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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2
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1answer
68 views

stock specific volatility

I was unsure about the precise definition of "stock specific volatility". Used in this question "A stock has beta of 2.0 and stock specific daily volatility of 0.02. Suppose that yesterday's closing ...
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2answers
873 views

How could I become a market maker in forex/equity market?

By being a market maker, I mean when I post a limit order, someone could take your order. For example, suppose during this second the bid-ask is 1,1.01 constantly and I posted a limit order to buy at ...
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1answer
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Where do the zero returns in QMNIX (AQR Market Neutral) come from?

QMNIX, Which is a market neutral offering from AQR, has a surprising number of totally flat days. https://finance.yahoo.com/quote/QMNIX%3FP%3DQMNIX/history/ Looking at the returns, 124 of them, which ...
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2answers
109 views

Backtesting with Stock Indices, how does one deal with it?

I was wondering how to backtest using stock indices. For example, the FTSE100 has had changes in its components over time. How does one go about testing a time period from i.e. 2000 - 2018, even if ...
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0answers
46 views

Day OPEN = prior day CLOSE in S&P 500 index historical data

There is a phenomenon in the historical data of the S&P 500 index, of extended periods with repeated occurrences of 'today's open = yesterday's close'. It could have made sense had it been the ...
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101 views

Where can I get alerts for future delisting of stocks/ETFs?

I scan / trade a universe of 1500 different European and US stocks and ETFs trading on many different exchanges. I would like to get notified before any of the tickers are delisted, so I can sell ...
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1answer
91 views

Pull IDX stocks with alphavantage?

How do I pull data for stocks on the indonesian stock exchange (https://www.idx.co.id/en-us/market-data/stocks-data/list-of-stocks/) with alphavantage? What is the symbol I should pass? I've tried for ...
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3answers
1k views

Equity short Interest data source

I'm looking for short interest data (those disclosed on 15 days basis to FINRA) As far as I know FINRA publishes only OTC data (http://otce.finra.org/ESI). Nasdaq.com contains only nasdaq traded ...
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0answers
52 views

Why does it make sense to be long deep OTM calls on a stock if I expect the share price to jump in the near term?

This may be a simple question to all, however, it is puzzling me for the simple reason that deep OTM calls have very small deltas per the BSM. That is, even if the share price jumps (e.g. IBM moves ...
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53 views

Credit spread model

Let $c(t,T):=-\frac{1}{T-t}[\mathrm{ln}(P_1(t,T))-\mathrm{ln}(P_0(t,T))]$, with: $c$ measure of how a company is prone to fail; $P_0(t,T):=e^{-r(T-t)}$ price of no-defaultable bond. $P_1(t,T):=\...
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0answers
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Stock Market API (time and sales) [duplicate]

How can I programmatically pull historic data from the stock market for multiple tickers; containing the price and volume of every transaction (time and sales)?
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60 views

2 ways to calculate profits, which both seem legit, but produce different results - what am I missing?

I'm trying to calculate this simple example with 2 ways which both seem legit, and getting different results. Way 1: at the beginning of day $t$, first reset the holdings to 0, then buy the number of ...
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0answers
46 views

Value of portfolio with fixed discrete dividends

I know that this is a very simple question, but i want to make sure to grasp the concept of ex dividend and value of portfolio. Suppose that we have a two period binomial tree of a stock with initial ...
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0answers
274 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
29 views

high quality daily data [duplicate]

I am analysing some trading strategies, so lots of high quality data is needed. I have been using yahoo finance which provides a lot of high quality daily data on stocks and indices. Currently I am ...
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2answers
123 views

Where can I get the actual info about how many stocks are there in markets all over the world?

