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.

Filter by
Sorted by
Tagged with
9
votes
3answers
371 views

How to improve the consistency of explained variance statistics in a linear equity model?

I have an intraday equity returns linear model that, overall, shows good values in terms of $R^2$, p-value and other explained variance statistics. Around 70% of the stocks show consistent R-squared (...
9
votes
2answers
839 views

What is a reasonable upper bound on the performance of a daily trading strategy?

I am backtesting an equity trading strategy which trades only once per day. Is there a general rule of thumb for the reasonable upper bound on the rate of return of such a strategy? For example, a ...
9
votes
2answers
526 views

How well does CAPM beta track the risk of a particular market relative to world markets?

Can the CAPM beta of emerging markets be less than the beta of the developed markets? As part of my research, I run regressions using market indices. I estimate the beta using a regression of MSCI ...
9
votes
2answers
3k views

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). 1) If I was to regress stock prices (or returns) on a ...
9
votes
4answers
645 views

Position management in presence of continuous forecast

Let's say we have an equity liquidity-providing model that was fitted on 1 minute bar periods. The model forecasts the 1-min next period return given the activity of the previous bars. Now, when we ...
9
votes
1answer
1k views

looking for regulations regarding stock symbol reuse in the US

in june 2009, GM has filed for bankruptcy. trading has moved from NYSE to OTC pink sheets, and the symbol changed to GMGMQ and later to MTLQQ. in november 2010 a new GM symbol started trading on NYSE. ...
9
votes
1answer
431 views

Which valuation measures are most useful for equity market timing?

Competing academic studies, such as Asness's Fight the Fed Model and Lee, Myers, and Swaminathan's What is the Intrinsic Value of the Dow, offer differing answers to the question of whether equity ...
9
votes
4answers
6k views

How to normalize different instruments by volatility?

I'm trying to think on a way to normalize stocks to be on the same scale depending on their recent volatility. Is there some theoretical reference on the subject or and experience you can share?
9
votes
2answers
398 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 ...
9
votes
2answers
1k views

Why do low standard deviation stocks tend to have superior future returns?

I've recently stumbled on something that really surprised me. These papers (1, 2) find that past standard deviation of returns is inversely related to future returns. That is, portfolio of low ...
9
votes
0answers
479 views

Why are my GARCH forecasts biased?

I've run an ARMA(1, 1)-GARCH(1, 1) model with normal density on log returns for twelve stocks. I computed the one-step-ahead out of sample forecast for daily volatility on a rolling windows for 500 ...
8
votes
4answers
2k views

Is this how stock trading works?

I was told to move this question here from Money Stack Exchange, where some people have already provided some feedback. This is a very basic question about the Stock Exchange, and I was looking for ...
8
votes
4answers
1k views

Why should there be an equity risk premium?

After years of mathematical finance I am still not satisfied with the idea of a risk premium in the case of stocks. I agree that (often) there is a premium for long dated bonds, illiquid bonds or ...
8
votes
6answers
1k views

Kurtosis in asset logarithmic returns

Assets such as stocks usually display kurtosis in their logarithmic returns. However, their logarithmic returns in a time interval $n$ are the sum of smaller logarithmic returns in $1/n$ time ...
8
votes
4answers
3k views

How to compute momentum from equity time series?

Let's say I have time series of stock prices for many stocks. What's the best way to sort the stocks based on which have been going up/stayed the same relative to others? Can this be done with a ...
8
votes
3answers
977 views

How to account for jumps in intraday data when calculating beta?

I am calculating betas on intraday trade data at 15-minute intervals. For simplicity sake, let's assume I am modeling \begin{equation} Y = \beta * X + c \end{equation} where $Y$ is the return of XLF ...
8
votes
3answers
349 views

Can Gaussianity of returns depend on the time frame?

I would be interested in knowing if the fact that returns are Gaussian is disproved on all time frames, or if, for example, the 5 minute intra-day time frame could exhibits Gaussian returns assuming ...
8
votes
1answer
369 views

Replicating a portfolio with a certain payoff function

Assume there are two stocks $S_1$ with price $p_1(t)$ and $S_2$ with price $p_2(t)$ where $t$ indicates time. Assume, there is a hypothetical derivative $D$, which is such that, price of $D$ at a time ...
8
votes
5answers
4k views

Thoughts on how quantitative hedge funds use machine learning to invest in the stock market (algorithms, examples of data, etc.)

I believe there are several post on this general topic but I thought I would start my own thread. I'm a former fundamental hedge fund investor (i.e. modeling a company's financials, forecasting the ...
8
votes
2answers
765 views

Should I use currency hedged or unhedged returns for a global equity allocation model?

I am building a global tactical equity allocation model. The model will help determine an optimal allocation amongst a number of major developed and emerging stock markets (represented for my purposes ...
8
votes
1answer
291 views

How do stock watch firms know who is buying and selling stocks before it is announced publicly?

The interview Warren Buffett Sells 30% Stake In IBM | Squawk Box | CNBC on May 5, 2017 mentioned that there exist "stock watch firms" that spotted Warren Buffett sold 30% of his stake in IBM before it ...
8
votes
2answers
765 views

Why are we obsessed over normalizing financial data?

I have recently began work on some high frequency financial tick data. I have been told to 'normalize' the data as much as possible and run linear regressions through them. In fact, the data doesn't ...
8
votes
1answer
678 views

How to use binomial tree for portfolio of equity products

How can I use a binomial tree to price a European option that's based on a portfolio of equity products? I have volatility and correlation matrix of all underlying products? Looking for a formula ...
8
votes
1answer
222 views

Execution quality for illiquid securities

The SEC's execution quality statistics measurements (Rule 605) arguably does a poor job at measuring the execution quality of ...
8
votes
2answers
3k views

How can index futures trade 24/7 when the index doesn't change?

