Trading Algorithms Quiz

Trading Algorithms Quiz Answer. In this post you will get Quiz Answer Of Trading Algorithms

 

Trading Algorithms Quiz

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Quiz 1

 

1.
Question 1
What are the various reasons that weaken the argument of efficient markets ? (Select all options that apply)

1 point

  • Transaction costs
  • Restrictions of short selling
  • Behavioral issues

2.
Question 2
What are the different types of Market efficiency? (Select all options that apply)

1 point

  • Semi – Strong form
  • Very Strong form
  • Strong form
  • Weak form

3.
Question 3
Which form of market efficiency says that money cannot be made by technical analysis?

1 point

  • Semi – Strong form
  • Strong form
  • Weak form

4.
Question 4
Which form of market efficiency says that money cannot be made by fundamental analysis?

1 point

  • Weak form
  • Semi – Strong form
  • Strong form

5.
Question 5
Which form of market efficiency means passive investing?

1 point

  • Semi – Strong form
  • Strong form
  • Weak form

6.
Question 6
Asset prices fully reflect all the public and private information available. Which form of efficiency is this?

1 point

  • Strong form
  • Weak form
  • Semi – Strong form

7.
Question 7
Asset prices fully reflect all publicly available information. Which form of efficiency is this?

1 point

  • Strong form
  • Semi – Strong form
  • Weak form

8.
Question 8
Asset prices reflect only historical stock prices. Which form of efficiency is this?

1 point

  • Weak form
  • Semi – Strong form
  • Strong form

9.
Question 9
What does market efficiency mean?

1 point

  • Market efficicency means the decrease in transaction costs because of the decreased friction
  • Market efficiency means how quickly information gets incorporated into stock prices.

10.
Question 10
If securities markets are efficient, what is the NPV of any security, regardless of its risk?

1 point

  • Negative
  • Zero
  • Positive

 

 

Quiz 2

1.
Question 1
The abstract of Paul Zarowin’s paper ” Size, Seasonality, and Stock Market Overreaction” was published in Volume 25, No. 1, March 1990 issue of Journal of Financial and Quantitative Analysis is given below.

Abstract

Recent research finds that the prior period’s worst stock return performers (losers) outperform the prior period’s best return performers (winners) in the subsequent period. This potential violation of the efficient markets hypothesis is labeled the “overreaction” phenomenon. This paper shows that the tendency for losers to outperform winners is not due to investor overreaction, but to the tendency for losers to be smaller-sized firms than winners. When losers are compared to winners of equal size, there is little evidence of any return discrepancy, and in periods when winners are smaller than losers, winners outperform losers.

Why is this a violation of market efficiency?

1 point

This is a violation of market efficiency because you are able to predict the stock price

Overreaction and market efficiceny cannot exist together

Worst stocks can never outperform the best stocks

2.
Question 2
The abstract of Paul Zarowin’s paper ” Size, Seasonality, and Stock Market Overreaction” was published in Volume 25, No. 1, March 1990 issue of Journal of Financial and Quantitative Analysis is given below.

Based on this paper abstract, a trading strategy that can earn profits is

1 point

If the loser is smaller compared to winner then short the loser and long the winner

If the loser is smaller compared to winner then long the loser and short the winner

3.
Question 3
The abstract of Paul Zarowin’s paper ” Size, Seasonality, and Stock Market Overreaction” was published in Volume 25, No. 1, March 1990 issue of Journal of Financial and Quantitative Analysis is given below.

 

Based on this paper abstract, a trading strategy that can earn profits is

1 point

If the loser is same size as winner then short the winner and long the loser

If the loser is same size as winner then long the winner and short the loser

4.
Question 4
The abstract of Paul Zarowin’s paper ” Size, Seasonality, and Stock Market Overreaction” was published in Volume 25, No. 1, March 1990 issue of Journal of Financial and Quantitative Analysis is given below.

 

Based on this paper abstract, a trading strategy that can earn profits is

1 point

If the loser is bigger than winner then short the loser and long the winner

If the loser is bigger than winner then long the loser and short the winner

5.
Question 5
Gerben Driespronga, Ben Jacobsenb, and Benjamin Maatc published the paper titled “Striking oil: Another puzzle?” in issue 2, Volume 89 of Journal of Financial Economics. The abstract of the paper is given below:

Changes in oil prices predict stock market returns worldwide. We find significant predictability in both developed and emerging markets. These results cannot be explained by time-varying risk premia as oil price changes also significantly predict negative excess returns. Investors seem to underreact to information in the price of oil. A rise in oil prices drastically lowers future stock returns. Consistent with the hypothesis of a delayed reaction by investors, the relation between monthly stock returns and lagged monthly oil price changes strengthens once we introduce lags of several trading days between monthly stock returns and lagged monthly oil price changes.

