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Questions tagged [finance]

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Merton's portfolio problem with constraints

Suppose the investor can invest in a Black-Scholes market with one risky asset $S$ with drift $\alpha$ and volatility $\sigma$ and a riskless asset $B$ with a riskless rate of return $r$, and the ...
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58 views

quant trading strategy analysis

I have been playing with some quantitative trading strategies and I have now developed a model and I am at the point of analysing the results. Can somebody help me analyse the following trading ...
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0answers
13 views

How can I perform an auto-correlation on daily returns using SPSS?

I have the daily closing prices for a period of 5 years from MSM 30 and would like to do an auto-correlation based on the daily returns to see whether the market is weak-form efficient or not. I am ...
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0answers
27 views

Final step of Fama-MacBeth for testing three factors model

I am doing a simple test for the three factor model of Fama and French using Fama Macbeth regressions. I did the following and I hope to hear your opinions about what I have done so far. First step: ...
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36 views

Fama MacBeth 1973 - Fama French 1992

I am trying to do the Fama-French 1992 (Cross-sectional expected returns). I understand they applied Fama Macbeth 1973 steps to evaluate other risk factors like liquidity, book value and size. But it ...
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1answer
71 views

why bridgewater filing only shows 10 billion in AUM

bridgewater supposed to manage 200 billion, but it 13F filling only shows 10 billion in AUM https://fintel.io/i13f/bridgewater-associates-lp/2018-09-30-0 why is it?
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17 views

Textbooks to learn about the basics of Finance? [duplicate]

What are the bibles in the world of finance, from which students learn the fundamental finance theory? Specifically, I am trying to learn about bond fundamentals, FICC products, products in the ...
2
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1answer
39 views

How to Parameterize a Bond Yield Curve?

Suppose I have a Bond Yield Curve (assume Semi-Annual Compounding), at term 1M, 3M... 1Y, 2Y... 10Y, 15Y ...30Y (x-axis is maturity / term). How should I parameterize this yield curve? Any ...
-1
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1answer
43 views

can a country replace its debt with a low interest loan?

Recently in my country, someone started a buzz in which he had plans to replace current debt of the country with low interest loans from other countries such as Japan. May I know if this is possible ...
5
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0answers
114 views

Interpreting Fama-French factors for the German stock market

I calculated the Fama-French five factors myself for the German market. Most of my results align well with prior research, except one thing: When i do the calculations for the sub-period from 2011 to ...
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0answers
49 views

Natural Gas Modelling

In job adverts for natural gas/power trading it states knowledge of supply and demands models for these commodities. Does anyone know of any good papers or primers on S&D modelling?
1
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1answer
109 views

Fama MacBeth cross-sectional Regression

I am deeply confused right now and hope someone can help me out a bit. I want to replicate part of a paper from Fama/French (2008), Dissecting anomalies, specifically, Table IV "Average Slopes and t-...
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45 views

Hull White 2 Factor

I have calibrated HW 1 Factor using Caps using closed form solutions like these. Could someone please direct me to a paper where they done something similar for 2 factor which i can code in python......
4
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1answer
151 views

Limit order book cancellations

Is there any practical and academic interest in predicting which orders in a limit order book will be canceled? From a policy point of view are people interested in detecting potential spoofing ...
0
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1answer
39 views

When estimating P/L through greeks based on zero rate curves, does it contain time (theta) PNL?

Suppose on day 1 we calculate a delta wrt. a point on an interest curve of zero rates, we then let 1 day pass, recalculate the interest curve of zero rates with the same bonds (though now day 20 bond ...
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0answers
38 views

Free API to get quarterly EBIT, total assets and current liabilities as of 2018?

I have looked at IEX v1.0 - they don't return Current Liabilities data nor EBIT data quarterly. I have looked at Intrinio - but that isn't free after 30 days. Is there any API that provides only ...
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0answers
21 views

Which stock price to take for historical ratios in stock screener (EPS etc.)?

We are currently testing a stock screener that we built and want to implement historical ratios in there too - this is working already for all ratios that don't require stock prices (so all ...
2
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0answers
64 views

Does Academic Research Destroy Stock Return Predictability?

McLean/Pontiff (2016) give evidence that portfolio returns are 26% lower out-of-sample and 58% lower after publishing an academic paper on variables, which are likely to predict cross-sectional ...
1
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1answer
215 views

What if CAPM cost of equity is negative?

