# Questions tagged [price]

The tag has no usage guidance.

121 questions
Filter by
Sorted by
Tagged with
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 ...
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 ...
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, $P = \sum_{n=1}^N p_n / N$...
• 103
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: ...
• 101
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 ...
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 ...
• 127
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(...
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: ...
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. ...
• 103
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 ...
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 "...
1 vote
74 views

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 ...
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.
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. ...
• 41
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?
• 3,000
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 ...
• 135
1 vote
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" ...
1 vote
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 ...
• 121
1 vote
366 views

### What are CloseoutBid and CloseoutAsk Prices?

Using Oanda's streaming API I get typical output as shown below: ...
• 2,159
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 ...
• 121
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 ...
1 vote
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 ...
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 ...
• 93
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 ...
• 101
1 vote
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 $K$, ...
1 vote
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 ...
• 215
1 vote
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 ...
• 11
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 ...
• 193
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 ...