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 ...
- 11.7k
9
votes
Accepted
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, ...
- 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'...
- 8,436
7
votes
Accepted
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 ...
- 10.6k
6
votes
Accepted
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/...
- 1,875
6
votes
Accepted
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 ...
- 8,436
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).
- 4,307
5
votes
Research topics - neural networks and market liquidity
You can try using different approaches. Starting from something not that "heavy" like the NN.
0) Pre study
- you need to prepare your data (how you will treat a negative spread (i.e. ASK - BID <...
4
votes
Accepted
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 ...
- 9,272
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 ...
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 ...
- 6,853
4
votes
Accepted
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.
- 193
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 ...
- 464
4
votes
Accepted
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 ...
- 7,827
4
votes
Accepted
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. ...
- 2,876
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 ...
4
votes
Accepted
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 ...
- 2,416
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 ...
- 31
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 ...
- 503
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 ...
- 27.3k
2
votes
Under the CAPM, how do I deal with market returns being below the risk-free rate?
I have to agree with Tim as Most books also suggest the same. But, realistically, considering the cost of Insurance and there being no significant returns from the underlying asset, the investor ...
- 314
2
votes
Under the CAPM, how do I deal with market returns being below the risk-free rate?
Russia is a difficult case to analyze. According to Dimson, Staunton and Marsh the real annualized return on Russian equities from 1995 to the end of 2014 is 3.5% a year. Source: 2015 Global ...
- 9,272
2
votes
Under the CAPM, how do I deal with market returns being below the risk-free rate?
If I understand you properly you’re wondering if it is possible to have negative beta’s or a negative market factor (Rm-Rf<0) in the context of CAPM.
One could consider buying such assets as ...
- 337
2
votes
Accepted
Research topics - neural networks and market liquidity
I agree with all Robert says above, but if you already have the data, and you want to quickly create a neural network model and run the analysis, I would suggest the following:
The Heaton Site has a ...
- 266
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 ...
- 16.2k
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 ...
- 4,299
2
votes
Accepted
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 ...
- 1,156
2
votes
Accepted
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 ...
- 2,985
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 ...
- 7,827
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 ...
- 21
Only top scored, non community-wiki answers of a minimum length are eligible