Based on the information given in the abstract, if the price of the oil decreases this month, what will happen to the stock market return next month?

1 point

The stock market return decreases

The stock market return increases

6.
Question 6
Gerben Driespronga, Ben Jacobsenb, and Benjamin Maatc published the paper titled “Striking oil: Another puzzle?” in issue 2, Volume 89 of Journal of Financial Economics. The abstract of the paper is given below:

Based on the information given in the abstract, if the price of the oil decreases this month, what trading strategy based on market returns will generate profits?

1 point

Long the market index

Short the market index

7.
Question 7
Gerben Driespronga, Ben Jacobsenb, and Benjamin Maatc published the paper titled “Striking oil: Another puzzle?” in issue 2, Volume 89 of Journal of Financial Economics. The abstract of the paper is given below:

Based on the information given in the abstract, if the price of the oil increases this month, what will happen to the stock market return next month?

1 point

The stock market return decreases

The stock market return increases

8.
Question 8
Gerben Driespronga, Ben Jacobsenb, and Benjamin Maatc published the paper titled “Striking oil: Another puzzle?” in issue 2, Volume 89 of Journal of Financial Economics. The abstract of the paper is given below:

Based on the information given in the abstract, if the price of the oil increases this month, what trading strategy based on market returns will generate profits?

1 point

Long the market index

Short the market index

9.
Question 9
Which of the following is not a section in an academic paper?

1 point

Hypothesis

Abstract

Results

Executive summary

10.
Question 10
What is the process of analyzing data from different perspectives and summarizing it into useful information – information that can be used to create trading strategies?

1 point

Data Mining

Stress Testing

 

 

Week- 3

Quiz 3

 

1.
Question 1
The following data is for MRF Ltd. stock (All values in Million Rupees)

2013 2014 2015
Net Income 7764.4
9073.4
22893
Total Assets 82851.4
98248.6
128424.3
Calculate the ROA for the year 2015.

1 point

0.18

0.23

0.30

0.20

2.
Question 2
Based on the value of ROA in question 1, what value will you assign the signal?

1 point

0

1

3.
Question 3
The following data is for MRF Ltd. stock (All values in Million Rupees)

2013 2014 2015
Net Income 7764.4 9073.4 22893
Total Assets 82851.4 98248.6 128424.3
Calculate the Change in ROA for 2015.

1 point

0.12

0.32

0.22

0.42

4.
Question 4
Based on the value of change in ROA in question 3, what value will you assign to the signal ?

1 point

0

1

5.
Question 5
The following data is for MRF Ltd. stock (All values in Million Rupees)

2013 2014 2015
Cash flow from operations 14763.5
16868.4
34077.1
Total Assets 82851.4 98248.6 128424.3
Calculate the CFO for the year 2015.

1 point

0.27

0.30

0.35

0.20

6.
Question 6
Based on the value of CFO in question 3, what value will you assign to the signal ?

1 point

0

1

7.
Question 7
The following data is for MRF Ltd. stock (All values in Million Rupees)

2013 2014 2015
Net Income 7764.4 9073.4 22893
Cash flow from operations 14763.5 16868.4 34077.1
Total Assets 82851.4 98248.6 128424.3

Calculate the value of accruals for the year 2015.

1 point

0.25

0.55

0.45

0.35

8.
Question 8
Based on the value of Accrual in question 3, what value will you assign to the signal ?

1 point

0

1

9.
Question 9
The following data is for MRF Ltd. stock (All values in Million Rupees)

2013 2014 2015
Long term debt 9524.6
11987.5
14850.8
Total Assets 82851.4 98248.6 128424.3
Calculate the change in leverage for 2015.

1 point

-0.0014

0.0014

0.05

-0.05

10.
Question 10
Based on the value of change in leverage in question 9, what value will you assign to the signal ?

1 point

0

1

11.
Question 11
The following data is for MRF Ltd. stock (All values in Million Rupees)

2013 2014 2015
Net Sales 134531.2
146493.3
225213.5
Total Assets 82851.4 98248.6 128424.3
Calculate the change in turnover for 2015.

