All Questions
1,076 questions
0
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204
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How are "stock dividends" treated in total return swaps?
To be clear, I'm asking about the corporate action that dilutes the share base by awarding stocks to shareholders NOT the corporate action that awards cash.
As best I can tell, these are essentially ...
- 96
4
votes
2
answers
184
views
How do exchanges calculate IVs of American-style (stock) options?
As stated in the title, how do exchanges (such as NASDAQ) actually calculate the implied volatilities and Greeks of American-style stock options? From my perspective this is relevant if I'd like to ...
- 2,681
0
votes
0
answers
36
views
Stock screener for US stocks - yahoo API
I am trying to create simple stock screener in python for all US stocks (yahoo API). Due to the large amount of data even ThreadPoolExecutor does not work. What do you propose I could use?
- 1
1
vote
2
answers
100
views
Factor performance in different groups
While we are testing performances of factors, it is common for us to put stocks into different groups based on their exposure to certain factor, such as size, value, momentum,etc., Then we can test ...
- 21
1
vote
0
answers
78
views
Can factor neutralization hedge market risk
While coding a strategy that uses 50% of the fund to long the group of stocks with the greatest exposure to a factor called MIF, and the other 50% to short the group of stocks with the least exposure ...
- 21
1
vote
0
answers
38
views
Python Regime Labeling Using Explicit Threshold for Increase/Decrease from peak to trough
I am trying to find the longest stretches of time in a time series where the value from start to end increases by at least a certain threshold without any declines in the interim by at least that ...
- 84
1
vote
0
answers
52
views
How to represent dividend schedule to ML Model for barrier Options
I am looking at creating an ML model to price an exotic equity option which has a barrier where the buyer is paid out if the barrier is crossed, and multiple observation dates where the price is ...
- 11
-4
votes
1
answer
124
views
Do equity futures contracts bleed money? [closed]
According to the spot-futures parity:
$$ F = S\exp^{rt}$$
where $F$ is the futures price, $S$ is the spot price, $r$ is the interest rate, and $t$ is the maturity. Dividends are assumed to be zero.
My ...
- 1
0
votes
0
answers
69
views
Resources for equity risk management industry best practices
Has anyone got any papers that can help me lower volatility of a market neutral equity portfolio?
I have a basic covariance variance matrix which is used to optimize the portfolio but I am wondering ...
- 191
0
votes
2
answers
78
views
How to estimate the change in risk free yields curve based on equity returns?
In the context of stress-testing, what possible methods are there to estimate the change in the risk-free yields curve based on a hypothetical equity return ? I'm trying to estimate the change in ...
- 3
0
votes
0
answers
40
views
Dealing with stock splits, and specifically bonus shares, in backtests
I have been running a relatively large backtest (>5 years and >5000 stocks), using pre-adjusted price data to try to deal with corporate actions. However, I still have a couple of problems: the ...
- 1
0
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0
answers
74
views
Can someone explain to me how equity linked autocallable notes are structured and why they're hedged with an autocallable swap OTC?
My basic understanding is that the note is constructed with a zero coupon bond where the discounted amount is used to fund the equity linked return but how does this work exactly?
Also, does the note ...
- 13
0
votes
0
answers
22
views
Resources to learn derivates [duplicate]
Actually I do follow investopedia but any other tried and tested resources would be helpful.
- 1
1
vote
2
answers
120
views
How to interpret the physical meaning of cointegration vectors of log prices in real world
I'm trying to understand the physical meaning of cointegration vectors of log prices in the real world.
For example, if I have two assets $A$ and $B$, and Johansen test gives us a cointegration ...
- 21
0
votes
0
answers
63
views
Supertrend Indicator
I'm trying to implement the Supertrend indicator. Unfortunately, I can't calculate the values that my chart software generates. At the moment, I don't fully understand my problem.
You can add the ...
- 101
0
votes
2
answers
113
views
Different risk neutral measure
I don't understand in the following example how there can be a single risk neutral measure.
The risk free asset price $B$ at time $t = 1$ is $1+R$.
An other asset $S$ at time $t=1$ can take two values:...
- 51
0
votes
0
answers
68
views
Forward price arbitrage
To price a forward on a stock we usually use arbitrage to find that the price of the forward is the price of the stock compounded by the risk free rate.
