Questions tagged [price]

The tag has no usage guidance.

Filter by
Sorted by
Tagged with
0
votes
1answer
29 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 ...
0
votes
1answer
30 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 ...
1
vote
2answers
162 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 ...
3
votes
0answers
35 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 ...
1
vote
0answers
44 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 ...
1
vote
4answers
149 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 ...
1
vote
0answers
45 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 ...
3
votes
0answers
115 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 ...
3
votes
1answer
219 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 ...
1
vote
0answers
80 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 ...
1
vote
1answer
279 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 ...
2
votes
0answers
33 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. ...
1
vote
2answers
492 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?
0
votes
1answer
88 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 ...
0
votes
1answer
89 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 ...
0
votes
0answers
100 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 ...
1
vote
1answer
161 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 ...
0
votes
2answers
831 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? (...
4
votes
1answer
253 views

Does margin trading affect market price?

Does supply and demand in CFD trading affect the actual price of financial market?
1
vote
1answer
82 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 ...
1
vote
0answers
59 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 ...
3
votes
1answer
288 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 ...
1
vote
0answers
90 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, ...
1
vote
1answer
112 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 ...
1
vote
0answers
66 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 $...
0
votes
1answer
417 views

How to price a quanto basket option?

EDIT: Maybe there is no way to get explicit solutions for basket options (maybe the Black-Scholes differential equation can't be solved directly ??). Q3: How do you price and hedge ( S1(T) + S2(T) - ...
0
votes
2answers
76 views

Fill prices on limit and market orders

Suppose the book of ticker X is empty. Simultaneously trader A sends a limit buy order for 1 unit of ...
0
votes
1answer
40 views

Share price after acquisition announcement (specifically QCOM NXP)

Recently it was announced that QCOM plans to acquire NXP in a deal taht values NXP at \$110 per share. In this case I would expect that the shares of NXP should rise up and hit the \$110 mark and stay ...
3
votes
2answers
431 views

What does implied volatility means for different call and put strike prices?

Why there different implied volatility for different strike prices?, Can plz someone explain to me? I am pretty new to options. Thanks in advance
1
vote
2answers
725 views

Scale prices in multiple stocks for comparison

I have a chart with prices of multiple stocks. The problem is that some prices are below 100 while others are above 1000, so the chart is really ugly. How do I compare historical in multiple stocks, ...
-1
votes
1answer
86 views

How to calculate the elapsed time until a stock reach a certain price?

In specific, I will set a certain price to a stock and I want to know how long takes until the historical prices reach this price. Thanks you.
1
vote
0answers
23 views

What are commonly used price movement color schemes?

What are commonly used price movement color schemes? Like American: up - green, down - red European: up - blue, down - red Asian 1: up - red, down - green Asian 2: up - blue, down - red Are these ...
3
votes
1answer
192 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{...
1
vote
2answers
360 views

How do I get a good mid-price?

I 'm trying to get a mid price for forex data. This answer by alex suggests that I shouldn't simply take ask minus bid. I am not a high frequency trader or market maker. My purpose for the fx mid ...
1
vote
1answer
144 views

The Dog That Did Not Bark?

I've been reading Cochrane's 2006 paper "The Dog that did not bark: A Defense of Return Predictability", but i am still struggling to understand what the dog was, and why it wasn't barking? If anyone ...
2
votes
2answers
579 views

Correlation: Use Price or Return? Return doesn't make sense [closed]

I am trying to find the correlation between the returns of two indices over a long period of time (10 years+) . Should I be using the index daily price level or the index daily total return? Most ...
1
vote
1answer
317 views

Design models using adjusted or unadjusted stock prices (time series prediction)?

I'm creating a predictive model for closing price of stocks (using neural network and support vector machines.). Is it appropriate to use adjusted prices or unadjusted prices for this prediction ...
2
votes
1answer
436 views

Strategies to merge bid, offer and trade price time series into a single price time series?

I'm doing intraday analysis on low volume stocks. There are just a few trades every day, but a whole host of bids and offers. In order to reduce the sparsity of the time series data I'd like to ...
1
vote
0answers
285 views

Finding metal price data from LME

Does anyone know any sites that allows you to download free historical monthly metal (copper and aluminium) price data, the best would be LME data. I need historical spot prices, inventory, ...
2
votes
3answers
172 views

Commodity market. Why would actual sellers / buyers bother about speculative price?

Investopedia says: The following are two types of futures traders: hedgers speculators An example of a hedger would be an airline buying oil futures to guard against potential ...
0
votes
1answer
128 views

How to estimate today's closing price?

I'm working on interday trading algorithm and I have a basic question: How can I estimate today's closing price? I need it to predict tomorrow closing price. Should I use the price few moments before ...
1
vote
0answers
20 views

Which rate have to be considered by using multiliteral netting?

I do have a netting structure consisting of four companies (A,B,C,D) and a netting center. The center also takes place in the netting process. The netting center uses the EUR as currency. Company A ...
2
votes
2answers
334 views

Normalizing SPY ETF time series data with its sector ETFs?

I am looking to compare the returns of a sector rotation strategy between the various SPDR sector ETFs XLY, XLP, XLE, XLF, XLV, XLI, XLB, XLK, XLU vs. ...
1
vote
0answers
57 views

simple game - fair value

Suppose a person A has the following game: there are 2 red balls, 2 green balls and 1 white ball in a bag you take 1 ball (don't put it again in the bag) and then a second ball if you take the white ...
-1
votes
1answer
29 views

How does Fed Qe affect the housing sales in the US? Why does it happen to be that way?

From my research, Fed's Qe should encourage house sales, however the graph shows houses price in the state seem to gradually go down after 2009. Isn't that contradicting itself? Ain't the increase in ...
0
votes
1answer
72 views

Finding circumstances for price of call = price of put

Here is a problem in Hull's book and the given solution: My approach was to compute the profit $\pi = \pi_{SP} + \pi_{LC}$ (short put, long call). One can show that $\pi = \pi_{SP} + \pi_{LC} = S_T -...
2
votes
1answer
172 views

How to distinguish trending/consolidating market conditions programatically?

Can someone please suggest me a method to programatically identify trending/consolidating market condition by reading ohlc data? Currently I'm thinking of checking the current price within last n ...
2
votes
0answers
71 views

What is the minimum price change required for a trading position increase of 1?

Suppose I have a trading system that calculates the daily risk adjusted position from the annualized risk, that is, the standard deviation of the returns of a stock over an arbitrary period of time. I ...
1
vote
3answers
3k views

What is the difference between market equilibrium and market efficiency? equilibrium implies efficiency?

The market efficiency hypothesis means securities are traded at their fair price. If the market is at the equilibrium, does it mean the market is efficiency? If equilibrium cannot implies efficiency,...
1
vote
2answers
184 views

Why is volume a totally independent variable from price?

In Martin Pring's book "Technical analysis explained", when talking about volume, he asserts that it is "a totally independent variable from price" Why is this?