1 point

0.27

0.32

0.17

0.37

12.
Question 12
Based on the value of change in turnover in question 11, what value will you assign to the signal ?

1 point

0

1

13.
Question 13
The following data is for MRF Ltd. stock (All values in Million Rupees)

2013 2014 2015
Net Sales 134531.2 146493.3 225213.5
Cost of goods sold
95187 102488.51
142075.89
Calculate the change in margin for 2015.

1 point

0.0687

0.0432

0.0953

0.1034

14.
Question 14
Based on the value of change in margin in question 13, what value will you assign to the signal ?

1 point

0

1

15.
Question 15
The following data is for MRF Ltd. stock

2014 2015
Current Ratio 2.04 2.03
Based on this information, what is the change in liquidity?

1 point

-0.01

2.025

16.
Question 16
Based on the change in liquidity calculated in question 15, what value will you assign to the change in liquidity signal ?

1 point

0

1

17.
Question 17
The following data is for MRF Ltd. stock

 

2013 2014 2015
Shares Outstanding 4241143
4241143
4241143
Based on this information, what value will you assign to the change in shares signal ?

1 point

0

1

18.
Question 18
What is the F-Score for MRF Ltd?

1 point

6

7

8

9

 

 

 

Week- 4

Quiz 4

 

Calculate the expected earnings for 2017 Q 1

1 point

132.63

149. 69

145.23

137.94

2.
Question 2
The quarterly EPS details for a firm are as follows:

Year Quarter EPS
2013 Q 1 120
2013 Q 2 127
2013 Q 3 121
2013 Q 4 135
2014 Q 1 135
2014 Q 2 131
2014 Q 3 139
2014 Q 4 137
2015 Q 1 140
2015 Q 2 143
2015 Q 3 139
2015 Q 4 145
2016 Q 1 143
2016 Q 2 148
2016 Q 3 151
2016 Q 4 153
The actual EPS for 2017 Q 1 is 155. What are the unexpected earnings for 2017 Q 1?

1 point

25

23

12

17

3.
Question 3
The quarterly EPS details for a firm are as follows:

Year Quarter EPS
2013 Q 1 120
2013 Q 2 127
2013 Q 3 121
2013 Q 4 135
2014 Q 1 135
2014 Q 2 131
2014 Q 3 139
2014 Q 4 137
2015 Q 1 140
2015 Q 2 143
2015 Q 3 139
2015 Q 4 145
2016 Q 1 143
2016 Q 2 148
2016 Q 3 151
2016 Q 4 153
The actual EPS for 2017 Q 1 is 155. What is the SUE for 2017 Q 1?

1 point

2.42

1.24

2.12

1.76

4.
Question 4
The 2017 Q 1 analyst forecasts for the same firm are as follows:

Analyst EPS forecast
Tom 151
Adarsh 149
Sai 160
Ricky 159
Allan 145
Sasha 150
What are the expected earnings for 2017 Q 1?

1 point

159.66

152.33

145.25

139.64

5.
Question 5
The 2017 Q 1 analyst forecasts for the same firm are as follows:

Analyst EPS forecast
Tom 151
Adarsh 149
Sai 160
Ricky 159
Allan 145
Sasha 150
The actual EPS for 2017 Q 1 are 155. What are the unexpected earnings for 2017 Q 1?

1 point

1.55

2.66

4.66

3.33

6.
Question 6
The 2017 Q 1 analyst forecasts for the same firm are as follows:

Analyst EPS forecast
Tom 151
Adarsh 149
Sai 160
Ricky 159
Allan 145
Sasha 150
The actual EPS for 2017 Q 1 are 155. What is the SUE for 2017 Q 1?

1 point

0.45

0.65

0.95

0.25

7.
Question 7
You modify the strategy and divide the firms into quintiles based on ascending order of SUE. What should you do with the lowest quintile and the highest quintile?

1 point

Short the highest qunitile

long the lowest quintile

Short the lowest qunitile and long the highest quintile

Short the highest qunitile and long the lowest quintile

8.
Question 8
What is the problem with long only Piotroski startegy?

1 point

Short selling is not allowed

Exposure to Market risk

9.
Question 9
The stock price of company XYZ increases from Rs. 100 to Rs. 120 and that of company ABC decreases from Rs. 195 to Rs. 150. What will a person suffering from Disposition effect do?

1 point

Sell XYZ and Hold ABC

Sell XYZ and long ABC

Sell ABC and Hold XYZ

10.
Question 10
What should be the holding period in case of PEAD?

1 point

Around 2 months

One year

Six months

1 week

 

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