Tick
Time and volume. Usually consolidated bay block of time.
How is data aggregated
In Time boundaries
- Open - First Transaction
- High - Highest price in time period
- Low - Lowest Price during time period
- Close - Last transaction
- Volume - Sum of all shares during time period.
What is a Stock Split and why does it occur?
When the price get’s to high the stocks are split into smaller chunks. This is done due to options and individual stock shares.
What is the probelm with stock splits.
Algorithms may see the stock splits as a decreas in value.
Adjusted Close
A timeline of prices that are adjusted for changes in value.
- Starting with a current point in time,
- Walk backwards in time and divide the price by the number of splits.
Lesson 02-07-05
Dividends
Companies can pay dividends to their owners.
Dividends can impact the value of a stock.
Adjusting for dividends
Start in current time
- Walk backwards until the dividend payment.
- Subtract all previous prices by the dividend payment.
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Survivor Bias
Work on this card,,,
Efficient Markets Hypothesis
Assumptions
- Large number of investors for profit.
- New information arrives randomly
- Prices adjust quickly
- Price reflects all available information
Where does information come from?
- Price / Volume - Public rapid quick intormation.
- Fundamental - Reported quarterly, points to the root value of the company.
- Exogenous - Information about the world that affects the company.
- Company Insiders - Internal information - may not be legal.
What are the 3 Forms of the EMH
- Weak EMH: Future prices cannot be predicted by analyzing historical prices.
- Semi-Strong: Prices adjust rapidly to new public information
- Strong: Prices reflect all information public and private.
Is EMH correct?
There is evidence to refute both Strong adn Semi-Strong.
What is reinforcement learning
Learning a policy Π through intereacting with a environment by taking actions in states and getting rewards.
03-05-02
What goes int he state
- Market Features
- Holdings
