Questions tagged [equities]
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.
1,083 questions
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Simulating stock returns GARCH-copula approach
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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Where to find downloadable 1-hour data of DAX index? [duplicate]
I am looking for a page/site where I can download the historical data for the DAX index (or other stuff) with at least 1 hour resolution for the complete trading time window from 8:00 in the morning ...
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1 answer
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Clarification on Risk-Free Rate Data from Kenneth French Data Library
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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86 views
Dividend Adjustment Factor
I am trying to understand this backward dividend adjustment factor for equity prices: $$ \frac{1}{1+\frac{d}{p}} $$ where $d$ is the dividend and $p$ the price before the ex-dividend date. I thought ...
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65 views
EURUSD exchange rate compared to NASDAQ/EURONEXT exchange rate
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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Predicting index inclusions/exclusions
So I'm currently trying to generate alpha by predicting index inclusions/exclusions before any official announcement is made. My idea is to do so algorithmically, where I build a model that tracks the ...
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Should we add dividends as a cash to the portfolio cash when using the adjusted close price?
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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Stock clustering as a part of portfolio diversification
I have a research hypothesis and now I'am trying to look at it from different angles.Now I am a bit puzzled.Maybe someone is also interested in machine learning application(especially clustering) in ...
2 votes
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161 views
Is this a valid shortcut for backtesting free of survivorship bias?
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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3 votes
1 answer
188 views
Replicating a variance swap on single stock
The general approach to replicating a long varswap is by going long a strip of delta-hedged OTM calls and puts. If we replicate a varswap on a single stock, and listed options available are only ...
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2 votes
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High correlation between aggregated features constructed with principal components
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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1 vote
1 answer
122 views
Are you really long dividends in a TRS? [closed]
Just starting to learn about delta-one products and my wondering if you're long (or short) dividends in a TRS. TRS :> you receive Dividends and the performance of the asset. But since the ...
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How does the author calculate the IRR for CSCO in the paper 'Bubble Logic'
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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Clustering stocks using PCA & kernelPCA
My data is from kaggle. I have volatitliy data of 112 stocks for 3830 time periods. Each time period represents a 20 seconds period. Think of this as a data matrix of 112 samples and 3830 features. I ...
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Ideas of vol-control mechanism to improve sharpe
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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