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10 votes

Criteria to assess the possibility of corporate bankruptcies in U.S. equity exchange markets

Since the stock is listed on NASDAQ, you have access to fairly standard 10Q and 10K financial statements. So you can apply the analysis pioneered by Ed Altman in his Z-score paper - compare this ...
Dimitri Vulis's user avatar
9 votes
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Criteria to assess the possibility of corporate bankruptcies in U.S. equity exchange markets

I have been told: Bankruptcy is very controversial Google Scholar Researchers. You might track companies ratios (e.g., debt to equity ratio, ...
Emma's user avatar
  • 460
8 votes

Creating a Beta-Neutral Portfolio

There are more ways to approach this but the method I propose should work reasonably well in practice, especially if you increase the number of assets you hold. Calculate the beta of the stocks you'...
Bob Jansen's user avatar
  • 8,543
7 votes
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Understanding the GDAX price chart

The top chart is called a 'candle stick chart' or 'OHLC candlestick' or 'OHLC bar chart' http://multicharts.com/trading-charts When the price goes down during a time interval (from O to C) the box is ...
nbbo2's user avatar
  • 11.2k
6 votes
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SPX Trading Capital: What happened on December 5, 2016?

There was a methodology change in how volume is reported. Now it is using the consolidated tape including trades on all exchanges. See: http://stockcharts.com/articles/dont_ignore_this_chart/2016/12/...
q.t.f.'s user avatar
  • 1,885
6 votes
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What does this paragraph from the book Capital Markets mean?

Not being the author and missing context I can only try to give an answer: In the period 2010-2019 investors are always on the lookout for when the market will crash. The period 2010-2019, we are in ...
Bob Jansen's user avatar
  • 8,543
5 votes

What just happened in the market?

What happened was the BoJ announcement. Such large scale news are well covered in mainstream media (ft, bloomberg, etc) and also mainstream anti-media (eg zerohedge).
Kiwiakos's user avatar
  • 4,327
5 votes
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How to download only amex and nyse data from CRSP?

On the CRSP database, for each stock there is a field called EXCHCD. This field will indicate you the exchange. Here are the ...
phdstudent's user avatar
  • 8,143
4 votes
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How to interpret the movement of stock index futures, in regards to regular market movements

When both the spot and futures markets are open, the futures price is related to the spot S&P level via the equation $F = S e^{(r-d)t}$. t is the time (in years) between now and the contract ...
Alex C's user avatar
  • 9,372
4 votes

is there any alternative to FIX protocol

Every trading venue will speak FIX, either natively or they will translate to their native protocol. The problem with FIX is that the messages are big which slows things down. Pretty much the gold ...
Bikenfly's user avatar
  • 464
4 votes
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Control for non-synchronous trading in correlations

I contacted one the authors of the original paper. He confirmed that the overlapping three day log returns are to be used on both stock and market returns.
Mike Haye's user avatar
  • 193
4 votes

How reliable is data from CSI Market?

I have been searching for the same information as I noticed some of my students did use CSI market. What bothered me is that there are no dates attached to the numbers. The only number is the ...
Connie Daniel's user avatar
4 votes

Why change numeraire for the LIBOR Market Model

the point of the LMM is to evolve several different rates simultaneously. If you have rates $f_i$ from $t_i$ to $t_{i+1}$ and take a bond expiring at $t_j$ as numeraire then only the rate $f_{j-1}$ is ...
Mark Joshi's user avatar
  • 6,913
4 votes
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Exclusion of Utilites and Financials in Magic Formula

Short answer: That is a common approach in empirical finance. The exclusion of financial firms is due to their business model, which is highly different from other companies. Fama/French (1992), p. ...
skoestlmeier's user avatar
  • 2,916
4 votes

What actually drives a stock price up ou down?

