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Questions tagged [price]

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-4 votes
2 answers
150 views

Forward price confusion [closed]

What exactly is the "forward price"? I have read that it is the price the long position in the forward contract will pay the short position for delivery at maturity (this is agreed upon at ...
herbhofsterd's user avatar
0 votes
1 answer
74 views

Predictive Forecast (Close, 14)

I've been following an asset wherein a "R-squared predictive forecast (close, 14)" is posted online each day. On some days, this figure is extremely high, like .92. Exactly what is the ...
Chris's user avatar
  • 1
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0 answers
128 views

Time scale of standard deviation of stochastic asset prices

If I run a stochastic interest rate model that is used to price a bond that is a series of cash flows under $N$ scenarios where the price is the average of all the scenarios, $P = \sum_{n=1}^N p_n / N$...
JoeBass's user avatar
  • 103
0 votes
0 answers
22 views

How to compute entry price of perpetual swap contracts in Bitmex, specific example

I am trying to understand how the entry price is computed. I though it was just a weighted average (that is, SUM(amount * price) / SUM(amount)) and this does match the example at their documentation: ...
José D.'s user avatar
  • 101
0 votes
0 answers
46 views

The call price can be above the underlying asset's current price ? And why call et put price are approximated by the same formula? [duplicate]

i have two questions which are simple i think. Is it possible for a call option to be issued on the market with a strike price higher than the underlying asset's current price? In a market without ...
Raphael Morel's user avatar
0 votes
1 answer
129 views

price discreteness in stock market

can you explain what is meant by 'price discreteness' in stock markets? I happened to read this term in some papers but I don't know how to define it In the paper "Do Price Discreteness and ...
XY0's user avatar
  • 127
0 votes
0 answers
46 views

Transition probabilities of a stochastic volatility model

I have a stochastic volatility model for commodity price which follows an AR(1) process: ln(pt ) − m = ρ (ln(pt−1) − m) + exp(σt)ut ut ∼ IID(0, 1) σt − μ = ρσ(...
nusratecon's user avatar
0 votes
0 answers
23 views

Estimating expectation from a Markov chain process with AR(1) framework and stochastic volatility

I have a stochastic volatility model of a commodity price as follows: ...
nusratecon's user avatar
-1 votes
1 answer
89 views

Why some stocks not traded today? [closed]

I try to download market daily data after US markets close. I found that the stocks in the following list have no data today. ...
Xaree Lee's user avatar
  • 103
0 votes
1 answer
177 views

US Treasury: Calculating Price from Yield [closed]

I'm trying to get the basics of bonds by going from yield to price (and vice-versa hopefully). What I want to do is from publicly available source go from the treasury bond yield to the price. So for ...
rate_newbie's user avatar
0 votes
0 answers
75 views

Liquidity Rebate

I have one question regarding the liquidity rebate that liquidity providers receive. I've read on investopedia that it refers to the traders/investors who place limit orders since they then "...
itachi23's user avatar
1 vote
1 answer
74 views

SDE linear combination of stock price

Assume that $X_t$ is a process with dynamics $dX_t = \sigma X_t dW_t$ is where $W_t$ is a standard Brownian motion. Given two deterministic functions $p(t)$ and $q(t)$, compute $\mathbb{E}[p(t)X(t)+q(...
Siron's user avatar
  • 21
0 votes
0 answers
139 views

short rate, yield curve and zero-coupon bond price formula under CIR mode: How to calibrate the market price of risk

I recently read a document posted by a user in QF, who said that "In the past, I have calibrated simple short rate models to the term structure by using maximum likelihood to get the parameters ...
user53249's user avatar
  • 419
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0 answers
464 views

Kyle model for market-maker price

Now I make research about market making for cryptocurrency. I’m using model like Avellaneda-Stoikov for optimal control inventory, and I can’t understand how to find S(t) price. Of course, taking the ...
Anton's user avatar
  • 1
0 votes
0 answers
54 views

Historical end of day price data for non US stocks

I'm looking for historical end of day price data for non US-stocks. Preferably as bulk download for analysis, but an API would do also. Specific markets of interest: China Japan Major European ...
Xlrv's user avatar
  • 101
0 votes
1 answer
106 views

Has anyone ever derived an analytical basket option which gives terminal asset prices individually, by asset?

