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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.

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I am currently in need of simulating stock returns from 2025 until 2100 for scenario analysis purpose. I used a GARCH-copula approach : mean = ARX for GARCH, student t residuals and student t copula. ...
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I noticed that the risk-free rate data from the Kenneth French Data Library seems unusual. Typically, the risk-free rate is a small number (e.g., around 0.3–0.4), but the dataset provides values such ...
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Is there a paper that compares the EURUSD exchange rate vs the relative values of the american stock market vs european stock market ? As an example, we could do a weighted sum of every major stock ...
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I am backtesting some strategy and using the adjusted close price. I wonder if I need to take into consideration the dividends paid in cash. Should I add them into portfolio cash or not ? As far as I ...
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We backtest a very complex equity strategy that uses dozens of different fundamental and macroeconomic indicators. To make this backtest free of survivorship bias, we first collected all stock tickers ...
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I have $k$ predictive factors constructed for $N$ assets using differing underlying data sources. For a given date, I compute the daily returns over a lookback window of long/short strategies ...
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Author Cliff Asness in his paper "Bubble Logic: Or, How to Learn to Stop Worrying and Love the Bull" linked here or can be found in the collection of papers here calculates for a ...
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I am trying to improve a regular vol-control for a personal project based on t-2 ewma or std vol as it does not really perform any better in sharpe ratio than it's benchmark (S&P500). I am ...
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I'm working with financial time series data on a large global universe of companies. Specifically using fundamentals from FactSet right now, and my question concerns earnings per share (EPS), and I'm ...
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The equity forward price formula is: $F(T) = S_{t}\cdot e^{(r_{f} - r_{repo}-div)\cdot (T-t)}$ where $S_{t}$ is the spot price, $r_{f}$ is the risk-free rate and $r_{repo}$ is the repo rate and $T$ is ...
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I want to simulate the intra-day spread between an equity future and the spot index, but I'm struggling to find a method which would fit the required distribution. I've tested with ARIMA models but ...
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As stated in the title, how do exchanges (such as NASDAQ) actually calculate the implied volatilities and Greeks of American-style stock options? From my perspective this is relevant if I'd like to ...
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While coding a strategy that uses 50% of the fund to long the group of stocks with the greatest exposure to a factor called MIF, and the other 50% to short the group of stocks with the least exposure ...
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I am looking at creating an ML model to price an exotic equity option which has a barrier where the buyer is paid out if the barrier is crossed, and multiple observation dates where the price is ...
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In the context of stress-testing, what possible methods are there to estimate the change in the risk-free yields curve based on a hypothetical equity return ? I'm trying to estimate the change in ...
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My basic understanding is that the note is constructed with a zero coupon bond where the discounted amount is used to fund the equity linked return but how does this work exactly? Also, does the note ...
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I'm trying to implement the Supertrend indicator. Unfortunately, I can't calculate the values ​​that my chart software generates. At the moment, I don't fully understand my problem. You can add the ...
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The more I think about the fundamental difference between growth and value stocks the more confused I am. Both strategies seem to exploit market mispricing: growth investors target underestimated ...
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I'm a student attempting to download time-series data for 27,000 stocks. I initially tried using Factset's API but lack access (as a student, I am able to manually download data, without access to ...
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A quote from Natenberg's Option Pricing and Volatility, on stock index futures and how variation margin can change their price. Ignoring dividends, the fair value of a stock index forward contract is ...
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I read some of the papers in the market making literature such as: Avellaneda - Stoikov market making model but was wondering if these types of models are actually use in pratice? It seems that when ...
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I was reading about exchange to understand better how they execute my market-orders. So let's say I am sending a market order to buy one share of AAPL to NYSE. When NYSE gets my order he looks at the ...
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Inspired by another post on Bakshi et al. (1997), the paper talks about the feasibility of option pricing models, particularly the SVSI-J variant. I would like to ask the Quant community if there are ...
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Recently heard a view on how one should model/book autocallable swaps (in its basic form where there is a series of observation dates on which the product autocalls and there is exposure to the ...
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Most of the time to analyze a strategy people will take all the trades and look at the PnL a certain markouts. Yet I don't understand why so many people look at negative markouts? What can infer from ...
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