Questions tagged [price]

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38 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. ...
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1answer
88 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 ...
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1answer
53 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 ...
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2answers
200 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....
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65 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 ...
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1answer
89 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 (...
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2answers
130 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 ...
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2answers
98 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.
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Literature or proof of a lower price for long-term contracts (B2B)

I am currently working on a paper and I am stating that usually long-term supplier - customer contracts result in lower prices. This seems really clear to me. In the B2C spectrum there are many ...
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22 views

How is the following realized-price related quantity called?

Let's say we're given a stock $S$, and let's denote by $S_t$ the market price (the last price at which the stock was traded, generally not equal to the midprice) of stock $S$ at time $t$. Is there a ...
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3answers
121 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. ...
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27 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?
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2answers
129 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 ...
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1answer
48 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" ...
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20 views

Intra-trade adverse price move

I've been given some quote and trade data in the aim of highlighting the adverse price move during metaorder durations (buy orders pushing prices upward and sell orders downward). I want to plot the ...
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2answers
67 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 ...
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116 views

What are CloseoutBid and CloseoutAsk Prices?

Using Oanda's streaming API I get typical output as shown below: ...
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35 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 ...
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1answer
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 ...
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1answer
31 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 ...
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1answer
93 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 ...
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30 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 ...
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1answer
98 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 $K$, ...
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2answers
179 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 ...
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0answers
155 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 ...
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1answer
35 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 ...
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1answer
36 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 ...
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2answers
258 views

What does it mean by “A one period bond is a claim to a unit payoff.” from Cochrane?

In the textbook Asset Pricing by John Cochrane, on p. 19 (corresponding table on p. 18), he claims that A one period bond is of course a claim to a unit payoff." What does he mean by "a unit ...
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45 views

Does convexity in the IV space means convexity in the price space?

Let's assume that we only look at OTM options to construct a Risk Neutral Density (RND). As the RND is the second derivative of the price of the option with respect to the strike, we would expect ...
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49 views

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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4answers
159 views

If historical returns are no indication of future returns, why are they still shown to investors?

Stock returns and fund returns are on average not autocorrelated and thus unpredictable. Consequently, looking at a historical price chart gives no indication in which direction tomorrows price will ...
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0answers
56 views

Brownian motion from price-series, what is the time step?

If I assume a given empirical price-series is a brownian motion, I can estimate the drift and standard deviation as long as I know what the time step was when the process was 'generated'. But since ...
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125 views

Replication of “A model of competitive stock trading volume”

I am replicating the paper "A model of competitive stock trading volume" by Jiang Wang http://web.mit.edu/wangj/www/pap/Wang94.pdf for a research project . I realize this is a very specific question ...
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1answer
235 views

Why is it more accurate to simulate ln(S) rather than S?

Let's take a process $S$ that satisfies: \begin{equation} dS = \mu S dt + \sigma S dz \end{equation} with $dz$ a Wiener process, $\sigma$ the volatility of $S$, $\mu$ the expected return of $S$. From ...
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120 views

Derivative of the stock price and volume at time t

According to Forecasting of Jump Arrivals in Stock Prices: New Attention-based Network Architecture using Limit Order Book Data at page 9, I would be interested in deriving the the price (ask and bid ...
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3answers
2k views

What is the order flow imbalance?

The price impact of order book event is an arxiv article which shows that, over short time intervals, price changes are mainly driven by the order flow imbalance, defined as the imbalance between the ...
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41 views

About buying and selling a cumulative parisian options

I ask my question here because I want to know more about the cumulative Parisian options introduced by M. Chesney, Mr. Jeanblanc-Picué and Mr. Yor in 1997, then developed by Hugonnier in 1999 and F. ...
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2answers
1k views

Clean vs. Dirty Price and its impact on duration

When calculating duration would you use the clean price or the dirty price? why for either?
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1answer
100 views

Geometric brownian motion and sudden price drops

Simple question of a curious person: One can say that prices tend to rise "slowly" and drop "all of a sudden". Still, they are a geometric composition upon random returns. As I understand, this is ...
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1answer
291 views

Determining the probability of arriving at a price by a time T

A useful calculation for ascertaining the risk of something might be determining the probability of a realization of a set of stock prices $X$ being greater than or equal to some future price $x$. I ...
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162 views

OHLC inconsistencies in bloomberg

This may be clear to a practitioner, but consider the following rows of OHLC points: 55.20 56.50 55.35 55.45 (low > open) 53.30 53.30 53.20 53.325 (close > high) These are taken from ...
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1answer
329 views

Calculating Flat Price Risk for Physical Commodity Trades

I've been reading Craig Pirrongs Economics of Trading Firms published by Trafigura: https://www.trafigura.com/media/1364/economics-commodity-trading-firms.pdf Very informative read. The point I have ...
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2answers
2k 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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1answer
323 views

Does margin trading affect market price?

Does supply and demand in CFD trading affect the actual price of financial market?
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1answer
93 views

Question about order book and single player interference

Let us suppose I have 1 Million US Dollars, and I am given an ask value of 0.45 USD per share in a given share. Let us call it MRD3. If I place an order of the type bid, in which I offer only 0.01 USD ...
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67 views

Are there ways of detecting a price bubble of an asset with no inherent value such as Bitcoin, purely based on an existing momentum in pricing?

I have heard of existing methods of detecting bubbles in the pricing of precious metals like gold and was wondering if, by extension, something similar could be done to examine prices of ...
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1answer
347 views

Relation between price changes and trading volume (market impact)

It is quite a well-know phenomenon that trading volume has an impact on a stock price: the more you buy the higher is a price because of demand increment. I'm wondering about models that can describe ...
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0answers
91 views

Simulation of Traders [closed]

I am writing a simulation of how traders will behave in an emergent market. The idea is to see how traders can use information from other traders to make a decisions as to whether they will buy, sell, ...
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1answer
169 views

Does a trade always change the mid-price?

I would like to ask: Let assume that the mid-price now is m0, then a trade happens and the new mid-price is m1. Is it possible ...
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0answers
77 views

Cox-Ross-Rubinstein - getting volatility

i have exam coming on financial engineering, and need help asap with this thing. Basically there's a European put option ex dividend. We know that the stock price is $S_t = 85$, the exercise price is $...