price?

Given a stock and any time $t$, is there a way to find the distribution $f_t$ $$f_t: \text{price}\ p \rightarrow \text{in current time $t$, how many shares were bought in price $p$}$$ For example, a ...
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2answers
41 views

Cross-listed stocks - how to get capital allocation per country?

https://en.wikipedia.org/wiki/Cross_listing Cross-listing (or multi-listing, or interlisting) of shares is when a firm lists its equity shares on one or more foreign stock exchange in addition to its ...
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1answer
42 views

Complicated DCF valuation [closed]

Recently I tried to do a few valuation models. I searched a lot for information on the topic, but everything I found was pretty similar simplified models. Please recommend where I can look at more ...
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4answers
177 views

Where to get the stock universe?

Is there any way to reliably get a full list of symbols (in whatever format), for multiple exchanges (e.g. NYSE, NASDAQ, LSE, JPX, HKEX and so on). Additional info (like sector, or symbols of listed ...
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4answers
775 views

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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1answer
89 views

Sharpe Ratio Graphed Over Time

I looked and could not find a suitable answer to my question already, so: What is the best way to calculate the Sharpe Ratio over time, given I have about a decade's worth of 1-minute candlesticks? I ...
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0answers
20 views

Seed Values guaranteed convergence of Implied Volatility Calculation

Looking for good seed values for Newton Raphson to guarantee convergence of implied volatility calculation for a few models, all of which are for equities that have divs. 1) Bjerksund-Stensland 2002; ...
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1answer
63 views

Longstaff-Schwartz for any optimal stopping

Let's say I have the stock of General Motors and I assume some fancy model for the price of this stock and I have to sell it within a month. Can I use Longstaff-Schwartz algorithm to determine the ...
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1answer
55 views

Metrics to apply to trading strategies [closed]

Other than average gain, average loss, and accuracy, what other metrics might be helpful if you were to attempt a new trading strategy? Is there any oddities of mathematics that you would take into ...
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1answer
184 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 ...

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