Questions tagged [financial-markets]
The financial-markets tag has no usage guidance.
82 questions
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What's the Benchmark for Displaying Percentage Gain/Loss on the Yahoo Finance App? [duplicate]
Apologies for the extremely noob question as I am getting started with the concepts of stocks, trading etc.
I am using the yahoo finance to monitor a few assets and here is a screenshot.
For context, ...
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2
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194
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Is the stock market disentangled with the economy?
Regressing the Equity Premium against Macroeconomic Variables
Long story short, I was performing a linear regression on the explanatory power of the GDP and/or the GDP growth rate (independent ...
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106
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Is there a market cap equivalent for Options Contracts?? (Newbie to Options)
I've been diving into options contracts and have a question about market cap. Is there a direct equivalent for options contracts like there is for stocks?
I've been looking at options on platforms ...
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123
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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 ...
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MM quotes replacement time in HFT
Market Makers quote on the minimum quote requirements of the market set by regulators, and they are also free to quote as they wish. In High Frequency Trading, when quotes are hit, MM will replace ...
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97
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Price Discovery in assets - Generalized Information Share (GIS) approach proposed by Donald Lien and Keshab Shrestha
I am interested in doing research in price discovery of assets. I came across a measure for price discovery, called the Generalized Information Share (GIS) approach proposed by Donald Lien and Keshab ...
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86
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FRTB - Federal Reserve vs Basel
The federal reserve has released its proposed Market Risk rules for Basel III.
https://www.federalreserve.gov/newsevents/pressreleases/bcreg20230727a.htm
Is anyone aware of any resource that compares ...
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98
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Conditions for market completeness
We know that a market is called complete if it is possible to replicate any future payoff trading in its securities. Is there an exhaustive list of requirements that when satisfied imply market ...
- 41
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345
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Assuming perfect liquidity
I encountered this phrase in the textbook by Hans Schumacher
For the purposes of this textbook, a mathematical model for a financial market consists of a specification of the joint evolution of ...
- 115
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120
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Market risk factor proxies examples [closed]
I am reading some corporate documentation, including the notion of market risk factor proxy. Could you provide some examples of risk factors and their proxies?
What I find obvious is the observable ON ...
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Market value of futures [closed]
What is the market value of an (index) futures?
I guess the market value is either:
quantity * contract size * price
zero, if the daily unrealized PnL is ...
- 151
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79
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Understanding and calculating all the trading fees
I'm trying to make a simple script that calculates fees (commission, regulatory, exchange and others). Taking Fee Table from IBKR as an example I have a few questions:
Is "Value of Aggregate ...
- 75
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How to predict what stage of business cycle we are currently in based off of unemployment indicators
I am trying to predict what part of the business cycle (Early, Mid, Late 1, Late 2) we are currently in by looking at unemployment indicators.
Qualitatively, I've reasoned that:
.
Early
Mid
Late 1
...
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72
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What could be a real-life example of sectors and instruments in a Financial Market in the context of this Portfolio Optimization Problem?
Recently I've been reading about mathematical models in finances and economics; however, I encountered this book chapter:
Nagurney, A. (1993). Financial Equilibrium. In: Network Economics: A ...
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225
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Interpreting the average correlation figure in Pozzi et al. (2013) paper
Has anyone read the paper "Spread of risk across financial markets:better to invest in the peripheries" by F. Pozzi, T. Di Matteo & T. Aste? If so, how do you interpret equation (1) in ...
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78
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Why "hedging motives" and "heterogeneous preferences" are explanation for "under diversification puzzle"?
Han et al. 2021 documented something relating to the "under diversification puzzle":
Standard explanations for under diversification include hedging motives
and heterogeneous preferences, ...
- 307
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971
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Inflation effect on FX rates
With UK's inflation surging to 3.2% as per the published figures today reported by the FT, it is interesting to ponder the effect of rising inflation on FX rates.
The article linked above points out ...
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185
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standard/brownian market with different brownian motion
Consider for simplicity the following brownian market:
$$dS^0_t= r S^0_tdt$$
$$dS^1_t= S^1_t(r dt + dW^1_t + dW^2_t) $$
where the filtration is generated by $W^1,W^2$
Consider now $W_t:= \frac{1}{2}(W^...
- 111
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248
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Incorporate Transaction Date to Price Fixed Rate Bond using Quantlib Python
I am trying to use QuantLib Python to price a fixed rate bond, based on the following data:
Issue date is 28 September 2017 (issueDate), maturity date is 28 ...
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306
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Trade anything?
I have a question after reading the post below.
https://www.onlinebetting.org.uk/betting-guides/can-you-bet-on-anything-you-want.html
Question:
I want to bet on a niche topic or asset or anything that ...
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2
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155
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SPACs - How can IPO investors incur losses?
I'm trying to understand the role of the initial IPO investors of a SPAC. From the Beginner's Guide of r/SPACs:
When the IPO occurs, a SPAC generally offers Units – generally at \$10 per Unit. These ...
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1
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73
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Basic stock shorting question [closed]
So im just a little cloudy on how shorting a stock drops the share price. I understand that you borrow, or set aside shares from your brokerage to then buy later at the origional price. My guess was ...
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357
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Determine market and ice-berg order types from live trade and quote data
I have tick and quote live data from Polygon and Interactive Brokers.
Looking at the conditions I can't see info on market or iceberg orders:
https://polygon.io/docs/...
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2
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619
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How is forex market Quote-Driven?
I am new to the field, and trying to understand structure of spot currency market.
As it is stated here,
Quote-Driven Market ... only displays the bid and asks offers for a security from designated ...
