Questions tagged [price]

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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(...
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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 ...
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Why is the P/E Ratio in this dataset different from what I would have expected?

Checking the S&P 500 Companies with Financial Information dataset, the P/E Ratio for MMM would be 222.89 (Price) divided by Earnings/Share (7.92), which gives 28.14. However, the Price/Earnings is ...
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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 ...
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Robust approach to capture price movement of a stock universe

Let's say we have a universe of 100 stocks, S1, S2, ... S100, and their historical price data (daily, for the past 50 days). What would be the most robust/widely used method to capture the price ...
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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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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 ...
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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 ...
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1 answer
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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 ...
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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 =...
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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 ...
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Can I compare on stock price change to that of NYSE composite for determining significance

If I have stock X Y and Z, and I've tracked their daily price for a period of time. And I want to see certain events's impact on their price. I can have the daily price change in time series for XYZ, ...
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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 ...
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Machine learning in stock price prediction [duplicate]

I am new and thinking to experiment in the stock price predication. There are many way like moving average but I am interested in using machine learning. Anyone can help me here to give pointer?
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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
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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 ...
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3 answers
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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 ...
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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, ...
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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 ...
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1 answer
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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 ...
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2 answers
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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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3 votes
1 answer
206 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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1 answer
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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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5 votes
3 answers
2k 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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1 vote
4 answers
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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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1 vote
1 answer
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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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1 vote
2 answers
537 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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-2 votes
2 answers
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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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4 votes
3 answers
275 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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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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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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1 vote
1 answer
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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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1 vote
2 answers
106 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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0 answers
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What are CloseoutBid and CloseoutAsk Prices?

Using Oanda's streaming API I get typical output as shown below: ...
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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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12 votes
1 answer
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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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1 vote
1 answer
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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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-4 votes
1 answer
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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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0 answers
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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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1 vote
1 answer
110 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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1 vote
2 answers
201 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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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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1 answer
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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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0 votes
1 answer
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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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1 vote
2 answers
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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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3 votes
0 answers
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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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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 answers
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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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1 vote
0 answers
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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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3 votes
0 answers
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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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