I wanted to see how the stock price and volume relationship is locally. So I tried ranking both the daily return (at day t) and volume (at day t) base on a 30 day rolling window with historical daily ...
Spectrum analysis is often used to analyse waveforms. A common configuration, for example, is to create a graph where X is time, Y is frequency, and the brightness of each position represents ...
I am trying to figure-out an optimal policy for buying a unit when its price follows a mean-reverting price process (Ornstein–Uhlenbeck), when I have a finite time deadline for buying the unit. I ...
I need to generate one-minute bars out of one-day bars to test the performance of an algorithm (speed, memory usage, etc). I don't need them to resemble real data, but they should be consistent with ...
In Yahoo! Finance, we see the following quotes among others: ...
I am trying to evaluate weight of stocks in portfolio for an investor. For this purpose I use SEC13F filings for particular quarters and historical prices from Yahoo. There are stocks in portfolio ...
I am working with the US CRSP universe and have constructed a time series of monthly price-to-earnings back to the early 1960s. I have this for both individual securities as well as for portfolios ...