Dear Community members, I calculate 5 years trailing beta using capm. After that I calculate estimated cost of equity. However, what I have is that most of the observations have negative cost of ...
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0answers
37 views

Headquarter Relocation and Stock Return - Influence of Universities

Scott Galloway states in chapter 8, The T Algorithm, in his book The Four: The Hidden DNA of Amazon, Apple, Facebook, and Google, that a successful strategy to become a "trillion dollar company" must ...
1
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0answers
60 views

Barrier Shifts - necessary for up-and-out call / down-and-in put?

Recently I came across the topic of barrier shift for barrier/digital options. I found that most examples centred around down-and-in puts / up-and-in call / digitals. I am wondering if we need ...
1
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1answer
76 views

Replicating portfolios [closed]

Prices of a stock are modeled using a two-period binomial tree, with each period being six months. The continuously compounded risk free interest rate is 7 % The stock pays 2 % continuous dividend. ...
2
votes
2answers
131 views

Utility functions, are they used in the real world by hedge funds, banks, etc?

I am starting to study mathematical finance. When I studied microeconomics and macroeconomics I studied utility functions, but I never saw how they are in the real world. I do not see how they can be ...
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0answers
51 views

Pricing methods in the real world when there is more than one free arbitrage price

Perhaps this question sounds trivial and obvious, but I am starting to study this new field. When we are in a complete market without arbitrage opportunities there is only one risk-neutral martingale ...
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0answers
55 views

Why do we require a continuous volatility calibration while pricing Options [closed]

On pricing Options the volatility surface is represented by a mathematical model (with parameters). What does it mean to calibrate the volatility surface How often has the volatility surface to be ...
1
vote
1answer
98 views

Cost of equity proper way of calculation

Dear Community members, I need to calculate cost of equity following the following description: (Please, correct me if I misinterpret the meaning) "The annualized cost of equity, re(t), is ...
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0answers
7 views

How to pick homogenous investment funds?

My goal is it to compare the fees of homogenous mutual funds. To do so I need to put funds into homogenous categories. Using Thomson Reuters I can look at the categorization (e.g. US Equity, EU Equity ...
2
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1answer
79 views

Fama French sorting

I am trying to calculate my own monthly fama french factors SMB and HML and I have a general question about a final screening act. I understand that to sort companies in june of year $t$ they need to ...
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0answers
53 views

How to calculate Market Return based on an own sample?

I have read several papers and am more confused than clearer about my problem after the reading. I am trying to validate my sample. I use the Schmidt et al. paper (2015) as a guidance to construct ...
0
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0answers
15 views

Long Horizon Regression, stationary variables

I am currently looking at long-horizon regressions, to be clear, $$Y_{t,k}=\theta X_{t-1}+ε_t$$ Where, the dependent variable is a k-period return, regressed on a lagged predictor. I have seen ...
0
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1answer
49 views

Calculating Mutual Fund Returns [closed]

Using Thomson Reuters Eikon I can extract the monthly NAV and Dividen Payments of a fund. I would like to calculate the monthly returns of a fund now. Would this be the right approach? Fund Date NAV ...
1
vote
1answer
62 views

Using interest rate as a discount factor in dividend discount model

In this paper, Galí and Gambetti calculate the fundamental value of asset price by using policy interest rate as a discount factor. I was wondering if the policy rate can be used in this kind of ...
1
vote
1answer
33 views

How to measure the impact of regulation on fund fees?

I want to measure the impact of mandatory disclosure on inducements on fees. I thought about doing a difference-in-differences analysis around the date of the new regulation with mutual funds as the ...
0
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1answer
63 views

How to Calculate Stock Return with Stock Bonuses and Rights?

I would appreciate if you could let me know how to calculate stock return for a given company when the company issued bonus shares and rights. If company just paid dividends, stock return would be: ...
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0answers
27 views

Distribution of data for GBM

I am running some Monte Carlo simulations with GBM on time series of commodity prices. First of all, the price data is annual between 1900-1950. I would firstly like to know if it is bad practice to ...
1
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0answers
13 views

Definition of Arbitrage [duplicate]

Definition. An arbitrage is a portfolio $H$ ∈ $R^n$ such that • $H · P_0 ≤ 0 ≤ H · P_1$ almost surely, and • $P(H · P_0 = 0 = H · P_1) < 1$. where $P_0$ and $P_1$ $\in R^n$ represent the prices ...
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1answer
85 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
93 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 ...
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1answer
76 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 ...
1
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1answer
87 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
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1answer
48 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?
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0answers
27 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
23 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
197 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
207 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
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1answer
57 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 ...
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0answers
26 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?
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0answers
30 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
110 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 % ...
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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 ...