The short answer: many factors. The following are some key ones: Reported Trades - Stocks are quoted "bid" and "ask" rates. These are the traders setting their prices much similar to a local farmers ...
Socratees Samipillai's user avatar
4 votes
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Relation of risk-neutral probability measures to arbitrage opportunities

Let's stick to a discrete market for simplicity. So, you have a finite number of states in this type of model. The first fundamental theorem of asset pricing says that the absence of arbitrage in ...
Stéphane's user avatar
  • 2,456
3 votes

How reliable is data from CSI Market?

In addition, there is no "About Us" tab, which would provide the opportunity to say something about the company, it staff, and other pertinent informations, that would lead one to assess the value of ...
Andy Andrews's user avatar
3 votes

What advantage does cash-settled futures have over spot?

Futures are derivative instruments that are traded for many different purposes, by many different types of accounts. Limiting the discussion to your specific example though, the primary advantage ...
Thomas Boyd's user avatar
3 votes

Paper on returns from perfect market timing?

In the long term, you will outperform buy & hold with a market timing accuracy of > 65%. See these papers for more: Bauer, R.; Dahlquist, J.: „Market Timing and Roulette Wheels“, Financial ...
vonjd's user avatar
  • 27.4k
2 votes

Under the CAPM, how do I deal with market returns being below the risk-free rate?

So, let me begin by stating that the distribution for returns has been derived and solved. The good news is that it solves your problem, the bad news is that you can also prove that the CAPM, even if ...
Dave Harris's user avatar
  • 4,379
2 votes

How to interpret the movement of stock index futures, in regards to regular market movements

Equities futures markets and equity indices move essentially in lockstep almost all of the time. Hence when the stock market is not open, the futures provide an excellent indication of where the ...
dm63's user avatar
  • 17k
2 votes
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How could I become a market maker in forex/equity market?

The best training I have heard of for this, other than managing to get a job on the desk is ACI Dealing Simulation Course. That would answer all your questions. The problem you have is that as a ...
rupweb's user avatar
  • 1,156
2 votes
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Understanding the downsides in of trading in smaller exchange

I think you've nailed down the main points. I will only add two thoughts based on my experience with OTC trading: Volatility The flip side of inefficiency Slippage versus impact The volatility on ...
David Addison's user avatar
2 votes
Accepted

How does after-hours trading affect the next session prices?

Yes, prices change overnight. A great reference on the issue is Lou, Polk and Spouras (2018). They basically argue that there are investors who prefer to trade overnight whereas other prefer to trade ...
phdstudent's user avatar
  • 8,143
2 votes

Market Risk - Trading and Banking book in light of Basel III

High level Answer: Trading Book: All the books held in Capital Markets or Investment Banking Division of a Bank. Instruments will include:Swaps, Stocks, Bonds, etc. Banking Book: All the books held ...
Varun's user avatar
  • 21
2 votes

Order books theoretical price

It is totally up to the type of use or the type of interpretation that you want to give to the theoretical price and also it depends on what are your belief about the information content of the queue ...
JCPBBT's user avatar
  • 21
2 votes

What actually drives a stock price up ou down?

Can someone please explain to me how stock prices go up and down? What are the underlying physical and information technology phenomena and algorithms that drive a stock up or down? This question may ...
Dave Harris's user avatar
  • 4,379
2 votes

Market makers order execution on the order book

Owen, designated market makers in general are required to send in a two sided market (a bid and and offer) within a certain width for a certain percentage of the time. There's no obligation to cross ...
JoshK's user avatar
  • 2,613
2 votes

Which models have non-smooth densities?

A simple model would be the double exponential model from Kou (2002). It is very similar to the jump-diffusion model from Merton (1976) but instead of modelling the jump size by a normal distribution, ...
Kevin's user avatar
  • 15.7k
2 votes

What is the relation between "Capital Market Line" and "Capital Asset Pricing Model (CAPM)"?

For short: 1 ) Is this right? Yes 2 ) How do you get from one expression to the other? You did it already 3 ) In Formula 2, the ...
AKdemy's user avatar
  • 9,079

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