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1answer
61 views

Exclusion of Utilites and Financials in Magic Formula

In Joel Greenblatt's magic formula, see https://en.wikipedia.org/wiki/Magic_formula_investing, why are utilities and financials excluded? What is the reasoning behind this?
0
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1answer
76 views

Market, Limit and Cancellation orders

From the paper https://web.stanford.edu/class/msande448/2017/Final/Reports/gr4.pdf page 8, I need at least the limit and market order. I can easily find the full depth from dxfeed or algoseek, but I ...
-2
votes
1answer
63 views

Separate market and limit orders from market depth/tick data

From the website https://www.algoseek.com/equities/, we can get a sample of the full depth market/tick data. From the paper https://arxiv.org/pdf/1710.03870.pdf page 8, I would like to extract the ...
0
votes
1answer
44 views

Cash Flow News and Discount Rate News + Return

I will appreciate If someone help me to understand how the final expansion is made. Specifically, how CF & DR are drived. This model is introduced by Chen et. al. (2013).What Drives Stock Price ...
0
votes
1answer
43 views

QQQ fillings history

I'm trying to find Invesco QQQ Trust fillings for 2001-2018 time period, at least top 10 by year, do you know where I should search?
0
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0answers
26 views

Project IRR with multiple years of initial investment

Assuming a CF sequence of -,+,+,+,+... the calculation of IRR using IRR or XIRR depending on the periodicity of cashflows is straightforward. Also, I am aware that assuming a CF sequence of something ...
1
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0answers
18 views

Identifying primary share class of U.S. firms and deleting excess observations

I have a fairly large dataset of CRSP firms with their daily closing prices from 2006 till 2017. I need to filter the data so that I have one daily observation per unique firm. I've identified the ...
2
votes
1answer
86 views

Why is Overnight LIBOR lower than BoE Base Rate?

According to this site, the current overnight GBP LIBOR is 0.45638%, and the Bank of England base rate is 0.5%. My understanding is that the overnight LIBOR should always be higher than the base rate,...
4
votes
1answer
169 views

Struggling with tau in Black-Litterman

According to the omega formula in B-L tau is used in the Omega estimation to determine the degree of uncertainty given to views of the investor: So, if tau is given a low value then the inverse of ...
0
votes
1answer
45 views

Studies utilizing Fama French factors

Are there any studies in reputed academic journals that have used the data library offered by Kenneth R. French regarding the Fama French 3 factor model? I wish to use this data in my master's ...
0
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0answers
23 views

How to examine the impact of the parameters in the Hull White Model on the yield curve

I want to examine the yield curve resulting from the 2 Factor Hull-White model. Is there any way to examine the influence of the parameters on the yields curve without calibrating the model?
0
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0answers
24 views

Impact analysis of parameters in the 2 Factor Hull White Model

Through the 2-Factor-Hull White Model you can model the yield curve if you have the parameters $a, b, \sigma, \eta$ given. Is there any way to measure the impact of these parameters on the yield ...
1
vote
1answer
102 views

CCAR Shocks Scenario

I was going through CCAR-2018-severely adverse market shocks file and under the tab: Equity by Geography, I found these shocks. I have two questions: 1) Whether the shocks to Vol points are in % ...
0
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0answers
10 views

Are there any APIs for Brazil stock exchange data? [duplicate]

I'm building a web application where I need to display stock data from BOVESPA, the Brazil's stock market. I would like to retrieve this data using an API or Rest Service. I have found some APIs for ...
2
votes
1answer
44 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). ...
-1
votes
1answer
38 views

What is considered the risk free rate? [closed]

I see some place reference the S&P 500 index (SPY) as the risk-free rate and other place reference the 10-year Treasury yield as the risk-free rate. Which one is the correct one?
1
vote
1answer
64 views

Negative VaR equivalent Volatility (VEV) and its meaning?

Can a VaR equivalent Volatility (VEV) as defined by KID/PRIIPS law be negative and what does it mean if it has a negative value?
0
votes
1answer
54 views

Subset selection to identify independent variables that impact the market?

