Questions tagged [price]

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43 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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18 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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1answer
38 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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28 views

What are CloseoutBid and CloseoutAsk Prices?

Using Oanda's streaming API I get typical output as shown below: ...
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34 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
2k 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
87 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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27 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
91 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
171 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
92 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
34 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
208 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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0answers
42 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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47 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
151 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
53 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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0answers
122 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
225 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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0answers
99 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
811 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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0answers
39 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
825 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
92 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
177 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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144 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
274 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
299 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
89 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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0answers
62 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
324 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
134 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
75 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 $...
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1answer
474 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) - ...
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2answers
79 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 ...
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1answer
48 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 ...
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2answers
512 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
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2answers
1k 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, ...
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1answer
89 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.
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0answers
24 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 ...
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1answer
217 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{...
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2answers
433 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 ...
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2answers
353 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 ...
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2answers
657 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 ...
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1answer
383 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 ...
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1answer
536 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 ...