I need to test an algorithm for large-scale data in stocks market. I wanna know how many stocks are there all over the world and the data source.
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4answers
213 views

Predicting portfolio returns

I suppose there are roughly two approaches to predict portfolio returns. Either predict the returns of all underlying stocks and aggregate all individual stock predictions, or predict the portfolio ...
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2answers
248 views

Stock valuation/stock pitch and CAPM

If you were valuing a stock (say to pitch a stock for the buy side), you are looking for stocks that the market has mispriced. Your aim is to have a profitable long or short strategy. Can you use the ...
3
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2answers
113 views

Optimal investment mix of equity and debt in a single company, HY vs IG

What is the optimal mix of equity and debt that an investor should invest in a single company? If an investor invests in both the debt and equity of a company, they are in effect de-levering the ...
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1answer
89 views

Getting rate from a share's given futures price, with known dividend information

Question was answered by @Ezy - thanks! This seems to be a basic question, but mysteriously unsolvable as far as I can see. It concerns calculating the interest rate from a given stock futures ...
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43 views

Equal weight correlation swap payoff derivation

I am aware that the payoff for a equal weighted correlation swap is; $$ (\rho_K-\rho)*\text{Notional} $$ where $$ \rho = \frac{2} {n(n-1)}\sum_{i < j} \rho_{ij} $$ I am wondering how I can derive ...
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2answers
572 views

API for Earnings date

Is there any API for getting past/future earnings date for a specific symbol? I tried TDAmeritrade API, Ally and IEX, none of them provide this information yet.
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2answers
154 views

Factor-Based Equity Investing [closed]

What is the simplest way (process) to develop a factor-based investing strategy with STOCKS? ...
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0answers
87 views

Barra Equity Risk Model Methodology

I am interested in learning about the Barra's Equity risk model methodology. When I google, this is the first file that comes up: http://www.alacra.com/alacra/help/barra_handbook_US.pdf However, it ...
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1answer
92 views

Is there a straightforward way to get a “family tree” for a stock?

I would like to find a way to generate what might be called a "family tree" for a stock. Given a stock symbol and a future date, I'd like a graph (either literally or represented in list or other ...
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2answers
76 views

What is a robust method to determine if the stock's market price is below its intrinsic value and can be bought in a Fundamental analysis perspective?

It is a very common idea that Fundamental analysis looks at the intrinsic value of a stock, but if I were to look at the stock market right now, I just see the movement of the price of the stock, ...
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1answer
116 views

IPO Valuation: Share Pricing and Number of Shares

Does the number of shares matter for a company to go public? Suppose a company ABC went public and the initial valuation of the company shares to be sold stands at \$5000. Now, it can sell 1000 ...
2
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1answer
51 views

ETF performance/returns

I was going over some ETF return data on yahoo finance and encountered some numbers that did not make sense to me. The image below shows a ytd return of 17.94% and 13.52%. I checked ETF.com and ETFdb ...
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0answers
46 views

Analyse correlation between LIBOR (quote in yield) and MSCI AC World (in dollars)

How would you analyse the correlation between LIBOR and MXWD? My initial intention was to get the log return of MXWD and take the opposite of the log return of the LIBOR yield (because when yield ...
4
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1answer
136 views

Geometric Brownian Motion unable to model / predict jumps

In my finance course, we were talking about the flaws of modelling Stock Prices with the geometric Brownian Motion. According to my professor: "Since the geometric Brownian Motion has continous time ...
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0answers
43 views

Theoretical justification for why estimating intrinsic value of a stock price can be different under FCFF and FCFE approaches?

what is the theoretical justification for why estimating intrinsic value of a stock price can be different under FCFF (Free Cash Flow to the Firm) and FCFE (Free Cash Flow to the equity) approaches? ...
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1answer
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1answer
65 views

DATA for Backtest [duplicate]

I am a retail trader and i am looking for a data set that comprehends all us equities, ETF's, ADR's and indices going back at least to January 1st 2007. Data would need to be split + dividend ...
5
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1answer
129 views

Fama and French 1997 Cost of Equity

Dear Quantitative Finance Members, I was wondering if you can clarify me the following issue. I am trying to estimate the cost of equity following "Industry costs of equity" (Fama and French, 1997). ...
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2answers
455 views

Cochrane on Return Predictability

Being a lover of Sir Arthur Conan Doyle's work, I picked up a copy of Cochrane’s 2008 paper, The Dog That Did Not Bark: A Defense of Return Predictability and read: If returns are not predictable, ...
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1answer
672 views

Differences between Snowball, KIKO and TRF derivatives?

