4
votes
Why do we need an ex-dividend date?
I think you are really concerned about the record date. The ex-dividend date itself is set by the exchange. See for example Nasdaq.
The firm issuing the stock manages the declaration date, record ...
- 6,869
3
votes
Portfolio optimization on a subset of assets
The term under which this problems is usually known is cardinality-constrained portfolio optimization. This is a broad and active field of research, with new approaches coming out continuously. In ...
- 1,408
3
votes
Accepted
Why some stocks not traded today?
There's a common misconception that everything must trade every day / hour / minute when the market is open.
Quite simply, the price is in equilibrium - no new buyers willing to push the bid higher ...
- 1,317
3
votes
Existence of an upper bound for risk-factor betas/coefficients
I do not think such an upper bound exists for beta in terms of moments of the SDF alone. The upper bound of beta depends on the volatility of the SDF and the volatility of the asset returns. The ...
- 15k
3
votes
How do Personal Finance companies get access to their customers investment accounts?
I would reach out to SnapTrade. You would connect your platform to them, and in turn they allow your customers to connect numerous brokerage accounts to your platform.
3
votes
Accepted
Algorithm / formula / method to determine optimal weightings given expected return, % of volume and slippage
Let $k$ be the funding amount (in \$), let $N$ be the number of stocks, let $V$ be the vector of expected daily volumes $v_i$, let $R$ be the vector of expected returns $r_i$, let $W$ be a vector of ...
- 146
3
votes
Where can I find a Python module for Stock volatility estimators using Yang Zhang method?
There's a github repository for this: "A complete set of volatility estimators based on Euan Sinclair's Volatility Trading."
https://github.com/jasonstrimpel/volatility-trading
3
votes
Free intra-day equity data source
You can find free historical intraday data for US equities, including tick data (last sales), bar aggregates (second, minute, hour), and order book (MBP, MBO) at Databento. Each account gets a free ...
- 2,233
2
votes
Accepted
If the price of a stock follows a Geometric Brownian motion, then does stock return depends on past stock returns?
If the returns follow Geometric Brownian Motion model then by definition the returns are independent of past returns. You are right in that returns are affected by past returns but there are models ...
- 349
2
votes
Beginner FFT (Fourier) transforms on closing prices for Apple
The blue line that you have fit starts at 140 and also ends at 140 because when you fit a Fourier Series the signal is assumed to be periodic (repeated again and again) and continuous. 140 is a ...
- 10.3k
2
votes
Accepted
Are there open source or academic-only limit order book data sets available?
Here are a few links that may have the data you are looking for:
awesomeopensource.com has many open source projects. You could probably find some data there.
This Github repo has some data. Only 3 ...
- 4,315
2
votes
Why is there a lot of focus on derivatives pricing and much less on stock pricing?
I think the comment provided by nbbo2 answers your question fairly well and is pointing in the right direction. To make the answer more concrete, it's important to note that unlike with other types of ...
- 21
2
votes
Assistance understanding relation between the "Bid-ask bounce" and the "Tick rule"+"Quote rule"
The bid ask bounce is a phenomenon that you observe when you look at transaction prices in a quote driven market. Because buys and sells occur randomly, the price of the last trade changes randomly ...
- 10.3k
2
votes
difference between strike notional and spot notional
Suppose one owns $n$ call options with a strike price of $K$ on stock X and each option gives the right to buy $c$ shares of X. Also assume the spot price for stock X is $P$. Then, for this position (...
- 956
2
votes
Accepted
How SPY ETF really works?
SPY returns, like any other ETF, are fully explained by the weighted returns of its components + any fees & expenses. It tracks the S&P in the sense that the fund's management tries to keep ...
- 386
2
votes
Modeling the price of a stock based upon its dividend history
The Gordon Growth Model (GGM) is just a simple model. I don't imagine any serious user of the GGM believes in its assumptions or that calculating the true value of a stock is as simple as plugging in ...
- 8,258
1
vote
Accepted
Modeling the price of a stock based upon its dividend history
Your question borders on opinion-based, but I'll try.
Corporations' earnings and profits are volatile and unpredictable.
Publicly traded corporations' common share prices are even more volatile, ...
- 11.3k
1
vote
Calculate PE ratio of equal-weighted index
You just need to take the (simple) harmonic mean of the P/E's of the stocks in the index given that it's an equal-weighted equity index.
Suppose you have $N$ stocks in the equal-weighted index. Then, ...
- 956
1
vote
Price of a simple autocall - Sebastien Bossu Advanced Equity derivatives
I had about the same level as you when I tried: $0.076\%$.
Code is below: feel free to get inspired by it, as well as giving feedback. That's the best way to collaboratively learn!
...
- 2,520
1
vote
Are there open source or academic-only limit order book data sets available?
Some vendors have academic licenses, where they offer a reduced rate or even free access to the data. You should try contact some of them like:
Nasdaq
Ticket Market Data
Olsen
The Crypto space is very ...
1
vote
Is there a way to tell if a time series price data is reversed?
This question about reversibility of time attracted a lot of attention of econophysicists. Laws of physics guarantee no time reversion in real life (because of entropic principle): is it the same on ...
- 11.2k
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