I don't have the data to try things, so was ...
- 51
0
votes
0
answers
169
views
Data Feed for Gold (XAU/USD)
Hi I've been searching for Orderflow trading softwares & different real-time data feeds they use. For Stocks it's easy to get live orderbook data. I'm confused which data feed would be best for ...
- 1
3
votes
1
answer
586
views
Clarifying the Fundamental Difference Between Growth and Value Stocks
The more I think about the fundamental difference between growth and value stocks the more confused I am. Both strategies seem to exploit market mispricing: growth investors target underestimated ...
- 27.7k
1
vote
0
answers
35
views
Issues running Fama French regression for annual portfolios
As part of my master thesis I am planning to do some analysis based on the 3-Factor Fama french model. I am not a quantitative finance person at all, so my question might be extremely basic and I ...
- 11
1
vote
0
answers
122
views
How to retrieve Yahoo Finance tickers for stocks, given the companies' name [closed]
I'm a student attempting to download time-series data for 27,000 stocks. I initially tried using Factset's API but lack access (as a student, I am able to manually download data, without access to ...
- 21
0
votes
0
answers
37
views
What are "Funding Events" for Equity Swaps
have been using PE Swaps deck on Swaps pricing as a reference to understand Equity Swaps better. https://osf.io/72693/download. As I understand it, the Funding Leg Present value can be determined as:
...
- 1
0
votes
1
answer
133
views
variation margin affecting futures price
A quote from Natenberg's Option Pricing and Volatility, on stock index futures and how variation margin can change their price.
Ignoring dividends, the fair value of a stock index forward contract
is ...
- 11
0
votes
1
answer
123
views
Stock split and fractional shares
One of the main reasons for the stock split is liquidity. By increasing the number of shares, the new price will be half or one-third, depending on the split ratio.
Wouldn't it be possible to achieve ...
- 129
1
vote
1
answer
517
views
Market Making in practice
I read some of the papers in the market making literature such as: Avellaneda - Stoikov market making model but was wondering if these types of models are actually use in pratice?
It seems that when ...
0
votes
0
answers
30
views
Why does not index (S&P500, NASDAQ, Dow Jones, etc), use liquidity?
Stock indexes such as SP500, NASDAQ, Dow Jones, etc all try to capture the temperature of the market. If the market cap of the companies in the market increase, the index increase.
But, imagine a ...
- 265
3
votes
1
answer
297
views
TRS and leveraged etf
To get the leveraged return of an index daily, leveraged ETF uses TRS to get that leveraged.
Yet I don't really understand how it is used and who is the counterparty of that TRS.
So, first you have ...
- 71
0
votes
0
answers
54
views
Future vol is bigger than realized vol
One strategy that I've seen on Leveraged ETF is shorting both the BULL and BEAR leveraged ETF to exploit the decay when volatility is high.
Though I am wondering how an entry signal is triggered for ...
0
votes
0
answers
16
views
Create a turnover based stock index, for non liquid stocks?
I want to create an stock index that use the turnover, and not the price. How to do that?
The problem I am trying to solve, is that if one stock has a very low trading volume, but the stock price is ...
- 265
0
votes
0
answers
42
views
SDP and riskless profit
I am trying to understand the Single Dealer Platform model that a lot of banks and prop shop are launching.
So I am not sure to understand really how a Single Dealer Platform works. From what I ...
- 71
0
votes
1
answer
93
views
Exchange redirecting order
I was reading about exchange to understand better how they execute my market-orders. So let's say I am sending a market order to buy one share of AAPL to NYSE.
When NYSE gets my order he looks at the ...
- 51
1
vote
0
answers
90
views
short-term statistical factor models for equities with different trading hours
I wonder if there are existing theory/literature about estimating a short-term statistical factor models for equities with different trading hours.
For example if we are estimating a universe with US ...
- 797
3
votes
0
answers
81
views
What are some effective and easily implementable volatility smile/skew smoothing models?
Inspired by another post on Bakshi et al. (1997), the paper talks about the feasibility of option pricing models, particularly the SVSI-J variant.
I would like to ask the Quant community if there are ...
- 2,231
0
votes
0
answers
30
views
Does switching between Bond and Equity closely tracking Interest rate generate more returns?
