Questions tagged [market]

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Understanding EEX Futures and Options

I'm interested in understanding more about the European Energy Exchange (EEX). In particular, I am focusing on the energy option market and I would like to understand how vanilla options are quoted (i....
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3 votes
1 answer
391 views

Paper on returns from perfect market timing?

I'm looking for a (free) paper I read which showed that even a "perfect" market timing strategy wasn't very good compared to buy-and-hold. There were some restrictions to the timing, ...
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Delta price = delta market cap

After read the paper "Reports of Value’s Death May Be Greatly Exaggerated". The autors show in appendix C that the change in weighted average market cap from period T-1 to T of a same ...
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1 answer
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What advantage does cash-settled futures have over spot? [closed]

For example with bitcoin there is both the spot market and a cash-settled quarterly futures market. As a buyer when would I want to buy quarterly futures instead of just buying on the spot market? ...
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1 vote
1 answer
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How to identify Market Reversals?

In recent history, whenever there is a markets crash, we see a sudden market reversal. Some of the sharp reversals when the market changed direction suddenly are: May 2009 Last week of December 2018 ...
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basic numerical integration question related to case of high positive volatility skew

is the below equation true irrespective of if that 2nd derivative turns out to be negative or >1 , (ie even if theres an arbitrage) ? the reason i ask is that i am writing a single asset montecarlo ...
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Identity of recent books on stock market & risk

Apologies if this seems out of place, but a couple years ago I read several popular books written in the last decade by a single author who was trying to disabuse readers of several fallacies ...
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2 answers
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What is the relation between "Capital Market Line" and "Capital Asset Pricing Model (CAPM)"?

I asked this question on Personal Finance and Money but since I don't know where to place it I placed it here also. On the Coursera course Portfolio and Risk Management, on Week 2, I am having trouble ...
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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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1 answer
289 views

Market neutral strategy with quarterly futures and perpetual swaps?

What is a "perpetual swap"? In cryptocurrency exchanges, there is a financial product called "perpetual swap". (It is also called as "perpetual futures" or "...
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0 votes
1 answer
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ETF NAV Premium vs. market ETF premium interpretation regression output

this is my first post in this forum, so if I'm doing any kind of mistake please let me know. My situation is as follows: I'm currently writing my Thesis and I'm looking into the discrepancies of ETF ...
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What does this paragraph from the book Capital Markets mean?

Gary Strumeyer writes in "The Capital Markets: Evolution of the Financial Ecosystem" Chronic wariness rules the capital market mindset in the Teens. And little wonder. “Manipulated” market ...
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ETF bid/ask spread [duplicate]

I was just wondering if someone could explain to me how an ETF market maker earns profit through the spread they collect while hedging the positions to be non-directional. For example I read somewhere ...
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1 vote
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Why are prediction markets based on logarithms when a linear solution can suffice?

For example, take a binary outcome; A coin toss, heads or tails. If heads, then those that picked heads receive \$1 and tails receive \$0. To quote the prices for each bet Hanson's LMSR uses ...
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1 answer
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Free website to obtain corporate bond's data similar to cbonds?

Does anyone know of any website where I can obtain corporate bond's data in the same fashion as "cbonds" (they let you look up by issuer, maturity, etc.). Ideally free? I need to know bond ...
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1 answer
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How to protect oneself from a market crash?

What shall someone do to prepare for a market crash? Either a partial, referring to e.g. a financial crisis like 2007 - 2008 or a full crash, for example after a war or currency reform (being lead by ...
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1 answer
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Over-night Black-Scholes

I have a question for Black-Scholes. It is a continuous approach, but the real market closes every day. So for the Black-Scholes, how do we count the time effect of during the time when the market is ...
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2 votes
1 answer
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Relation of risk-neutral probability measures to arbitrage opportunities

Could someone describe how risk-neutral probability measures are linked to arbitrage opportunities and also to whether or not a market is complete? I've been asked this question and am unsure how to ...
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What share of the stock market is owned by whom

These days we were discussing whom you have to beat if you are trying to earn money in the stock market. I think the players are private stock holders actively managed investment funds ETFs maybe ...
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1 vote
1 answer
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Which models have non-smooth densities?

By smooth, I mean a density $f$ that lies in the space $C^\infty$, infinitely differentiable. Are there, in the literature, some known models where the underlying density of the state process is non-...
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1 answer
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Market makers order execution on the order book

If a market maker is required to always have at least one order on a certain side of the order book (buy or sell), if there's no one else in the market and just market makers left on the book, will ...
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Market risk FRTB: calculation of Vega risk charge

I recently started working on a project that requires me to deal with the new market risk standard issued by the Basel Committe: https://www.bis.org/bcbs/publ/d457_faq.pdf I am trying to calculate ...
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Historical data for total market capitalization

I'm working on a data analytics certificate and need historical data on the total market capitalization for the US for a course project. Can anyone suggest a source?
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1 vote
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Definitions of bubbles

In Financial Bubbles: Mechanisms and Diagnostics, Sornette and Cauwels define the concept of "bubble": More technically, during a bubble phase, the price follows a faster-than-exponential power law ...
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4 votes
2 answers
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Criteria to assess the possibility of corporate bankruptcies in U.S. equity exchange markets [closed]

Which criteria do you suggest to measure the susceptibility of bankruptcies (e.g., Chapter 11, 7) for a company in a U.S. equity exchange market (e.g., NYSE, ...
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2 votes
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How did this after hours massive NFLX short/long strategy make a profit? [closed]

I’ve seen thus market action 2 times now in the past few months. The first was before ADBE earnings release, and most recently was NFLX release. The setup: Earnings release pending after hours ...
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1 vote
5 answers
927 views

What actually drives a stock price up ou down?