Random thought I had around what would be an ideal analytical basket formula. If the formula gave terminal prices of each asset instead of a single basket price, you could price any number of exotic ...
Matt's user avatar
  • 137
1 vote
1 answer
290 views

Exchange vs Order-Driven vs Quote -Driven

I have never understood the implications of a quote or order-driven market. When I look up securities on google in a way to see their prices, is that price the price of the exchange? the price of a ...
Mining's user avatar
  • 165
0 votes
1 answer
346 views

Zero Coupon Bond - Price and Yield when interest rate is a diffusion process and 0 "price of market risk"

Given that the price of market risk (or market price of interest rate risk) is $\lambda(r_t, t)=0$ and that we have the following dynamics of the interest rate (under the physical measure $P$. $$dr_t =...
Landscape's user avatar
  • 548
1 vote
1 answer
361 views

Price vs log returns - stationarity issues

I am trying to analyze the price of Bitcoin versus the number of Reddit posts about Bitcoin and the sentiment of those posts (daily). The price is I(1) while the sentiment and the number of posts are ...
TheConfax's user avatar
0 votes
1 answer
89 views

Why the highest transaction price of stock in a time period can be higher than a sell limit order price, but the order is not filled?

Sometimes a sell limit order is not filled in a period even when the highest transaction price is higher than the limit order price. I don't understand why this could occur. The fact that the ...
user15502206's user avatar
0 votes
0 answers
74 views

Price of barriers in black scholes

Do you know a simple way or proxy, formula to determine the price of a down and out call with strike 100, barrier 100, spot 110 in a BS world with no rate and a 10% vol ? Thanks for your help
Johnquant's user avatar
0 votes
1 answer
44 views

Reason for difference in share price between DDM and ERM? [closed]

I've calculated the Share Price of a fictional company both using the Dividend Discount Model (DDM) and the Earnings Recapitaliazation Model (ERM). However, the share prices differ significantly ...
Peter's user avatar
  • 3
0 votes
3 answers
1k views

How is forex price precision (of the actual floating point number) determined?

I wrote some python code that tries to calculate this by samplying 1000 forex prices using polygon.io's REST api. However, will the precision ever change or is it fixed by something. How do they ...
HighAsAKiteOnMath's user avatar
0 votes
0 answers
25 views

GET REAL TIME CURRENCY EXCHANGE RATE [duplicate]

I need to get currency exchange rates in real time, every seconds. On websites or when using APIs, the rates are only updated every minutes, or every 30s... Is there any way I can get these datas, ...
Xenon Power's user avatar
0 votes
0 answers
51 views

Real domestic return

I would like to calculate the real domestic return of a foreign asset What I know Real price is $$P_{Real, t} = \frac{P_{Nominal, t}}{CPI_t}$$ where CPI is consumer price index. And I know that the ...
1190's user avatar
  • 109
0 votes
1 answer
92 views

Approach for studying price gaps in US equities

A price gap is defined as any day when the high / low / close price bar for that day does not overlap the previous day’s high / low / close price bar. I am interested in studying stock price gaps ...
user1433167's user avatar
0 votes
2 answers
1k views

Large data of Equity Price download from Eikon thomson reuters datastream

I like to download all Chinese ( more than 4000 stocks) stocks daily price data from 1990 to 2020 from Eikon Thomson Reuters datastream. However, I failed to select and download all stocks together. ...
Syed Riaz Mahmood Ali's user avatar
3 votes
1 answer
465 views

Resources to learn the applications of SVD in quant finance?

I have been searching for quite a while on how singular value decomposition is used in analyzing stock price behavior. I know how to perform it on a matrix of stock prices, have the results in python ...
atastix's user avatar
  • 85
1 vote
1 answer
101 views

ETF with international constituents

I was just wondering how the fair price of ETF with international holdings are accurately priced. Say we have an ETF that trades on domestic exchange but the holdings are international and the market ...
user52091's user avatar
6 votes
3 answers
6k views

Are there any standards for the precision of stocks prices, amount of stocks etc.?

I am currently developing a software that needs to store stock prices and the amount of stocks (sold/purchased) of a given company. Now I am wondering which data types I need to use to store this data....
me.at.coding's user avatar
1 vote
4 answers
96 views

corporate bonds - general questions [closed]

Newbie here and not trading IRL but for a school assignment. I want to buy corporate bonds because they are a safe bet from what I read. I have a few questions though, I hope I will find an answer ...
uma guma's user avatar
1 vote
1 answer
125 views

How do limit order prices meet?

I understand how limit orders work but I don't know how do they meet. Suppose the book of a ticker ABC is empty. Trader 1 sends a buy limit order for 1 share of ABC at 2\$, and at the same time (...
Ignasi Piqué Muntané's user avatar
2 votes
2 answers
1k views

Why using mid price to compute mark-to-market P&L if it is less accurate than using bid/offer price?

