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Results for “residual” · papers 1 · wiki 16
Academic Papers · 1arXiv q-fin live 0 · desk corpus 1
arXiv · arXiv · 2023

Online Learning of Order Flow and Market Impact with Bayesian Change-Point Detection Methods

Financial order flow exhibits a remarkable level of persistence, wherein buy (sell) trades are often followed by subsequent buy (sell) trades over extended periods. This persistence can be attributed to the division and gradual execution of large orders. Consequently, distinct order flow regimes might emerge, which can be identified through suitable time series models applied to market data. In this paper, we propose…

Ioanna-Yvonni Tsaknaki, Fabrizio Lillo, Piero Mazzarisi
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Wiki Entities · 16
AI Systems

Residual Network

A ResNet learns a residual f(x) added back to x, so extra layers can default to identity. That skip connection made 100+ layer nets trainable.

CTA

CTA Gross and Net Exposure

Gross is the sum of |positions|; net is the signed residual — in a CTA both move with signal agreement, unlike a 130/30 that is always ~100 net.

Desk Slang

Animal Spirits

Animal spirits is Keynes’s name for the non-model confidence that makes people invest or refuse to — the residual when rates and cash flows are not enough to explain the tape.

Equity

Dividend

A dividend is a cash (or stock) distribution of residual earnings to shareholders, declared by the board and not a contractual coupon.

Equity

Goodwill

Goodwill is the residual purchase-price premium over identifiable net assets in an acquisition — an accounting plug that must be tested, not amortized in US GAAP.

Equity

Market Capitalization

Market capitalization is share price times diluted shares — the market value of residual equity, not the value of the firm.

Equity

Price-to-Book Ratio

Price-to-book is market cap divided by book equity — what the market pays per unit of accounting residual.

Equity

Return on Equity

Return on equity is net income divided by book equity — the accounting yield on residual capital, levered.

Equity

Shareholders' Equity

Shareholders' equity is residual interest in assets after deducting liabilities — book capital, not the market cap.

Financial Crises

Credit Suisse / AT1 2023

Credit Suisse’s March 2023 state-brokered sale to UBS wrote AT1s to zero while common equity kept residual value — a hierarchy shock that repriced the entire AT1 market.

Quant

Alpha

Alpha is return not explained by the risk factors you chose — a residual, not a personality.

Quant

Idiosyncratic Risk

Idiosyncratic risk is residual variance after the factors — name-specific noise that diversification is supposed to shrink.

Quant

Information Ratio

The information ratio is active return over active risk — residual performance per unit of tracking error versus a benchmark.

Strategies

Idiosyncratic Volatility Strategy

Short high residual-vol names and long low residual-vol names — Ang et al.’s IVOL puzzle as a book.

Strategies

MAX Effect / Lottery Stocks

Short last-month’s extreme daily winners (lottery names) and long the boring residual — Bali–Cakici–Whitelaw MAX.

Strategies

Residual Momentum

Rank on residual (idiosyncratic) past returns after taking out market/factor beta — momentum with less factor crash.

Option Blackboard · 0
No Option Blackboard entries matched.
Encyclopedia · 16
Quant · Foundations

Alpha

Alpha is return not explained by the risk factors you chose — a residual, not a personality.

Desk Slang · Foundations

Animal Spirits

Animal spirits is Keynes’s name for the non-model confidence that makes people invest or refuse to — the residual when rates and cash flows are not enough to explain the tape.

Financial Crises · Foundations

Credit Suisse / AT1 2023

Credit Suisse’s March 2023 state-brokered sale to UBS wrote AT1s to zero while common equity kept residual value — a hierarchy shock that repriced the entire AT1 market.

CTA · Foundations

CTA Gross and Net Exposure

Gross is the sum of |positions|; net is the signed residual — in a CTA both move with signal agreement, unlike a 130/30 that is always ~100 net.

Equity · Foundations

Dividend

A dividend is a cash (or stock) distribution of residual earnings to shareholders, declared by the board and not a contractual coupon.

Equity · Foundations

Goodwill

Goodwill is the residual purchase-price premium over identifiable net assets in an acquisition — an accounting plug that must be tested, not amortized in US GAAP.

Quant · Foundations

Idiosyncratic Risk

Idiosyncratic risk is residual variance after the factors — name-specific noise that diversification is supposed to shrink.

Strategies · Foundations

Idiosyncratic Volatility Strategy

Short high residual-vol names and long low residual-vol names — Ang et al.’s IVOL puzzle as a book.

Quant · Foundations

Information Ratio

The information ratio is active return over active risk — residual performance per unit of tracking error versus a benchmark.

Equity · Foundations

Market Capitalization

Market capitalization is share price times diluted shares — the market value of residual equity, not the value of the firm.

Strategies · Foundations

MAX Effect / Lottery Stocks

Short last-month’s extreme daily winners (lottery names) and long the boring residual — Bali–Cakici–Whitelaw MAX.

Equity · Foundations

Price-to-Book Ratio

Price-to-book is market cap divided by book equity — what the market pays per unit of accounting residual.

Strategies · Foundations

Residual Momentum

Rank on residual (idiosyncratic) past returns after taking out market/factor beta — momentum with less factor crash.

AI Systems · Foundations

Residual Network

A ResNet learns a residual f(x) added back to x, so extra layers can default to identity. That skip connection made 100+ layer nets trainable.

Equity · Foundations

Return on Equity

Return on equity is net income divided by book equity — the accounting yield on residual capital, levered.

Equity · Foundations

Shareholders' Equity

Shareholders' equity is residual interest in assets after deducting liabilities — book capital, not the market cap.

Cards · 0
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