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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4answers
3k views

List of Stocks by Sector

Does anyone know where I can find a list of all stocks traded on the NYSE in a table that also includes what sector they are in? I want to look at some data using info both from the individual stock ...
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1answer
2k views

How to estimate market integration parameter in Singer-Terhaar model for E(r)?

Singer-Terhaar is part of CFA II and III curriculum. It estimates risk premium for some asset, traded at some local market, as weighted average of expected premiums for the case of (1) local market, ...
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1answer
204 views

Risk-neutral models for rights issues

A rights issue is the granting by a corporation to its shareholders of a right to purchase $N$ new shares for each $M$ shares they already hold at a (often discounted) price $K$. Thus, it ...
3
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1answer
244 views

At what volume would you move the price at the opening auction?

At many exchanges the opening price is set using an auction which takes place pre-opening (see here for example). During the auction you are allowed to place orders according to certain rules (you ...
3
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3answers
375 views

Leveraged and inverse leveraged ETFs - what is the exact defintion?

I just had a quick look at the daily returns for a few pairs of leveraged ETFs - it appears that the percent daily returns do not match perfectly. For instance, looking at FAS/FAZ, the returns for the ...
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4answers
260 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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1answer
229 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 ...
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1answer
224 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 ...
3
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1answer
244 views

Option on index vs option on index future

Cash-settled options on the S&P 500 index existed before options on futures on that index. Where would the demand for options on futures have come from prompting the exchange to begin listing them,...
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1answer
894 views

Robust way to calculate P&L for stocks/futures trading

I have implemented a class in C# that will calculate P&L based on this description from TT. However it worries me that it gives different results for the same fills, if you apply the "fill ...
3
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1answer
328 views

Determining maximum strategy capacity and optimal order size for low frequency equity strategy

I have developed a low frequency equity trading strategy that seems to work well with stocks in the S&P 500. Someone asked me about the maximum capacity of the strategy (how much AUM I could ...
3
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2answers
579 views

Clever ways of “summarising” the equity fund universe

I am trying to get some advice or direction (brainstorm) as to the best way to summarise/cluster/etc. the equity fund universe (which for my purposes consists of about 150 funds). Some of my ideas at ...
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3answers
282 views

Why is the value of the VXX ETN always above short-term VIX futures prices?

If the VXX is simply a constant maturity weighted average of the 1st and 2nd month VIX futures prices, then why is its market price always larger than the maximum of the two? (the larger of the two is ...
3
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2answers
995 views

Forecasting problem with Geometric Brownian Motion in Wolfram Mathematica

I'm a full time undergraduate student from Peru, and I'm trying to use the Geometric Brownian Motion example used in the help section from Wolfram Mathematica in order to forecast future stock prices,...
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2answers
441 views

Trend estimation techniques

What is the best way (most common) to discover if a stock is trending or not? (Despite drawing a line). A hurst exponent? A linear regression maybe?
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2answers
905 views

How to compare different volatility measures?

I read the Euan Sinclair's book (Volatility trading) in which he suggests different volatility estimators (Close-to-close, Parkinson, Garman-Klass, ...). I am inquiring about what is the best stock ...
3
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2answers
3k views

Calculating Geometric mean

I need to annualize daily returns for about 120 firms for over a period of 10 years. I chose to calculate the geometric return because 1) it is the actual return 2) to avoid the asymmetric effect of ...
3
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1answer
222 views

Can Central Index Keys (CIKs) issued by the SEC be reassigned?

Suppose company A has CIK 0000012345 and ceases to exist. At some later time, company B registers with the SEC to submit filings. Is it possible that company B will be assigned the same CIK ...
3
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1answer
228 views

Historical data on short rates

I would like to backtest a short-equity strategy. I'm looking for historical data on the availability of shares and cost to short certain stocks. Does anyone know of such data being available anywhere?...
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0answers
69 views

Identifying the same company behind stocks traded in different exchanges (e.g. CUSIP and WKN in 1990ies)

I would like to merge two data sources with companies headquartered in Germany between 1980-2000, but listed in Germany and the US. One source identifies "German companies" by their CUSIP, the other ...
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0answers
102 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
104 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 ...
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91 views

American CRR implied vols

Given I have all other parameters lined up with the market (borrow rate, dividends...), if I imply volatility using CRR tree from american call and put with the same strike and expiry, will I always ...
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0answers
106 views

Financing of an equity forward

How reasonable it is to assume that the forwards (implied through call-put parity from European options) on easy-to-borrow European stocks will "grow" at Euribor/Eonia rate? In other words, is it ...
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0answers
63 views

What study has shown that “about two thirds of acquisitions end up destroying shareholder value”?

