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Results tagged with equities
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user 467
Shares of stock traded in a stock market. Equities represent the residual claim or interest of the most junior class of investors in assets, after all liabilities are paid.
3
votes
Accepted
How to calculate weight of two stocks without knowing their correlation?
You are supposed to create a new portfolio using the tangency portfolio $P_t$ and the risk-free rate $r$.
You know that the volatility of the tangency portfolio $\sigma_{P_t}=0.20$.
You also know th …
- 11.2k
2
votes
How to interpret regression coefficients with dummy explanatory variables?
To answer you correctly we'd need to see the exact inputs of your regression... and I doubt you can mix easily linear and binary variables like that.
If the market return is 1% at time $t$ do you hav …
- 11.2k
32
votes
Accepted
How to simulate stock prices with a Geometric Brownian Motion?
The way you do it in the first place is a discretization of the Geometric Brownian Motion (GBM) process. This method is most useful when you want to compute the path between $S_0$ and $S_t$, i.e. you …
- 11.2k
6
votes
Accepted
Why does regression capture differences in volatility?
I guess what they are trying to say here is that, assume you have two time series $X$ and $Y$ which are exactly the same i.e. $X=Y$, the correlation is :
$$\rho_{X,Y}= \frac{Cov(X,Y)}{\sigma_X \sigma …
- 3
0
votes
Accepted
Is stock price priced in the uncertainty?
I'm not sure if I understand you perfectly, but basically, you have:
$$\mathbb{E}(S_1)= p S_0 u + (1-p) S_0 d = S_0\left[p (u-d) +d \right]$$
This is simply the expectation (i.e. there is no pricing …
- 11.2k
19
votes
Accepted
Is the stock price process a martingale or a Markov process?
From what I remember, there is no real relation between Markov and Martingale, and my intuition was confirmed by this post.
Basically, it says that you can say neither of the following:
If A is Mark …
- 11.2k
1
vote
Economic contagion to individual stocks (ideas for analysis)
How did equities do compared to commodities or bonds or hedge funds (who are supposed to benefit from falling markets). …
- 11.2k
2
votes
What is a reasonable upper bound on the performance of a daily trading strategy?
Quite simply, no, you can't bound returns.
Assuming you can invest in several assets, and that you can short-sell, you could quite easily make a huge return by simply getting (maybe even just by pure …
- 11.2k
4
votes
How to determine if one player moved a price
If you look at the ladder, you might have some insight, but it's mainly speculation.
The only way to be really "sure" in my opinion would be to have some insight from a broker.
Otherwise, what I'd t …
- 11.2k