- 185
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42
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Target variable for a supervised learning approach for market sentiment index
My goal is to produce a signal going from -1 (negative) to +1 (positive) which corresponds to a sentiment index for USA.
The index will be computed both based on headlines (taken from some free ...
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56
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How does one explain the negative returns around the event of stock inclusion in DAX indices?
Greetings there friends,
I am doing a small research on the effects of the event of inclusion and exclusion of a stock from DAX indices (german indices), to cut the story short, i have downloaded data ...
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717
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What does a electronic dealer track in a RFQ market?
If you have mid price for rfq market in fixed income. What is the internal order book tracking at a bank? Customers dont place limit orders or do they? There arent any other market makers on your ...
- 2,662
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358
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Steps to fit a Machine learning model for prediction of up and down market movement
I have around 5 years of data of an index containing many features on a daily basis. I want to classify whether the index will move up or down the next trading day (up or down movement is determined ...
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90
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Fed fund market after QE
I read that before 2008, reserves of the banking system (vault cash and reserves at the Fed) fluctuated between \$40 billion and \$80 billion. However, as a result of quantitative easing, reserves ...
- 504
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648
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Efficient market hypothesis and martingales
One of the tasks in the book we´re using in introduction to finance is
Stocks are expected to earn (much) more than the risk-free interest rate. This means
that stock prices are expected to increase ...
- 131
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143
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Example in Andrew Lo's book - Adaptive Markets
In Prof. Andrew Lo's book, Adaptive Markets: Financial Evolution at the Speed of Thought, in the section The Origin of Risk Aversion in Chapter 6, he uses the tribble example to illustrate how risk ...
- 504
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2k
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What drives the difference between M1 & M2 money supply (in the US)?
From what I understand the only entity that controls M1 in US is the Federal Reserve. Is it true that M2-M1( M2 minus M1; the part of M2 that is NOT in M1 like timed deposits) is controlled by the ...
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243
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Why a probability distribution can be viewed as a price?
in this paper :
at page 111, left part, we pass from the distribution p to price p. But I don't see why it's the case. I've searched, and it seems like we can see the LMSR as a n Arrow-Debreu ...
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177
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Who influences Forex prices and by how much?
May question is probably stupid, however I cannot find some reasonable explanation who (and to what extent) is influencing the prices at the Forex market.
Most of the stuff I found on the Internet ...
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how can we calculate options profit and loss using volatility and implied volatility in a span margin calculation
complete the table below, mainly we have to use black-scholes model for implied volatility calculations which I am getting as 43 % but now how to make a gain and loss table using this implied ...
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639
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Equilibrium in the Kyle (1985) model
In his 1985 paper, Kyle presents 3 versions of the same model: a single period model, a multiple period model and the continuous time limit of the multiple period model.
When he formalizes the ...
- 2,536
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217
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Unique risk neutral measure for jumps or incomplete markets for jumps
I wanted to understand why the market is incomplete in jump-diffusion models. whereas if we have a model following geometric Brownian motion then we can get a risk-neutral measure and hence a complete ...
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82
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More/less trading on Mondays and Fridays?
In market microstructure/high frequency finance, it is well known that the trading day has high activity in the opening hours and closing hours compared to mid-day. Can the same be said about the ...
- 3,090
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Concept of return for assets which don't have a well defined price
Much of financial theory seems to assume that assets have a price, for example the concepts of return or volatility. Is there any way to operationalize these concepts for assets which don't have a ...
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Modeling regulations of middlemen
I am searching for some paper that models the regulations of market makers in stock or OTC markets. Is there anybody who have seen some marekt microstructure paper for modeling regulations and what ...
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81
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Anyone got references where we can find examples of codes for agent-based simulations of financial markets?
I'm looking for references with codes for trying out simple agent-based simulations for modeling financial markets. I mostly worked with MATLAB and R, but I know a bit of python and I am learning C++ ...
- 2,536
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Balance sheet items which might show exposure to hedging or the prevalence of forward contracts
I do have a panel data set on North American companies from Compustat covering balance sheet and income information. I am wondering if there is a possibility to use a balance sheet variable as an ...
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239
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Quantitative risk management for energy markets
I'm currently preparing an exam about energy markets. The knowledge of notions of quantitative risk management accounts for the 50% of the total exam. During my university education, though, I didn't ...
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47
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What to choose after MBA finance major? [closed]
Particularly my younger sister is bit confused about what she can expertise in after doing MBA finance major.
She has her final year this year, post which she wants some short term courses or ...
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4k
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Absolute and Relative Value at Risk
Is it correct to calculate the VaR as 99% max between loss and profit. E.g. if 99% VaR on the loss side of the distribution is -100, and on the positive side of the distribution there is a value ...
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financial markets
Let's suppose the following model of financial markets :
Market-Maker : the sell financial derivatives, the hedge all the risk after calculating their sensibilities to market risk factors. Thus ...
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216
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Is there any book for practically teaching one to interpret market situations?
For example, if swap rates go higher, what exactly the market participants are doing or expecting? Is there a book which can teach us about these practical knowledge / experience? Thanks.
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868
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Extreme Negative Gamma
I see Zero Hedge, talk about extreme negative gamma position of dealers all the time which it then ties back to market moves. I was wondering how do you calculate such market positioning based on ...
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190
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Definition of an European Option
I'm a bit confused after reading an article from Henry-Labordere.
He was giving an example of an European option whose payoff may depend on the whole path of the underlying : $f(S_{T_1}, S_{T_2}, ...,...
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577
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How Free Of Payment (FOP) trade works? How it impacts NAV and P&L?
I want to understand how the Free of Payment(FOP) trades work from accounting point of view. My questions are:
What data we collect while capturing FOP trade?
How it impacts NAV and P&L? e.g. say ...
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