I have read that the E-Mini S&P 500 Futures trade 24/7, how is that possible? I mean the underlying stocks which form the index are traded from 9:30am-4pm - so outside of these hours the S&P ...
8
votes
2answers
316 views

Testing for stock market herding over short periods

The literature has well established methods for testing stock market herding over a decent time window. Are there any ways that have appeared in the literature to test for stock market herding over ...
8
votes
1answer
341 views

Estimate price movement per unit of volume for daily data

I'm working on backtesting a number of stock trading strategies and need to estimate how much the execution price will likely deviate from the historical close price for that asset using daily data; ...
8
votes
1answer
346 views

How to assign equity analyst recommendations to a common, numeric scale?

Yahoo finance conveniently provides historic ratings from a number of analysts. Unfortunately, each analyst seems to use a different scale: buy/hold/sell, perform/outperform/neutral, overweight/equal ...
8
votes
3answers
493 views

What is an acceptable error on implied volatility?

Given an implied volatility surface (on equity indexes) and a calibrated model, what is the range of error on implied volatility a trader would accept ? This obviously depends on the model used to ...
8
votes
1answer
552 views

NASDAQ TotalView ITCH order reference number number characteristics

I am building a custom hash implementation for storing NASDAQ ITCH order messages. Obviously this is keyed on the order reference number and I am wondering if these numbers are sequential, random or ...
7
votes
2answers
722 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, ...
7
votes
4answers
1k views

Do low volatility stocks outperform high volatility stocks over the long run?

A recent article from Forbes seems to indicate that low volatility stocks outperform high volatility stocks over the long run. Does anyone have any supporting or contradicting evidence to this claim? ...
7
votes
4answers
1k views

If I have found a way to predict stocks trend with 58% accuracy, is it good?

Say I have found a way through technical analysis to predict how stocks would behave with 58% accuracy, how good is this percentage?
7
votes
2answers
5k views

Data exported from Capital IQ, FactSet, Bloomberg, Compustat

I'm looking for reliable data on US equity fundamentals, but not sure which vendor provides these features: Unlimited data export Coverage of disbanded entities (bankruptcies, M&A) Financial ...
7
votes
2answers
348 views

What close price to assume for thinly traded stocks?

If a thinly traded stock has not traded for the last few days (volume=0), is it better to use the last known trade price (i.e. roll over last non-missing trade price) or use last known bid/ask/...
7
votes
5answers
6k views

How to calculate compound returns of leveraged ETFs?

Forewarning: this is a complete newbie question :-) I am starting to learn about ETFs by trying to do the numbers. When learning about the compounding effect in leveraged ETFs, I wanted to simulate ...
7
votes
1answer
2k views

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 (...
7
votes
2answers
396 views

Why do I have a statistically significant slope regressing R(t) on R(t-1)

I am reading Cochrane's lecture note here He mentioned that when you regress annual return on time t on that of time t-1, you will have neither statistically significant nor economically significant ...
7
votes
1answer
3k views

What exactly is an ISO order?

I have been looking this up and I feel like I keep running into different definitions. My understanding is that an ISO order is one which will get filled with the displayed quantity in a particular ...
7
votes
1answer
262 views

How are dual class shares different from non dual class shares from a market makers' perspective?

Assume a stock Foo with a single share class. Furthermore, assume a dual class stock Bar with classes I and II with different voting rights. The shares in the different classes have equal cash flow ...
7
votes
3answers
5k 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 ...
7
votes
3answers
4k views

Why are interest rates and stock prices positively correlated?

If I've been looking at graphs correctly, there is a strong positive correlation between stock prices (or P/B values) and interest rates over time, i.e. P/B values tend to be high when interest rates ...
7
votes
2answers
2k views

Why is stock futures price much lower than spot?

What might be the reason for a futures price on a stock being much lower than the spot, i.e. stock price? Spot = 8.30 Futures M17 = 7.45 U17 = 7.23 The company does not pay dividends. No-arbitrage ...
7
votes
0answers
2k views

Commerical delayed stock quote feed that is redistributable?

I'm looking for a commercial delayed quote feed that will allow us to distribute delayed US stock market quotes to the public (ie. that will allow us to display US delayed quotes on the Internet). We ...
6
votes
4answers
860 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 ...
6
votes
4answers
1k views

How to calculate probability of touching a take-profit without touching a stop-loss?

How to calculate probability of touching a take-profit without touching a stop-loss (no-dividend stock, infinite time)?
6
votes
6answers
687 views

Why can sometimes stock prices rise when interest rates rise?

Basic macroeconomics theory states that stock prices are inversely correlated with interest rates, i.e., when interest rates rise, borrowing is more costly, and thus companies with huge debt would be ...
6
votes
4answers
480 views

Why is the equity premium not arbitraged away?

The Equity Risk Premium Puzzle concerns the observation that equity returns are generally greater than bond returns. The puzzle is well known and widely studied, what is keeping investors from ...
6
votes
3answers
4k 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 ...
6
votes
2answers
23k views

How to normalize stock data

Please advise how can i normalize stock prices. Recently, I've been using such formulas: Log prices = Ln(Close(t)) Close(t)-Mean (Close(t)-Mean)/(StdDev) Ln(Close(t))-Mean Is there any other ways?

1
2
3 4 5
18