Report of Financial Market Essay
14 octobre 2013
Alberto de Arriba Meriem Berrada Master of Finance Universidad Carlos III de Madrid
Marcos Lain Lianna Petrosyan Scolar Year 2013-2014
The main aim of this third assignment is to compare between the evolution of spread and depth using two dierent ways to assemble stocks in portfolios.
We have one month of data concerning 40 rms quoted in stock Exchange per minute. For each stock, for each day, we have a detailed amount of messages, detph for ask and bid and the volume traded. AA ADBE AMAT AMZN BHI BRCM CELG COST CTSH DIS EBAY GE GILD GOOG HON INTC KMB MMM PFE PNC
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As this process should be repeated a lot of times, we have coded a macro in VBA, to compute the averages, construct the portfolio and compute the second averages. The user has to select the minut by applying the lter in the column "H", then copy the selection in the sheet "data2". Afterwards, he has to press one of the button "per message" or "per volume" so that to select the criteria with what he wants to construct the portfolio.
By executing the macro, the result is printed in the sheet "result". The only problem is that this macro can't save the nal results, so in order to have all the averages for all the minuts, we have to copy this result in another sheet. Finally, to plot the graphs, we only have to select the columns that interest us.
Constitution of portfolios
Constitution of the portfolio with message
Figure 1 Evolution of the average of messages by stock
Constitution of the portfolio with volume
Figure 2 Evolution of the average of volume by stock
As we have explained before, we have 4 equally weighted portfolios in each section and the results can be appreciated in the following graphs. We