Can someone please explain to me how stock prices go up and down? What are the underlying physical and information technology phenomena and algorithms that drive a stock up or down? Books just say ...
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2 answers
701 views

Order books theoretical price

Suppose we have the following bid/ask spread for a particular stock: What is the theoretical value of the stock? Now suppose we have: What is the theoretical value of the stock? Now suppose a ...
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1 vote
1 answer
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Demand Function

I have seen the following demand function $q=a-p+c\bar{p}$ where $p$ is the price, $\bar{p}$ is the so called "average price". The values $a=1-c$ are competition parameters. I have basically two ...
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2 votes
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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?
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Market Risk - Trading and Banking book in light of Basel III

I can not understand whether Basel III (in the part of market risk) applies both to Trading Book and Banking book or just to the first one. I have read that for what concerns Banking book you only ...
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1 vote
2 answers
3k views

How does after-hours trading affect the next session prices? [closed]

I just read about after-hours trading (and here ), but remain unclear as to what happens to the price level of the next open session. In other words, Do the prices change during after-market hours? (...
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1 answer
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How to download only amex and nyse data from CRSP?

I am a beginner and I have a very elementary question, but I don't know where to find the answer! I am downloading the CRSP monthly stock files for 20 years. I ...
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Equivalent Martingale Measure result Hull?

I've been reading Hull's chapter about Martingales and measures where he states that if you have the dynamics of two securities as follows: \begin{align} \frac{df}{f} = (r + \lambda \sigma_f) dt + \...
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4 votes
2 answers
243 views

SPX Trading Capital: What happened on December 5, 2016?

(I am not certain if this is the correct Stack to post this question.) What structural changes, legislative or otherwise, took place in 2016, such that on Dec 5, 2016, the Trading Capital (Price*...
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1 vote
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Market Profiling open source packages or tools

after reading the book Mind Over Market by Dalton I was wondering if there are any open source packages for Market Profiling (the technique developed by J. Peter Steidlmayer for representing price ...
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1 vote
4 answers
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is there any alternative to FIX protocol

I have heard that FIX is one of the most widely used protocols for communication of securities exchange systems (correct me if its not!!). My question is: is there any other well known protocol like ...
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6 votes
1 answer
398 views

Control for non-synchronous trading in correlations

I am trying to replicate some results from the Betting Against Beta paper by Frazzini & Pedersen. In section 3.1, Estimating Ex Ante Betas, they illustrate their approach to correlations: [we ...
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2 answers
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Understanding the downsides in of trading in smaller exchange

I've been algo trading a small portfolio within NYSE for about a year now. And while do end up running positive P/L results are far from spectacular. I ran a test using my strategy in OMX Stockholm ...
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1 vote
1 answer
239 views

Why change numeraire for the LIBOR Market Model

There are two form of LIBOR Market Model that has a drift introduced. I would like to know in plain english explanation why do practitioners use these changes of measure. Are there any significance to ...
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3 votes
0 answers
260 views

Variance swap "fast" models

As far as I understand, Variance Swap (VS for short) function as follows : no payment when entering the contract at maturity the VS buyer pays a strike $K^2$ and is paid (by the VS seller) the ...
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2 votes
1 answer
432 views

Yahoo: Downloading Stock data from symbols with a period (.)

Hi: I'm using R to start learning about quantitative finance. I'm good at R, just learning finance. Some stocks on the TSX have periods in their names, usually indicating that it's a class B share, ...
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4 votes
4 answers
14k views

How reliable is data from CSI Market?

I am finishing up a reference guide for my graduate students on key financial ratios. Would like to include S&P 500 current metrics in my guide. But need to know how reliable is this company CSI ...
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How could I become a market maker in forex/equity market?

By being a market maker, I mean when I post a limit order, someone could take your order. For example, suppose during this second the bid-ask is 1,1.01 constantly and I posted a limit order to buy at ...
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1 vote
1 answer
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What just happened in the market?

How can a day trader figure out what event might have triggered a sudden spike in volume that occurs after hours? Example: a quarter past midnight (NYSE time), the ES Dec 2016 future is crawling ...
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1 answer
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Definition of the bubbles and crashes

can anyone help me to explain how the following model works? In this formula $P(t)$ is a price at time $t$ and $F(t)$ is the residual noise term. The $\omega(i;T_i)$ and $P_{o}(i;T_i)$ are ...
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7 votes
1 answer
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Understanding the GDAX price chart [closed]

I'm a beginner looking at the USD-BTC price chart on gdax: https://www.gdax.com/trade/BTC-USD It looks like this: I'm trying to work out what the top graph means. Can anyone tell me what each of ...
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3 votes
1 answer
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Creating a Beta-Neutral Portfolio

Given a portfolio of assets (say 10) and trading signal (1=Hold): ...
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0 votes
2 answers
112 views

What kind of indicators would you look in the market preceding a recession/crisis?

What kind of indicators may have predicted the upcoming financial crisis in the 2000 or 2008?
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3 votes
1 answer
243 views

Interpretation of Risk Premium for Schwartz one-factor model

I have to deal with this one-factor model: \begin{equation*} \begin{cases} dS_t = \alpha \bigl(\mu - \log(S_t) \bigr)S_t \, dt + \sigma S_{t} \, dW_t \, , t \geq 0,\\ S|_{t=0} = S_0 > 0, \end{...
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