Given a lot of market-related features (~100 independent variables such as emerging market, developed market, s&p 500, tech sector returns, etc), I need to select a subset of them that are ideally ...
1
vote
1answer
70 views

Questions related to Sharpe's return-based style analysis

I have been reading about Sharpe's return-based style analysis, which tries to determine the manager's exposure/effective asset mix to changes in the values of the asset classes. It does so by using ...
1
vote
0answers
35 views

Zipline issue with SPY data

I have written a strategy to backtest in zipline, and every time I ran the backtest, and error is showed with the line: IndexError: index 0 is out of bounds for axis 0 with size 0 After a bit of ...
1
vote
0answers
45 views

European Call Option Modelling under 2 factor Hull White interest rates

I have modelled the yield curve through the two factor Hull White Model. Now I want to implement in Matlab the price development of a ATM-Call-Option (European). Has someone an idea how to combine ...
0
votes
0answers
21 views

Is there a good back-test library for Matlab, similar to Quantopian's Zipline for Python?

If so, what? I'm keen to back-test some currency trading strategies and am restricted to using only Matlab. The back-test is intended to contain forward contracts for which I only have monthly data.
4
votes
1answer
103 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 (...
3
votes
1answer
78 views

Ledoit Wolf shrinkage with constant correlation prior with tawny and Riskporfolios

I am trying to use R to perform the shrinkage of covariance matrix towards constant correlation as defined in 'Honey, I Shrunk the Sample Covariance Matrix'. I see there are two packages where this ...
5
votes
3answers
98 views

Measuring alpha (Academia vs the Industry)

During academia, I learned to evaluate the performance of a portfolio by calculating alpha as the following: $\alpha_{i} = (R_{it}-R_{ft})-[\beta_i(R_{BMK_t}-R_{ft})]$ where $\alpha_i$ and $\beta_i$ ...
2
votes
1answer
85 views

Explaining an Option product: SIX Discount Certificates

So I have the option with the important info above. I am trying to generate a portfolio that represents the option. However I am stuck on the first hurdle as I believe it is a call option as the ...
0
votes
0answers
20 views

How to get Financial Information of Stocks in R [duplicate]

I am trying to get financial Information like NAV, Dividends, Liabilities. I try to get all the stock information using quantmod package. But it is not working for <...
1
vote
2answers
103 views

Fractal market hypothesis testing

I would like to do an analysis on the AEX stock exchange index for the last 20 years, but I ran into some issues. It would be really appreciated if you can answer my questions: In order to apply ...
1
vote
1answer
334 views

Trading Strategy adapting to my trading frequency

We want to predict the direction towards which the price will change. In this work the term price is used to refer to the mid-price of a stock, which is defined as the mean between the best bid ...
-1
votes
1answer
45 views

How to find beta from the information given? [closed]

This is an exam question. I know that to find beta I need the covariance between the portfolio and asset A but don't know how to find it.
0
votes
0answers
35 views

Determine the payoff function P(ST) if a future contract

I am confused how to answer the following question. A forward contract on a stock is a financial derivative that guarantees the owner of delivery of one share at an agreed future time $T$ . The owner ...
0
votes
1answer
53 views

How to simulate a path through its solution and conditional expectation / variance

Hi I want to simulate in Matlab the following stochastic integral: $ x(t) = x(s) e^{-a(t-s)} + \sigma \int_s^t e^{-a(t-u)} dW_1(u)$ with $E[x(t) \vert F_s] = x(s) e^{-a(t-s)}$ $Var[x(t) \vert ...
1
vote
1answer
211 views

Modelling interest rate

Hi I want to model two stochastic integrals in Matlab, which is given by $ x(t) = x(s) e^{-a(t-s)} + \sigma \int_s^t e^{-a(t-u)} dW_1(u)$ $y(t) = y(s) e^{-b(t-s)} + \eta \int_s^t e^{-b(t-u)} dW_2(...
0
votes
2answers
456 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 ...
0
votes
0answers
36 views

Should we use total return or OAS when comparing different bonds?

