118
votes
23answers
54k views

What data sources are available online?

What sources of financial and economic data are available online? Which ones are free or cheap? What has your experience been like with these data sources?
61
votes
15answers
7k views

Video lectures and presentations on quantitative finance

What are your favourite video lectures, presentations and talks available online? A few rules: Must be related to quantitative finance. No Economics 101 courses, please. Try to avoid DIY lectures ...
52
votes
15answers
5k views

What concepts are the most dangerous ones in quantitative finance work?

There are a few things that form the common canon of education in (quantitative) finance, yet everybody knows they are not exactly true, useful, well-behaved, or empirically supported. So here is the ...
48
votes
10answers
25k views

How can I go about applying machine learning algorithms to stock markets?

I am not very sure, if this question fits in here. I have recently begun, reading and learning about machine learning. Can someone throw some light onto how to go about it or rather can anyone share ...
44
votes
11answers
7k views

Innovative ways of visualizing financial data

Finance is drowning in a deluge of data. Humans are not very good at comprehending large amounts of data. One way out may be visualization. Traditional ways of visualizing patterns, complexities and ...
37
votes
6answers
9k views

Efficiently storing real-time intraday data in an application agnostic way

What would be the best approach to handle real-time intraday data storage? For personal research I've always imported from flat files only into memory (historical EOD), so I don't have much ...
34
votes
11answers
12k views

Switching from C++ to R - limitations/applications

I've only recently begun exploring and learning R (especially since Dirk recommended RStudio and a lot of people in here speak highly of R). I'm rather C(++) oriented, so it got me thinking - what are ...
32
votes
8answers
9k views

How useful is the genetic algorithm for financial market forecasting?

There is a large body of literature on the "success" of the application of evolutionary algorithms in general, and the genetic algorithm in particular, to the financial markets. However, I feel ...
32
votes
5answers
2k views

Lévy alpha-stable distribution and modelling of stock prices.

Since Mandelbrot, Fama and others have performed seminal work on the topic, it has been suspected that stock price fluctuations can be more appropriately modeled using Lévy alpha-stable distrbutions ...
31
votes
7answers
2k views

Paradoxes in quantitative finance

Everyone seems to agree that the option prices predicted by the Black-Merton-Scholes model are inconsistent with what is observed in reality. Still, many people rely on the model by using "the wrong ...
29
votes
12answers
27k views

Why is C++ still a very popular language in quantitative finance? [closed]

I had to ask this question after reading the answers to What programming languages are most commonly used in quantitative finance? I understand that C++ programs can be optimized pretty well and are ...
29
votes
5answers
2k views

What are the key risks to the quantitative strategy development process?

Prompted in part by this question on data snooping, I would be interested to know: What are the key risks that should be considered when developing a quantitative strategy based on: (a) historical ...
29
votes
6answers
4k views

Which approach dominates? Mathematical modeling or data mining?

According to my current understanding, there is a clear difference between data mining and mathematical modeling. Data mining methods treat systems (e.g., financial markets) as a "black box". The ...
27
votes
6answers
3k views

What are the popular methodologies to minimize data snooping?

Are there common procedures prior or posterior backtesting to ensure that a quantitative trading strategy has real predictive power and is not just one of the thing that has worked in the past by pure ...
27
votes
7answers
5k views

What broker/feed/APIsetup allows for recording the most accurate data (cheaply)?

I'm currently using IB's Java API and getting feeds through them. However the real-time feed is updated only every 250ms and the historical feed only every second. I'm primarily looking for ES data ...
27
votes
5answers
3k views

How do I graphically represent the evolution of a covariance matrix over time?

I am working with a set of covariance matrices evaluated at various points in time over some history. Each covariance matrix is $N\times N$ for $N$ financial time-series over $T$ periods. I would ...
27
votes
6answers
1k views

Are there any new Option pricing models?

Back in the mid 90's I used the Black-Scholes Model and the Cox-Ross-Rubenstein (Binomial) Model's to price Options. That was nearly 15 years ago and I was wondering if there are any new models being ...
26
votes
3answers
2k views

What papers have progressed the field of quantitative finance in recent years (post 2000)?

My question is pretty simple: what papers do you feel are foundational to quantitative finance? I'm compiling a personal reading list already, drawn from Wilmott forums, papers referenced in ...
25
votes
9answers
4k views

How 'High' is the frequency in HFT?

How many trades per second are we talking about? What kind of strategies are used in this time frame? Can the small guy play the game?
25
votes
6answers
7k views

How are correlation and cointegration related?

In what ways (and under what circumstances) are correlation and cointegration related, if at all? One difference is that one usually thinks of correlation in terms of returns and cointegration in ...
25
votes
3answers
7k views

How can we reverse engineer a market-making algorithm (HFT)?

Consider a market participant $A$ who is mechanically following an automated liquidity providing algorithm (HFT) in a number of large cap stocks on a specific exchange. Assume furthermore that we are ...
25
votes
2answers
4k views

How useful is Markov chain Monte Carlo for quantitative finance?

Naively, it seems that Bayesian modeling, structural models particularly, would be quite useful in finance because of their ability to incorporate market idiosyncrasies and produce accurate ...
24
votes
8answers
2k views

Option pricing before Black-Scholes

According to the Wikipedia article, Contracts similar to options are believed to have been used since ancient times. In London, puts and "refusals" (calls) first became well-known trading ...
24
votes
11answers
3k views

Separating the wheat from the chaff: What quant methods separate skillful managers from lucky ones?

Fund managers are acting in a highly stochastic environment. What methods do you know to systematically separate skillful fund managers from those that were just lucky? Every idea, reference, paper ...
23
votes
5answers
2k views

Random matrix theory (RMT) in finance

The new kid on the block in finance seems to be random matrix theory. Although RMT as a theory is not so new (about 50 years) and was first used in quantum mechanics it being used in finance is a ...
23
votes
9answers
2k views

Has high frequency trading (HFT) been a net benefit or cost to society?

