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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3answers
322 views

Where to get historical equity data?

I have a decade of experience as a software engineer, but little quantitative finance knowledge. I have an idea for a simple trading strategy based around moving averages. In order to test it, I'd ...
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1answer
105 views

Equity repo close to money market rates?

I've noticed that the repo rate (here I mean the effective financing rate of the forward position in stock) implied from synthetic forwards is almost the same as money market benchmark (XXXibor 3M) ...
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0answers
94 views

Detecting leading stocks using lag correlation

I am working on a project to find leading stocks in a stock market by using lag correlation. Say I want to compare 2 stocks, X and Y, and I have the time series of stock prices. Assume that the ...
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0answers
33 views

General to specific approach to modelling

I am trying to find the relationship of stock indices across the world. This has been done by the literature, however, I am wondering about the methods chosen. I have decided to go with what I think ...
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1answer
4k views

Free stock split history data source?

Does anyone know of a reliable (free) source of historical stock split information? There's a YQL api for pulling down 'key stats' on a symbol but it only contains the LastSplitDate. Adjusted close ...
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0answers
28 views

Stocks listing inside a Google SpreadSheet

I would be interested to have all the stocks inside a Google Spreadsheet. The features would be the Symbol, Name, Country, Sector, Industry. An example would be ABC, AmerisourceBergen Corporation (...
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2answers
140 views

Getting a list of all trading days?

I have a large dataset (taken from Kaggle: https://www.kaggle.com/borismarjanovic/price-volume-data-for-all-us-stocks-etfs/), and I would like to fill in the missing data. To do that I can (1) ...
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0answers
80 views

Derivative of the stock price and volume at time t

According to Forecasting of Jump Arrivals in Stock Prices: New Attention-based Network Architecture using Limit Order Book Data at page 9, I would be interested in deriving the the price (ask and bid ...
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0answers
39 views

What are the different indicators to measure historical volatility for stocks on individual basis?

Google search shows there are three indicators to measure volatility: 1. Average True Range 2. Standard Deviation / Variance 3. Bollinger Bands. What are the indicator(s) that you use to identify ...
2
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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 ...
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1answer
46 views

Hong Kong stocks and HSI - Turnover and market cap in HKD?

Hello sorry newbie questions - HSI (Hang Seng Index) and stocks under it, dividend,Turnover and Market Cap always in USD or in local currency HKD? This is actually a broader questions for Asian ...
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2answers
1k views

Implied Volatility of stock on Think or Swim

Think or swim has this thing where they have do a implied volatility of a stock. I have chatted with the TOS people but they aren't terribly helpful. Regardless they did send me two images of what ...
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5answers
5k views

List of TSX stocks with their sector and industry

Is there a website that offers free download or API where I can get an up-to-date list of all securities listed on the TSX along with their sector/industry? I could scrape individual screens for each ...
2
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0answers
55 views

How did this after hours massive NFLX short/long strategy make a profit? [closed]

I’ve seen thus market action 2 times now in the past few months. The first was before ADBE earnings release, and most recently was NFLX release. The setup: Earnings release pending after hours ...
2
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4answers
418 views

Backtesting Fundamental Equity Strategies in Python

I am trying to run a local backtest using Python and Zipline seems to be the most popular package out there. Does any one have isnight on ingesting fundamental data for the backtest? The documentation ...
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4answers
5k 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 ...
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0answers
41 views

Best database source to download large number of stock prices [duplicate]

I am wondering what databases exists where I can download stock prices from 2006 to today with the following features 1) using Python API 2) using Bloomberg tickers (e.g. AAPL US Equity) 3) free ...
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1answer
119 views

Value-at-risk and Equity delta

How to validate value-at-risk calculation on an equity portfolio using equity sensitivities? I don't have trouble doing that for rates instruments or options but I don't know which underlying risk ...
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1answer
49 views

Looking for a paper related to tail risk of hedge funds and its decomposition

I am looking for a paper related to hedge fund tail risks (think skewness and kurtosis), decomposition of the tail risks into several components and their interactions with each other, other funds, ...
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4answers
1k views

Data sources for financials of global equities

I looked through the master list of data sources but could not find any data sources for financial data of global equities. An example would be the balance sheet of, say, ...
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1answer
33 views

How to buy a stock as close to the marketopen price as possible in NSE?

I can place an order at 9.15 1s or 0s, using the API. The maximum change I can incur is +0.4%, kindly give your opinion on how I can do this? I use kite zerodha
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1answer
37 views

Most Recent Stock Return for a Machine Learning Project [duplicate]

I am doing a machine learning pet project that requires me to construct a column for stock return between Jan 1, 2018 and today (Dec 26, 2018). I am basically looking for the most recent annual return ...
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0answers
157 views

How to mathematically compute the volatility range of each stock?

