Questions tagged [price]

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2 votes
2 answers
2k 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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  • 31
12 votes
1 answer
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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8 votes
4 answers
2k views

Threshold calculation for buying a mean-reverting asset

I am trying to figure-out an optimal policy for buying a unit when its price follows a mean-reverting price process (Ornstein–Uhlenbeck), when I have a finite time deadline for buying the unit. I ...
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  • 81
5 votes
1 answer
400 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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  • 301
6 votes
1 answer
6k views

Probability of stock closing over a certain price

A stock has beta of 2.0 and stock specific daily volatility of 0.02. Suppose that yesterday's closing price was 100 and today the market goes up by 1%. What's the probability of today's closing price ...
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  • 161
0 votes
3 answers
212 views

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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0 votes
2 answers
115 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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  • 123
0 votes
1 answer
87 views

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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  • 155