Various studies have demonstrated the very large and growing influence of high frequency trading (HFT) on the markets. HFT firms are clearly making a great deal of money from somewhere, and it stands ...
23
votes
2answers
4k views

What is the difference between the methods for calculating VaR?

There are three different commonly used Value at Risk (VaR) methods: Historical method Variance-Covariance Method Monte Carlo What is the difference between these approaches, and under what ...
22
votes
9answers
8k views

Why does the minimum variance portfolio provide good returns?

I've been a researching minimum variance portfolios (from this link) and find that by building MVPs adding constraints on portfolio weights and a few other tweaks to the methods outlined I get ...
22
votes
1answer
2k views

What is the role of stochastic calculus in day-to-day trading?

I work with practical, day-to-day trading: just making money. One of my small clients recently hired a smart, new MFE. We discussed potential trading strategies for a long time. Finally, he expressed ...
22
votes
1answer
1k views

Is my trading strategy search methodology sound?

I'm building an algorithmic trading business. I'd be grateful for informed comments and opinions on my trading strategy search methodology. Goal Develop (profitable!) fully automated intra-day ...
21
votes
8answers
4k views

Recommendations for books to understand the math in quantitative finance papers?

Can anyone recommend books that explain the math used in quantitative finance academic papers?
21
votes
5answers
5k views

What is a good broker for HFT?

Currently I trade trough IB. I run my HFT strategies (100 roundtrips per hour) but I think that latency is killing me and my profits are shrinking. I need the fastest possible brokers out there which ...
20
votes
8answers
8k views

How should I store tick data?

How should I store tick data? For example, if I have an IB trading account, how should I download and store the tick data directly to my computer? Which software should I use?
20
votes
11answers
5k views

Is F# used in trading systems?

Similar to this other question about Scala, I'm interested in knowing whether F# is used to any measurable degree in financial circles. Have there been any successful shops using it, any research on ...
20
votes
8answers
8k views

Digital Signal Processing in Trading

There is a concept of trading or observing the market with signal processing originally created by John Ehler. He wrote three books about it. Cybernetic Analysis for Stocks and Futures Rocket Science ...
20
votes
3answers
2k views

How do you mix quantitative asset allocation with qualitative views?

Usually in asset allocation you have a quantitative approach (which can be from example mean-variance), but you (or you and your firm) also have a more qualitative approach given market-conditions, ...
20
votes
6answers
4k views

Why is an inverted yield curve a problem?

Immediately preceding the worst of the financial crisis, my professors all pointed out to me that the yield curve had inverted -- short-term yields were more risky than 20-year or 30-year Treasury ...
20
votes
2answers
2k views

How much data is needed to validate a short-horizon trading strategy?

Suppose one has an idea for a short-horizon trading strategy, which we will define as having an average holding period of under 1 week and a required latency between signal calculation and execution ...
20
votes
4answers
4k views

Why do high frequency traders use rapidly cancelled limit orders?

In reading about the various practices and strategies of high frequency traders, one of the most mysterious to me is "fleeting orders," or orders that are cancelled almost immediately after they are ...
19
votes
7answers
3k views

How good is managed code for algo trading?

I am currently working in a firm that does algo trading. We do all of our stuff in Java. And we do make money out of it. We have debates all the time whether we would have made more money with native ...
19
votes
8answers
3k views

Excellent information source on advanced machine learning / data mining based trading?

I did check the related posts, like this one here. However, given if one already has knowledge in finance, machine learning and statistics, and wants to know something more advanced on machine ...
19
votes
6answers
5k views

What type of investor is willing to be short gamma?

As far as I understand, most investors are willing to buy options (puts and calls) in order to limit their exposure to the market in case it moves against them. This is due to the fact that they are ...
19
votes
7answers
2k views

How to design a custom equity backtester?

I was thinking about writing my own backtester and I realize I have to make some assumptions. So I was hoping I could post what I am planning on doing and hopefully some of you can give me some ideas ...
19
votes
5answers
2k views

Trading a synthetic replication of the VIX index

One cannot directly buy and sell the VIX index. Theoretically, however, one could approximate the index by purchasing an at-the-money straddle on the SP500, then delta-hedging the straddle. Does ...
19
votes
1answer
1k views

How do different methods and techniques used in pairs trading compare?

I was going through the paper of Avellaneda (2008) on stat arb and I found it interesting that he uses asset returns vs. their respective ETFs to compute the s-score. I am wondering if anyone has ...
19
votes
0answers
528 views

How to show that this weak scheme is a cubature scheme?

Weak schemes, such as Ninomiya-Victoir or Ninomiya-Ninomiya, are typically used for discretization of stochastic volatility models such as the Heston Model. Can anyone familiar with Cubature on ...
18
votes
11answers
5k views

How fast is QuickFix ?

In my firm we are beginning a new OMS (Order Management System) project and there is a debate whether we use Quickfix or we go for a professional fix engine? Because there is a common doubt that ...
18
votes
8answers
6k views

Any known bugs with Yahoo Finance adjusted close data ?

Yahoo Finance allows you to download tables of their daily historical stock price data. The data includes an adjusted closing price that I thought I might use to calculate daily log returns as a ...
18
votes
3answers
4k views

What is a stationary process?

How do you explain what a stationary process is? In the first place, what is meant by process, and then what does the process have to be like so it can be called stationary?
18
votes
6answers
2k views

Most successful investors using academic-based framework?

What are the most famous/best performing absolute-return funds employing approaches based on mainstream finance theory (i.e., theory presented in Journal of Finance, AER, Econometrica, using typically ...

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