I joined a stock market group and in this stock group, there is a proprietary "daily trading range (or DTR)" that the founder uses. However in order to do this for all the hundreds of stocks in the ...
1
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1answer
300 views

Looking for most current Financial API that is fast and accurate for NYSE NASDAQ AMEX OTC and PINKs

Looking to build a real time data feed, stock monitor window. Pretty much the same as equityfeed.com market viewer window, just with a few addedfeatures and or different filter columns with more up ...
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1answer
113 views

“J” message type in Nasdaq ITCH Totalview sample file

I am trying to parse the uncompressed file 10302018.NASDAQ_ITCH50 (from ftp://emi.nasdaq.com/ITCH/10302018.NASDAQ_ITCH50.gz). There is a strange message type "J". The spec (https://www.nasdaqtrader....
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1answer
79 views

Delta hedging with futures

If I trade a futures roll on S&P on two futures contract, say 100 contracts of dec vs mar roll. Do I have any residual delta to hedge? I see small residual $ delta, should I hedge this?
2
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1answer
75 views

Variance Swap : dividends and rates

In a simplified world you can assume that the var swap is replicated by a continuous set of calls and puts and interest rates are equal to zero. So your PNL is only sensitive to the volatility. But in ...
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2answers
96 views

Order books theoretical price

Suppose we have the following bid/ask spread for a particular stock: What is the theoretical value of the stock? Now suppose we have: What is the theoretical value of the stock? Now suppose a ...
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1answer
111 views

Cost of equity proper way of calculation

Dear Community members, I need to calculate cost of equity following the following description: (Please, correct me if I misinterpret the meaning) "The annualized cost of equity, re(t), is ...
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4answers
115 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 ...
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1answer
44 views

Where can I download for free the entire price history of the nasdaq composite and s&p500 indices? [duplicate]

I would like the entire price history of both these indices at an end-of-day level, not intra day. Is there an R api that I can use for such an exercise?
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1answer
36 views

How to add Ticker column to Quandl API call?

I was curious how I would get this same data, but also with a column with a ticker column (e.g. FB)? https://www.quandl.com/api/v3/datasets/WIKI/FB/data.csv?&start_date=2014-01-01&end_date=...
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2answers
775 views

Pricing Corridor Variance Spreads

Recently in the equity derivatives market there have been some trades on what are known as "Corridor Variance Spreads." The large equity derivative dealers and investment banks have been promoting it ...
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1answer
120 views

How is the performance measure computed here?

The image is from John C Hull Textbook titled Options, Futures and Other Derivatives ( page 407 - Ninth Edition). The table above was obtained after computing the delta of stock price, shares ...
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1answer
2k views

Delta One Trading business [closed]

I don't really know what exactly Delta One desks are doing. So I was wondering if anyone was kind enough to share any papers, articles, blogs that kind of explains Delta One trading Desks activities ...
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1answer
99 views

How does Kenneth French create the industry portfolio returns?

Kenneth Frenches Data Library includes industry portfolios. Is this done via a software of some type. I have some stock returns but I want to calculcated the returns of the industries in the ...
2
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1answer
68 views

Gordon's dividend valuation model: Ignoring optionality

Currently studying some papers on Behavioral Finance (the dividend puzzle), which employ some basic valuation models, calculating stock's fundamental value $P_t$. The most known is the discount of ...
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0answers
28 views

Which stock price to take for historical ratios in stock screener (EPS etc.)?

We are currently testing a stock screener that we built and want to implement historical ratios in there too - this is working already for all ratios that don't require stock prices (so all ...
2
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0answers
90 views

Does Academic Research Destroy Stock Return Predictability?

McLean/Pontiff (2016) give evidence that portfolio returns are 26% lower out-of-sample and 58% lower after publishing an academic paper on variables, which are likely to predict cross-sectional ...
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1answer
76 views

selecting key performance indicators for a stock

Say, I read a financial statement of a company, and it reports, maybe 20-30 metrics, both generic, like revenue, free cash flow and specific to the company, like iphone sales etc. Is there a ...
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2answers
310 views

What are “Autoquotes”?

I'm reading a 2008 JoFMarkets paper by Shkilko et al. with title "Locked and crossed markets on NASDAQ and the NYSE" in which the authors investigate the determinants of locked and crossed markets. ...
3
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0answers
101 views

Regarding the post-facto predictability of stock market returns

Almost all of the research on equity factor investing deals with a priori predictability of the cross-section of stock market returns (i.e., models which use variables and data that would've have been ...
2
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2answers
92 views

Calculating excess returns

I would like to know if I am calculating these excess returns correctly. I have here an R dataframe with weekly 3-month treasury bill rates, and the arithmetic ...
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0answers
17 views

suggestion for NDX volatility index prior to 2000

NDX index is available since 1984 in Bloomberg. There's VXN index that represents the implied volatility of NDX, which is available since 2001. I need some index or series that represents implied ...
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0answers
11 views

Research on the performance of listed subsidiaries

Some countries (India, Pakistan, Nigeria, among others) seem to force multinational corporations that do business there to list the local operation on the national stock exchange and to let public ...
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1answer
339 views

Volatility of stocks small cap vs large cap

I read that small cap stocks are more volatile than large cap stocks. Now I am looking for sources (e.g research papers or similiar) with empirical evidence for this proposition but I can't find any (...
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1answer
51 views

How does inflation impact stock returns? Academic examples

For a literature survey in my university class, I have been asked the question "How does inflation impact stock returns?". After reading some informal articles (in periodicals/ the general internet), ...
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0answers
52 views

reconstructing Russell 2000 returns

I have a historical list of index components, so I'm just adding up market caps of those to get a proxy for the index. However, when I check it against Bloomberg, my returns are consistently higher - ...
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1answer
48 views

Bond and Stock Relationship

Is there any formulair relationship between the price of a corporate bond and the stock on the same company?
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4answers
11k 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 ...