When comparing different bonds, for example corporate bonds and Treasuries, should we use total return or Option Adjusted Spread if we want to know one's return advantage over another? Some say ...
2
votes
1answer
36 views

Objective measure of highly leveraged firms using Debt-to-EBITDA ratio

I am looking for some kind of guidance what is generally considered a high or low ratio of Debt-to-Earnings before interest, tax, depreciations and amortisations (EBITDA). In a recent article by The ...
4
votes
1answer
112 views

What is the stambaugh bias? Why is it important for predictability regressions?

What is the Stambaugh bias? Why is it important for predictability regressions? Can anyone explain it in simple terms?
5
votes
2answers
145 views

What is time-varying risk premium? Forecasting stock returns

I am trying to understand the concept 'Time-varying aggregate risk premium'. Here is an extract from a Forecasting book, written by Rapach and Zhou, "However, rational asset pricing theory posits ...
0
votes
1answer
45 views

performance attribution - security selection= wB*(Rp-RB) or wP*(Rp-RB)?

Really confused. Finding various different ways of calculating security selection alpha. I believe it matters from whose perspective one is looking at. I am a portfolio manager and I want to know ...
0
votes
0answers
36 views

MOM-TOM effect, Replication strategy

I have several questions on Otto van Hemert paper "The MOM-TOM effect: Detecting the market impact of CTA trading" (link). In section 3 he proposes a replication strategy for the Newedge Trend Index ...
0
votes
0answers
28 views

Checking for Law of one price on example

I have a problem where I need to check if the law of one price applies to one specific example : There are three states with equal probability (1/3) and the securities are given by \begin{equation} ...
0
votes
1answer
32 views

Definition of a contingent claim X

I try to understand what a T-claim is and I am asking for an intuitive explanation? For instance. Let’s say I buy a zero coupon bond that will pay me 1 in two years. In terms of expressing as a T-...
0
votes
0answers
69 views

Comparing two models using Wald Test

I would like to use a Wald test to compare two models. To give a basic example, let: $Y_{t}=\alpha+{\phi_1x}_{t-1}+{\beta}_{1}x_{t-1}+{\beta}_{2}x_{t-1}+{\beta}_{3}x_{t-1}+\epsilon_t (A)$ $Y_{t}=\...
0
votes
0answers
69 views

DUNS number and the corresponding CIK number

I am trying to connect DUNS number to CIK (provided by SEC). In my document, I only have DUNS number. However I need to download 10K documents from SEC. However, SEC has CIK number. So my question is ...
1
vote
0answers
111 views

Fama French (2000): Characteristics, Covariances and Average Returns - intuition behind sorting of the returns

I am in the middle of doing my graduate programme in Accounting and Finance. Right now, I am taking a ph.D level course in Asset Pricing, wherein our first assignment/task is to recreate some tables ...
1
vote
1answer
61 views

Dividend Yield Goyal and Welch (2008)

Following the Goyal and Welch (2008) stock return predictability data, does anyone know how they calculate the dividend yield from the dataset that they provide on Amit Goyals website http://www.hec....
0
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0answers
21 views

Is investment income earned considered an additional cash flow in an IRR problem?

Having trouble thinking through the implications of investment income and discounting cash flows simultaneously. Let's say I have two projects to choose from, and I have some flexibility in when I ...
2
votes
0answers
109 views

Long term equity repo

Let's assume I have various European stocks and would like to somehow estimate their long-term (5y+) forward prices. As for repo rate for each individual stock, is it reasonable to assume that its ...
-1
votes
1answer
68 views

Increasing Annuities [closed]

Olga buys a 5-year increasing annuity for X. Olga will receive 2 at the end of the first month, 4 at the end of the second month, and for each month thereafter the payment increases by 2. The nominal ...
0
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0answers
24 views

Why is lagged return used as a proxy for market frictions and not irrationality?

Many studies use the return of the previous month as a proxy for market frictions, while I think it proxies for the reversal effect caused by an overreaction of the market to news announcements. What ...