Can you explain what are some similarities and differences between snowball, KIKO (knock in knock out) and TRF (target redemption forward) derivatives?
3
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1answer
189 views

What is the correct way to calculate the annualized returns from rolling windows starting from monthly returns?

What is the correct way to calculate the annualized returns in 5-year rolling estimation windows starting from monthly returns? Is it most correct to first annualize the returns (using the geometric ...
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1answer
77 views

Classifying groups of stocks beyond Market Cap/Industry/Sector

I'm monitoring margin values for a portfolio and I want to classify the stocks in my universe using different metrics/information. Just for the sake of making analysis/inferences on the data I have. ...
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3answers
1k views

EOD historical data

Apologies If I'm not posting in the right area. Currently I'm using eoddata.com to get pricing data for the US market. Although not always 100% in pricing, I'm quite happy with it. There is another ...
3
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1answer
221 views

Why is it more accurate to simulate ln(S) rather than S?

Let's take a process $S$ that satisfies: \begin{equation} dS = \mu S dt + \sigma S dz \end{equation} with $dz$ a Wiener process, $\sigma$ the volatility of $S$, $\mu$ the expected return of $S$. From ...
2
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1answer
110 views

Data: Why is a firm stock delisted?

Shumway (1997) highlights that stock returns in cross-sectional portfolio analysis have to be adjusted for firm delistings. The CRSP database maintains a monthly delisting file (msedelist) with ...
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2answers
222 views

Permanent or long-term (months) market impact of large trades in stocks / equities

I need an estimate of the "permanent" long-term price impact of large institutional trades. When an investor makes a large trade, there will be a price impact due to the trade. Institutional ...
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0answers
97 views

CRSP VW index price data (not return data) - where?

I am trying to find index price levels for the CRSP value weighted index (excl. distributions), not pre-calculated returns. I have access to WRDS, where I can download the returns on the index and ...
2
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1answer
692 views

Interactive Brokers - Tracking High Relative Trading Volume

I'm new to Interactive Brokers (and day trading), I am trying to setup my different charts etc. How can I have alerts/monitor for any stock that is trading at above average volume - compared to X? ...
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1answer
243 views

Algorithmic Trading: Normalization and Selection of Technical Indicators for Artificial Neural Networks [closed]

I study on algorithmic trading for a while based on technical indicators. I started to learn about neural networks and want to use technical trading indicators in this approach. However, I am not ...
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1answer
136 views

Equity Derivatives Question [closed]

I'm preparing to take a test on equity derivatives and have met with some difficulty, so I need some help on the following question: Please analyze the following share purchase plan. Assume client ...
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1answer
122 views

Historical VaR for shares in foreign currency

I'm currently studying John Hull's [1] example on historical value at risk for portfolio consisting of four stock indices. In this example Hull converts the prices of the stock indices to the home ...
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4answers
2k views

How to download bloomberg intraday data efficiently with API

so I would download a bunch of intraday data, for a bunch of securities, but we keep hitting our monthly cap limit. We don't want to upgrade to a more expensive package as this is simply a research ...
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0answers
31 views

Understanding how to calculate Hedge Fund Net Asset Value (NAV), and getting a better grasp of the business purpose of a Hedge Fund NAV [closed]

Sorry if I sound naïve, but I'm new to the financial field(especially new to quantitative finance). I've seen 2 types of definitions for NAV when I search the internet. NAV = (Assets - Liabilities) ...
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0answers
147 views

Replicating the EIOPA equity index for the symmetric adjustment of the equity capital charge in Solvency 2

My question is rather specific but I'm wondering if someone might be able to help. In the Solvency 2 framework, the equity capital charge requires to compute a symmetric adjustment which is itself ...

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