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Quantitative Finance · Glossário

O que é Security master?

Definition 4.4 Research Craft: Predictors, Backtests, Measurement, Portfolios · Capítulo 4 — Universe, Symbology and Corporate Actions

A security master is the firm’s reference table of securities: for each permanent identifier, its issuer, its listing and delisting dates, its external identifiers over time, its corporate actions and its delisting reason and return; every other table refers to securities by permanent identifier only.

The ticker KMKN in the simulated market’s ticker-keyed price file: the first holder falls to 4.23 and is delisted in month 36; a new company lists under the same ticker in month 39 at 39.55. A table keyed on the ticker records a return of +835\% between the two. Data: the chapter’s module, seeded.
Figure 4.3. The ticker KMKN in the simulated market’s ticker-keyed price file: the first holder falls to 4.23 and is delisted in month 36; a new company lists under the same ticker in month 39 at 39.55. A table keyed on the ticker records a return of +835%+835\% between the two. Data: the chapter’s module, seeded.
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