Why using mid price to compute mark-to-market P&L if it is less accurate than using bid/offer price? If spread is wide, mid is really not representative of what you would get by getting rid of ...
AnastasiaShishkova's user avatar
-2 votes
2 answers
970 views

Where can I download a list of all stocks traded on NYSE, AMEX, NASDAQ that includes dividend and dividend yield information [duplicate]

Looking for a site I can download common stock information that includes dividend information as well as price. I see reference to NASDAQ stock screener but I don't see that information there.
Thomas Ash's user avatar
4 votes
3 answers
702 views

Nelson Siegel Model calculation of the zero bound price at time zero that expires in 2 years

I am somewhat stuck and not sure how to proceed, so any help would be appreciated. I got the Nelson Siegel model with all parameters for the real data. The curve that is produced is yield vs maturity. ...
John's user avatar
  • 41
0 votes
0 answers
35 views

Are the correlations of multivariate stock prices preserved when converted to multivariate returns?

If data for multiple stock prices has a specific correlation matrix, is the correlation matrix preserved when those prices are converted to multivariate log-differenced returns?
develarist's user avatar
  • 3,000
0 votes
2 answers
169 views

What kind of returns should I use for my model?

I'm building a machine learning model with the aim of learning a daily strategy of buy or sell the stock. I was wondering if I should use adjusted close price or something else to calculate returns (I ...
unter_983's user avatar
  • 135
1 vote
1 answer
88 views

Why do prices of stocks change "premarket" and during "after hours"

How is it possible for there to be trading "premarket" and "after hours"? I thought the exchange is closed and thus trading during "premarket" and "after hours" ...
Tan Yong Boon's user avatar
1 vote
2 answers
170 views

Net volume reference for uptick and downtick

I am new to finance and I have been looking at market data in terms of prices, volumes and net volumes. From what I have gathered: Volume - number of transactions (buying-selling) throughout the ...
Snifkes's user avatar
  • 121
1 vote
0 answers
366 views

What are CloseoutBid and CloseoutAsk Prices?

Using Oanda's streaming API I get typical output as shown below: ...
babelproofreader's user avatar
0 votes
0 answers
42 views

Best practice to optimize trading price, once I've already decided to sell or buy in next few days

I'm investing in long term. By different means not related to this question, I've already decided that I want to buy or sell a particular instrument, but I'm not in such a hurry: I'm still allowing a ...
jmgonet's user avatar
  • 121
12 votes
1 answer
3k views

Negative price of oil

Yesterday and today, some kinds of oil have been traded for negative prices. Does it mean that I can take oil from seller and at the same time I get money? Or is the negative price connected only ...
Martin Vesely's user avatar
1 vote
1 answer
46 views

What should basic statistical analysis of different price forecasts contain

we have set of historical data of different price forecasts and the real prices. When assessing "which forecasts are best", what parts of the analysis should one never miss out? We are at a very ...
Jan Hirschner's user avatar
-4 votes
1 answer
101 views

How exactly money moves from one forex to another so prices are the same across exchanges?

One bitcoin exchange isn't directly connected to another. So price in bitcoin can vary from one exchange to another. The price differences are not usually huge. One bitcoin exchange is only weakly ...
user4951's user avatar
0 votes
0 answers
35 views

Practical definition of stock rating scores

I am trying to understand the practical quantitative definitions of the stock scoring system (1-5) that can be commonly found in sell-side analyst predictions. For instance, a score of 3 suggests ...
user3814483's user avatar
1 vote
1 answer
116 views

Brownian motion Price and Hedge problem

Let $W_t$ be a Brownian Motion and let $S_t= S_0e^{(rt- \frac{\sigma^2}{3!}t^3 +\int_{0}^{t}\sigma W_s ds )}$ Price and Hedge at time $t=0$ European call with maturity $T$ and strike price $K$, ...
 sai murari's user avatar
1 vote
2 answers
282 views

How would a FX price probability distibution function look?

I would like to see how the currency price levels are distributed in a probability function. But I don't even know if there is such a thing or if perhaps its just common knowledge and readily ...
not2qubit's user avatar
  • 215
1 vote
0 answers
585 views

Bloomberg Treasuries PX_Last and daily returns

I tried to search for this specific question, although I didn’t found a conclusive answer. I have a dataset containing the yields of several T-Bills and T-Notes that were downloaded from a Bloomberg ...
A58's user avatar
  • 11
0 votes
1 answer
37 views

quarterly S&P price

I need the quarterly S&P price, but only have the daily data. What is the official definition of the quarterly price? Is it just the average or is it the closing (opening) price of e.g. march ...
MikeHeimlich's user avatar
0 votes
1 answer
48 views

What is the meaning of multiplying price of contingent claim with e.g consumption level?

In the textbook Asset Pricing by John Cochrane, on p. 57, a budget constraint of a Lagrange optimization is: $c + \Sigma_s pc(s) c(s) = y + \Sigma_s pc(s) y(s) $ $pc(s)$ is "price today of ...
Aqqqq's user avatar
  • 227