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Questions tagged [financial-markets]

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0
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1answer
50 views

Hull White help needed

I've been trying to calibrate Hull-White 1 Factor & 2 Factor model using Caps but I've some major doubts about my methodology, and would really appreciate some help. I am using these formulas ...
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0answers
34 views

What is a short, succint note to all financial products commonly used with details on pricing?

There are so many financial products, it's almost unbelievable. Not just in practice, but also what we can theoretically cook up and talk about. I am a student and do not currently work with these ...
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0answers
50 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
67 views

Are ACF and PACF plots of squared returns useful in determining the lag-order when testing GARCH class of models?

I am trying to fit GARCH class of volatility models to the log return series of Bitcoin. ACF and PACF plots of the square of this return series are shown below. I need to know whether inferences can ...
2
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4answers
216 views

Determine the right order size with market making strategy

In a market market strategy https://web.stanford.edu/class/msande448/2017/Final/Reports/gr4.pdf, how can we determine the right order size? Assuming I use a market making strategy and on a specific ...
0
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1answer
89 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
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1answer
69 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 ...
2
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0answers
26 views

Utility Maximization on a finite Probability Space. Possible mistakes in a paper?

I am currently reading this paper on utility maximization in a financial market model. On page 5 the author starts with the case of a finite probability space and on page 19 he considers the ...
3
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1answer
96 views

End Dates of Financial Crises

I am analyzing past financial crises, comparing the correlation structure amongst 20 broad market indices (equities, FX, credit, commodities) during different crises using amongst other things PCA and ...
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0answers
17 views

When we look for equilibrium, do we set sum of portfolios equa to zero or equal to outstanding shares?

Let us say we have a market with $K$ agents who choose their portfolios $(\theta_k^i)$ of how many shares of each asset $i$ In equilibrium, my question is whether the condition is to say $\sum_k \...
5
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1answer
165 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 (...
1
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1answer
91 views

Asset class dynamics differences

If we compare daily return dynamics of the main asset class time series (e.g. Stock indexes, bonds, precious commodities, etc) do we observe quantifiable differences? Are there some reference paper on ...
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0answers
81 views

What is the distribution of 1/t*[integral from 0 to t of (Wt*dt)]? [duplicate]

$$\frac{1}{t}\int_0^t W_t dt $$ I know that Brownian motion is usually distributed normally with mean 0 and variance t but I'm not sure how to find the distribution within this integral? The answer ...
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0answers
108 views

AAA BAA UK corporate bond data?

I have seen lots of examples of US data on corporate bonds. However, I was wondering if there was a UK equivalent of the Moodys AAA, BAA spread.
0
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1answer
81 views

Where can I find historical data for Europe listed ETFs?

I'm currently working on building a portfolio optimization tool for European ETFs such as: (SYMBOL/ISIN/description) IQQF / IE00B0M63730 / iShares MSCI AC Far East ex-Japan UCITS ETF EXW1 / ...
0
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1answer
66 views

World Stock Markets that went up in 2008

We all know that the US stock market(s) collapsed in price in 2008, see https://en.wikipedia.org/wiki/United_States_bear_market_of_2007%E2%80%9309. I was wondering what countries' stock markets went ...
4
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1answer
166 views

Does margin trading affect market price?

Does supply and demand in CFD trading affect the actual price of financial market?
4
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2answers
381 views

Fama and French data: Replicating research

Is there any data out there on the Fama and French (1993) paper? I am not talking about their factor data available on their website, I am interested in reproducing their factor calculations. I am ...
1
vote
1answer
139 views

eurodollar future

I just found out about eurdollar futures and I am confused. A eurodollar future contract is defined as a cash settled future based on a Eurodollar Time Deposit having a principal value of USD $1,000,...
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2answers
376 views

Cross Currency Basis Swap

I understand that there exist a cross Currency Basis between euro and dollar of about 35 bps, which in my understanding can be arbitraged out by following principle of interest rate parity. However, ...
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0answers
31 views

How does a liquidity guarantee for Asset-Backed commercial paper used to finance a Conduit work?

A liquidity guarantee was what a lot of banks used to insure outside investors payments if an asset in a Conduit defaulted. The way they were doing it was not really dispersing the risk evenly ...
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0answers
19 views

Mortgage hedge (U.K.)

Background: In the U.K. Residential mortgage market you pay a fixed rate for only part of the term. The fixed rate period would be 0-5 years typically with the term being 25 years. A common approach ...
3
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2answers
435 views

Convergence of Spot and Futures prices

Any explanation I've found explaining why future and spot prices converge over time seem to only focus the explanation on why the spot and future price must be equal at maturity. I understand that if ...
1
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0answers
43 views

How to hedge a MV portfolio against crises

I have constructed an adjusted Mean-Variance portfolio optimization method that optimizes the exposure in a set of X assets. The portfolio works perfectly fine during normal periods (even when there ...
0
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2answers
199 views

Correlation between two indexes

The Global Minimum Variance has an annual return standard deviation of 9.9%. Its correlation with the Standard & Poor's 500 Index is 0.45. What is the annual return standard deviation of the S&...
1
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1answer
44 views

Who/What is a promoter of a company?

As Investopedia defines it: A promoter is an individual or company that, for a fee, helps raise money for some type of investment activity. Most often, promoters raise money for a company through ...
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0answers
16 views

How we can use adjusted price in combination with price limit in a stock market?

How we can use adjusted price in combination with price limit in stock market? suppose that we have a price limit in a stock market. For example if yesterday last price is ...
2
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1answer
282 views

Books on financial instruments?

Can you please tell me some good books to learn in detail about all financial instruments available in the market today ?
13
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1answer
1k views

Cheatsheet/summary of financial laws and regulations

I wonder whether there are or we can collect cheat-sheets for the various international regulations of the financial markets. There is e.g. the Dodd-Frank act for the US. Can we gather cheat sheets ...