equities


equities - SP500 sector weights - how do they change?

S&P finally did respond to our query with a 100 page document. The part relevant to this question follow: Select Sector Index Calculations With the exception of the weighting constraints described a... Read More


equities - Predicting portfolio returns

Most models of return are based on "characteristics" or "exposures" of the stocks. These are different things but they share the property that they are linear across a portfolio. You find the charact... Read More


equities - Geometric Brownian Motion - Price Probabilities

knowing that the log of the prices in a GBM follows the following normal distribution: $$\operatorname{ln}(St) \sim N\left(\operatorname{ln}S0 + T*\left( \mu - \frac{\sigma^2}{2} \right), \sigma^2 T... Read More


equities - How can I learn about the quantitative aspects of market making in illiquid single stock options?

A good place to start learning about option market making using quantitative techniques is Euan Sinclair's Option Trading (chapter 10 is devoted to market making techniques). He also gives a decent i... Read More


equities - Get market cap by ticker on 1.7.2013?

Some of the issues with this sort of request is: a) Today's S&P 500 components are not the same from 1 Jul 2013. By using today's components you are introducing pre-inclusion/survivorship bias. Are y... Read More


equities - Closing prices are predicted very well but returns are predicted poorly

The previous day price is an excellent predictor of the next day price, however the previous day return doesn't tell you much about the next day return.... Read More


volatility - Why do low standard deviation stocks tend to have superior future returns?

Here is a piece on trying to replicate the results of low vol anomaly. http://systematicedge.wordpress.com/2012/07/06/low-volatility/... Read More


equities - How to normalize different instruments by volatility?

One more answer from my side in case you are interested in risk management. In historical simulation (for details please see the references below) past returns are sometimes scaled by (i.e. devided b... Read More


equities - Determining maximum strategy capacity and optimal order size for low frequency equity strategy

First it would help to know some more details about what you mean by maximum capacity. However here are a few things to consider. Do you have a simulator you use to simulate your strategy with marke... Read More


equities - Non-negative matrix factorization for factor analysis of stocks

In the chapter that deals with NMF of the book "Programming collective intelligence" , the author did NMF on several stock trading volumes and found some comovement. I googled a little. This did NMF... Read More