The Best of Value Investing - Part 1 says: Study show [sic] that about two thirds of acquisitions end up destroying shareholder value. What study has shown that?
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0answers
119 views

Estimating factor returns with linearly dependent loadings

Given an $n\times 1$ vector of asset returns $r$, and a $n\times k$ matrix of factor loadings $X$, we can express the asset returns in terms of as-yet-unknown factors $f$ using $$ r = Xf + \epsilon $$...
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0answers
258 views

The Public Market Equivalent measure in private equity

What are the advantages and disadvantages of the Public Market Equivalent measure in private equity? Why is it that the volatility of the cash flows do not matter? This topic has been discussed in a ...
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0answers
235 views

Forecasting Equity returns using state-space models

I have data for 3 yrs of 5 min prices of various equities. I can construct a linear regression model and try to see the in-sample model performance. But I was wondering whether fitting a state-space ...
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0answers
112 views

Individual/casual investors and the bias towards blue-chip stocks?

There's quite a bit of research (example, [1]) teasing out the fact that home/casual/individual investors prefer stocks with large positive skewness. It surprised me, as I was reading a bunch of these ...
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0answers
748 views

Hobbyist Quants [closed]

I'm interested in investing some money in the stock market, and I have the math background that will make following the math used in quantitative finance possible (with some work). What are the ...
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1answer
404 views

Understanding how market making helps investors

I'm reading about high frequency trading and market making. I'm trying to understand the following example from my book: Here is an example of how market making helps investors. Suppose that the best ...
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2answers
132 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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3answers
326 views

Intuitive explanation for the smile in FX

What is the intuitive reason for the smile in FX? For equities this usually down to crash risk.
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5answers
561 views

How would you try to predict the future behaviour of a stock price?

How does one answer this potential interview question? It's not a very clear question since there are clearly many factors. My first guess would be to talk about looking at the expected (mean) return ...
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3answers
142 views

What are the advantages and limitations of predicting future stock prices using stochastic differential equations?

Recently I came across the following stochastic differential equation that "predicts" the value of a given stock: \begin{equation} dS_t = \mu S_t dt + \sigma S_tdW_t \\ S_t(0) =S_0 \end{...
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4answers
435 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 ...
2
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1answer
139 views

Do stock returns show positive skewness?

Do highly liquid (blue chip) stocks exhibit positive skewness more than negative skewness? If so, would positive, rather than negative, skewness be an appropriate and intuitive prior when modeling ...
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2answers
2k views

Classifying stocks by industry (free)

Is there anyway to get the stock symbols of an exchange classified by industry? For example: AMD-semiconductor The best I could find was this page: https://money.cnn.com/data/sectors/tech/electronic/...
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4answers
448 views

What is currently predictable in the stock and bond markets and what is not

Disclaimer: I have some knowledge of statistics, machine learning and probability theory, but next to zero knowledge of finance (I had to look up Wikipedia to refresh my knowledge of the difference ...
2
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4answers
562 views

How to interpret regression coefficients with dummy explanatory variables?

I am a bit confused about the interpretation of the regression coefficients in a regression model: $R_{t}=\beta_0+\beta_1R_{mt}+\beta_2D_{t}+\epsilon_t$ where $R_{t}$ is the log return of some stock,...
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4answers
284 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 ...
2
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1answer
132 views

Variance attribution calculation from a covariance matrix

Say I have a portfolio with two assets with weights $(x, y)$, and the covariance matrix of the two asset is $((a, r)(r, b))$. Then the total portfolio variance would be $x^2a+2xyr+y^2b$. It is easy to ...
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2answers
235 views

Geometric Brownian Motion - Price Probabilities

I am modeling a stock price that follows Geometric Brownian Motion and have the following: $E(X)$ = .16 (16%) $\sigma$ = .24 (24%) $X_0$ = 95 $T$ = 1 (12 months) I am trying to find the ...
2
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1answer
4k 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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3answers
922 views

Get market cap by ticker on 1.7.2013?

I have a list of all S&P500 tickers, e.g. AAPL, GOOG, JPM. I would like to get their market cap on 1.7.2013 (I don't have Bloomberg, only free internet). Is there an excel addin or other tool/...
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2answers
2k views

List of dates at which the NYSE was closed from 2005 to 2014?

I'm doing research on historical price movements on the New York Stock Exchange. Because the NYSE is closed on weekends, on holidays, and sometimes because of special events, special care needs to be ...
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3answers
773 views

Time Series or Regression

I'd like to research the impact of certain events and characteristics on the liquidity of the stocks over time. I've got a sample of 200 stocks and I use several measures of liquidity (Amihud, Bid-Ask ...
2
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3answers
128 views

Does longer time horizon necessarily imply reduced risk?

Is there a mathematical/statistical basis for the commonly-held belief that the longer certain assets (particularly equities) are held, the less risk the investor is exposed to? Alternatively, is ...
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3answers
178 views

Why aren't option pricing models more frequently used to value risky cash flows?

One way to think of the value of a risky firm is through expected measure theory. On the most basic level, the value of any asset is the convolution of the probability density function of its risky ...
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3answers
114 views

Find the tick increment value of an equity

Is there any resource containing the tick increment values of NASDAQ/NYSE equities (.0001, ...

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