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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2answers
162 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
63 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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1answer
139 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
361 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
878 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
40 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
54 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
36 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
1k 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
110 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
131 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
214 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
99 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
89 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
78 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
208 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
67 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
143 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
34 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
63 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
547 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
240 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
32 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
42 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
44 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
189 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
806 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
102 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
22 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
65 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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1answer
62 views

What happened to direct access “electronic day trading” after 1998-2002?

I was looking through book catalogues and databases when I noticed something: most books about direct access "electronic day trading" for retail traders were published between 1998-2002, ...
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0answers
32 views

Are there research that suggests stock will open higher than average daily value?

I heard it somewhere that it is an academically documented behavior. I am quite skeptical about it. Are there relevant research that supports it or debunks it?
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0answers
42 views

Measuring Information Coefficient and Sharpe Ratio

I have been looking through / using Quantopians' Alphalens library to measure/create new factors, and I had some questions in evaluating the credibility of the factor. This is what I have: I have ...
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3answers
113 views

Affordable NASDAQ/NYSE Tick-By-Tick

I am looking for a place to get all NYSE/NASDAQ data for every trade (price/size) on a particular ticker. The data can be delayed by minutes/hours. I am a student and am trying to use this for a ...
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0answers
93 views

The real reason behind discrepancy between Amazon low level of earing of and its staggering market value? [closed]

It is often said that, in the history of Amazon, the discrepancy between its low level of earnings and its staggering market value can be justified by its high level of free or operating cash flows(...
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1answer
53 views

Is this the reason why stock prices on the broad average always rise?

According to the so called Dividend Discount Model (DDM), a particular, temporary stock price is the discounted sum of all future dividends resulting from the investment: $$P=\frac{D}{i-g}$$ $P$ is ...
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3answers
408 views

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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0answers
28 views

Extract Qualitative information from annual report commentary and disclosure

Can anyone give idea on the value of latent information in annual report commentary and disclosure. It would be interesting to hear from analyst on how much time they spend reading through annual ...
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1answer
65 views

Why does an autocall on a linear payoff have vega?

Consider a (stochastic) linear index, say $I(t)$, in that it grows at the risk free rate (with some volatility of course). There exists a maturity date $T$ on which I receive $I(T)$; however there is ...
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0answers
61 views

Change of the stock price dynamics while pricing using the Fourier transform techniques

Right now I am trying to understand how we can use the Fourier theorem in obtaining the formula for option pricing (from Zhu J., "Modular pricing of options"). While modeling the interest ...
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2answers
158 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 ...
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1answer
64 views

Non-Trivial ATM Volatility in Vol smile construction from Market data on US Equities

have 2 quick questions please help. Constructing vol smile (OTM puts & OTM calls) from US equity market data. for Parabolas fit or other methods, the choice/method for ATM vol is non-trivial, ...
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0answers
18 views

What is 'No. of Trades' in NSE's 'Security-wise achieves' web page?

Let's say we have a stock ABC trading in NSE (Nation stock exchange of India), let's assume only 10 shares get traded on a particular day (so, volume is 10). A person named 'X' sells 10 shares from ...
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0answers
81 views

Differences between transaction types on the Euronext exchange (“Auction”, “Exchange Continuous”, “Retail Matching Facility”, etc.)

I was looking at the intraday transactions for securities listed on Euronext exchanges. Example 1 — Pharol (Euronext Lisbon: PHR): Example 2 — Aures Technologies (Euronext Paris: AURS): Notice the ...
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0answers
37 views

ARMA Order in GARCH

I want to do a GARCH forecast with a GARCH(1,1) Model but I am confused on which mean model I can or should choose. If I call the Auto.Arima function on the squared returns I get an ARMA(0,4) process ...

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