Is there an evidence to suggest that we buy bond during high interest regime and when interest rates goes down , we sell the bond and buy Equity Index .. Repeat this by closely following the central ...
0
votes
0
answers
47
views
Why didn't LMT stock spike and NOC dip in 1990 due to the F-22 raptor competition?
Disclaimer, I am a newbie at finance!
I have been tracking the NOC and LMT stock prices and I have a few questions.
Both companies seem to be moving together in terms of stock prices. I would expect ...
0
votes
0
answers
54
views
Calculating PIN or PIN-like factor without having intraday / tick data
I am looking for a method of estimating PIN (probability of informed trading) for US equities without having access to intraday / tick data, but using daily OHLC instead. I imagine its impossible but ...
- 191
0
votes
0
answers
117
views
Autocallables - valuation/modelling/booking
Recently heard a view on how one should model/book autocallable swaps (in its basic form where there is a series of observation dates on which the product autocalls and there is exposure to the ...
- 43
1
vote
0
answers
82
views
Autocall Selling Process [closed]
I'm new in structured products and I need some help for understanding some stuff on autocall.
When a client gives his money to the bank for investing in an Autocall, this money goes in a ZCB and in ...
- 11
2
votes
1
answer
457
views
Markout PnL why looking in the past [closed]
Most of the time to analyze a strategy people will take all the trades and look at the PnL a certain markouts. Yet I don't understand why so many people look at negative markouts?
What can infer from ...
- 71
0
votes
0
answers
197
views
Cross corridor var swap
How should I think about replicating a cross corridor variance swap like breaking into strips of calls and puts and an over hedge that I can rebalance at some frequency? Given the earnings move, I can ...
2
votes
2
answers
216
views
How to interpret the turnover formula?
How would one interpret the below turnover formula ignoring the average from each time period i.e., what is the meaning of the term inside the brackets?
Reference: Empirical Asset Pricing via Machine ...
- 21
2
votes
1
answer
207
views
In which context do hedge funds use the Gauss Markov Theorem?
Hedge Funds really like asking questions about linear regression during interviews. Especially about the properties of the OLS. But I don't understand in which context this is used. For example the ...
5
votes
1
answer
286
views
What is the current state of the art method to predict the equity risk premium one month ahead?
I am aware of Goyal, Welch and Zafirov's paper A Comprehensive 2022 Look at the Empirical Performance of Equity Premium Prediction that seems to imply there is nothing one can do to predict the return ...
- 51
2
votes
0
answers
61
views
questions after reading the article by knuteson
I recently read this article by Knuteson and some thought/questions arose.
So I was wondering if anyone read it or wants to read it and can comment on
a few statements-questions below. I could ...
- 1,178
2
votes
0
answers
184
views
Rigorous formula for adjusted close price
I'm a mathematician who is new to the stock market, and I'm hoping to shine a rigorous light on a simple example of adjusting close prices for, say, dividends.
Let time $t$ represent today. Say that ...
- 21
1
vote
1
answer
127
views
Average correlations of stock returns
Say I had a pool of companies (specifically the Latin American Countries). The task was to work out the 'Correlation coefficient between the returns of any 2 companies selected from "different ...
1
vote
1
answer
473
views
How to calculate holding period return of a long-short strategy?
I have daily close prices of two stocks, A and B. Suppose that we long stock A and short stock B. Assume that we do the long-short every day and hold that portfolio for some days. How to calculate ...
- 127
0
votes
1
answer
206
views
How do I measure the "dispersions" of a group of stock returns
I have $n$ stock return time series $X_1, X_2, ... X_n$. I want to measure how much they have "dispersed" over time. i.e. are they moving "more together" in 2023, comparing to 2022....
- 147
1
vote
1
answer
453
views
What is the purpose of a floating interest rate leg on an autocallable equity swap transaction?
I understand that the purpose of the equity leg is to hedge the issuers exposure under the note but I don't understand why the buyer of an autocallable equity swap pays a fixed fee at the beginning of ...
- 13
0
votes
1
answer
191
views
Is it possible to exchange one stock for another without cash as an intermediary?
According to my research, it is possible to exchange one stock for another without selling to cash and then buying the other. The process is known as a "stock-for-stock" or "share-for-...
- 101