EQ definitions
Market Impact
- ex-ante market impact: the adverse shareprice movement expected to complete your trading in a stock
- measured as execution price movement as a percentage of original shareprice (Snap Price)
- ex-post market impact: how much a shareprice moves due to your trading compared with how much the shareprice would have moved if you didn’t trade
Order Size
- the volume wanted to be bought, with a negative volume when selling
Days Turnover
- Order Size divided by expected daily turnover of the security
Previous Close
- the last traded price of a security on its previous trading day
Last Price
- the last traded price of a security in real-time
Adjusted Last Price
- Last Price adjusted for a higher Bid Price or lower Ask Price
Bid Price
- the highest unfilled price a buyer is currently willing to pay
Ask Price
- the lowest unfilled price a seller is currently willing to receive
Mid-Price
- the average of the Bid Price and Ask Price
Mid-Ask Spread
- Ask Price less Mid-Price expressed in currency units
- sometimes referred to elsewhere as Half-Spread
Spread
- Mid-Ask Spread expressed as a percentage of Mid-Price
- sometimes referred to elsewhere as Half-Spread
Snap Time
- time shareprices are frozen for record-keeping purposes
Snap Price
- price of a security at Snap Time
- suggested prices to use are:
* Mid-Price if market is open
* Adjusted Last Price if market is closed
* Last Price if market is overlapped awaiting market opening
Minimum Tick Size
- smallest shareprice increment available according to prevailing stockmarket rules
Minimum Spread
- Minimum Tick Size expressed as a percentage of Snap Price
Volatility
- a measure of the riskiness of a stock
- typically measured as the annualised standard deviation of shareprice returns
over a specific period
- the specific measurement period is generally a recent historical period, although
volatiliy can be forecast or estimated for future periods
- it is best if returns are calculated as the natural logarithm of the ratio of successive shareprices
Upside Risk
- a measure of the Volatility of a stock above
a certain return, say zero.
- based on standard deviation although can be measured in a variety of ways
depending on usage
Downside Risk
- a measure of the Volatility of a stock below
a certain return, say zero.
- based on standard deviation although can be measured in a variety of ways
depending on usage
Momentum
- shareprice return over a specific period
- Positive Momentum means the shareprice has been moving upwards over the period
- Negative Momentum means the shareprice has been moving downwards over the period
Impact-Free Volume
- the expected volume which can be traded with no market impact
according to the EQ Impact Model
- a proprietary measure of EQ International
Volume Predictability
- the relative ease of predicting the following day's trading volume of a security
- a proprietary measure of EQ International
Volume Persistence
- the likelihood of tomorrow's volume being similar to today's volume
- a proprietary measure of EQ International
Volume Flexibility
- the variability of daily volume of a security
- a proprietary measure of EQ International
EQstockname
- name of stock
- eg BHP Billiton
- Excel standard:
=EQstockname(StockIdentifier,DataIdentifier)
=EQstockname("BHP","AU")
EQstockcode
- stock exchange code, if it exists
- eg BHP for BHP Billiton on ASX
- Excel standard:
=EQstockcode(StockIdentifier,DataIdentifier)
=EQstockcode("BHP","AU")
EQcountry
- country of listing
- eg AU for Australia
- Excel standard:
=EQcountry(StockIdentifier,DataIdentifier)
=EQcountry("BHP","AU")
EQcurrency
- currency of price data
- eg AUD for Australian dollars
- Excel standard:
=EQcurrency(StockIdentifier,DataIdentifier)
=EQcurrency("BHP","AU")
|
|
|
