# Tag Info

Accepted

### Negative price of oil

The negative price that was all over the news was the front contract for WTI (West Texas Intermediate) futures that went to -40 and had a last trade date of 21.04.2020, so today. This movement was ...
• 5,475

### How do I get a good mid-price?

Ask minus bid has nothing to do with the mid price - it is the spread. Generally you see a collection of bid/offer orders resting on different price levels. In the simplest case, you just see one bid ...
• 5,718

### The Dog That Did Not Bark?

I'm not sure how deep of a question you are asking. The dog that did not bark is from a Sherlock Holmes murder mystery. The dog at the house did not bark at the intruder, so Holmes believed the dog ...
• 266

### Scale prices in multiple stocks for comparison

Yes I would recommend you to plot the log of prices instead of prices. It will re-scale the data while preserving the hierarchy of prices, and more importantly it allows to compare easily the growth ...
• 2,542
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### Why is volume a totally independent variable from price?

Pring was (probably) simply referring to the fact that most indicators are function of price -- lots of different ways to twist and contort prices to define trends, reversal points, etc. Volume is ...
• 346

### Clean vs. Dirty Price and its impact on duration

By definition, modified duration is $$D_\text{mod} = \frac{1}{P} \frac{dP}{dy}$$ where $P$ is the dirty price of a bond. Clean price is the standard quoting convention for the vast majority of bond ...
• 11.1k
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### How to estimate today's closing price?

Since you're asking on a quant finance forum, the mathematical approach would be Decide on a model that the stock price follows, and Compute the expected value of the price, conditional on the most ...
• 2,758
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### Brownian motion Price and Hedge problem

Step 1: Know your distribution Since $\int_0^t W_s\mathrm{d}s\sim N\left(0,\frac{1}{3}t^3\right)$, we have \begin{align*} S_t &= S_0 \exp\left( rt-\frac{1}{6}\sigma^2 t^3 + \sigma \int_0^t W_s\...
• 14.9k
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### Why using mid price to compute mark-to-market P&L if it is less accurate than using bid/offer price?

This is an excellent philosophical question. Recall that the goal of mark to market is to predict the P&L if we unwound this position in an orderly market. Suppose that you're in a very convinient ...
• 10.8k

### How is forex price precision (of the actual floating point number) determined?

"How do they choose the forex price number's precision?" By convention. And/or by vendor, e.g. BBG has 4dp for some pairs where Oanda has 5. And of course convention for forwards differs ...
• 2,161
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### Fill prices on limit and market orders

In the first case it is a "race condition": whichever order is received first (even if it is only one microsecond before the other) will populate the Book and the second limit order will execute ...
• 9,985
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### Scale prices in multiple stocks for comparison

Index all the stocks to 100 in the start of the period!That is mulitiply all stock prices with 100 and divide all stock prices with their price in the beginning of the time series!
• 1,287

### The Dog That Did Not Bark?

As it was pointed above the phrase is taken from Sherlock Holme's novel. It describes the case when the dog should have bark, but didn't. Now if we come to the Cochrane paper. He introduces the system ...

### Difference in weekly and monthly data

If anyone else is wondering what the actual answer is, I've figured it out. When viewing as weekly or monthly data, yahoo displays the Open, Low, High, Close, Vol., and Adj. Close "as of the end ...
• 31
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### Normalizing SPY ETF time series data with its sector ETFs?

Why not just use Geometric Mean Returns? Each time you buy/sell an ETF calculate the holding period return as a percentage and plug into the formula. The answer is a percentage that you can use to ...
• 271

### What does it mean by "A one period bond is a claim to a unit payoff." from Cochrane?

That simply means that a bond pays one unit of the currency in any state (regardless what happens in the future, i.e. there is no default risk about the payoff of a bond). So you will receive 1 in ...
• 14.9k
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### What does it mean by "A one period bond is a claim to a unit payoff." from Cochrane?

A bond repays its notional face value (plus interest sometimes), not the original purchase price. Do not assume the the price you pay for a bond is its face value. Sometimes a law or a regulation (...
• 10.8k
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### How would a FX price probability distibution function look?

You can extract the risk neutral density implied by option prices and have a look at that. The implied probabilities are given by the prices of butterfly spreads in the market. This is common ...
• 929
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### What should basic statistical analysis of different price forecasts contain

Hi: Based on your question, it sounds like the Diebold-Mariano test might be perfect for your case. It doesn't require any sophisticated assumptions about models or processes etc. All one needs are ...
• 1,042

### Why using mid price to compute mark-to-market P&L if it is less accurate than using bid/offer price?

Most banks use mid market to compute daily MTM p/l whilst maintaining a reserve to account for liquidation costs. The latter is usually recalculated periodically and is indeed a function of market ...
• 15.2k
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### Are there any standards for the precision of stocks prices, amount of stocks etc.?

Giving my 2 cents on your questions: I believe the amount of decimal places is dependent on (the exchange and) the type of financial product. However, an Investopedia article writes: In 2005, the ...
• 4,108

### Resources to learn the applications of SVD in quant finance?

An example of typical use of SVD: Suppose you have a square matrix. You would like to apply Cholesky decomposition. But Cholesky complains that the matrix is not positive definite. So you call SVD ...
• 10.8k
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### Exchange vs Order-Driven vs Quote -Driven

Some terminology, including terms like "quotes" and "orders", has become obsolete in the modern equity or futures markets. However, "quote-driven" or "order-driven&...
• 2,173
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### Quick way to extrapolate call price as function of strike

The upper bound for the 80 call is C(90) + 10, or 30. At least assuming no arbitrage. Let's start by assuming the risk-free rate is 0 (this isn't a problem, but the math is clearer without it), so we ...
• 520
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### How to forecast bond price with time series

This is a very broad question and a large number of issues have been discussed in the literature. As such, it's hard to give specific advice except that it is better to model returns instead of prices ...
• 7,874

### Strategies to merge bid, offer and trade price time series into a single price time series?

The average would be called the mid-price, not the best in my opinion, but that depends on your modeling. Another strategy is to weight the bid and offer prices according to size, also called the ...

### Correlation: Use Price or Return? Return doesn't make sense

Actually prices dont make sense as they are correlated with previous samples (prices), returns are not. Better will be difference between prices, but then you dont have reference point and ...
• 490