93
votes
19answers
26k 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?
15
votes
5answers
2k 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?
17
votes
2answers
1k 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 ...
30
votes
5answers
5k 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 ...
17
votes
8answers
6k 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?
21
votes
9answers
3k 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?
7
votes
8answers
1k views
What are some good technical and non-technical books for a math lover to get in to quantitative analysis? [closed]
To get the ball rolling... I will answer this question this evening
For people aware & unaware I think it would be a great way to introduce the group, resources for fundamental knowledge & ...
12
votes
5answers
3k views
What is the intuition behind cointegration?
What is the intuition behind cointegration? What does the Dickey-Fuller test do to test for it? Ideally, a non-technical explanation would be appreciated.
Say you need to explain it to an investor ...
9
votes
6answers
862 views
How to generate a random price series with a specified range and correlation with an actual price?
I want to generate a mock price series. I want it to be within a certain range and have a defined correlation with the original price series.
If I choose, say, oil, I want as many time series which ...
33
votes
10answers
13k 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 ...
26
votes
5answers
1k 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 ...
8
votes
3answers
886 views
How to generate synthetic FX data for backtesting?
I want to generate synthetic forex data for the purpose of backtesting my trading algorithms. I have some rough ideas in mind on how to do this:
Start with a curve representing a trend, then randomly ...
49
votes
15answers
6k 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 ...
23
votes
3answers
1k 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 ...
48
votes
15answers
4k 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 ...
26
votes
6answers
4k 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 ...
22
votes
6answers
5k 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 ...
23
votes
5answers
2k 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 ...
8
votes
3answers
3k views
How should I calculate the implied volatility of an American option in a real-time production environment?
There are many models available for calculating the implied volatility of an American option. The most popular method, employed by OptionMetrics and others, is probably the Cox-Ross-Rubinstein model. ...
10
votes
7answers
947 views
Looking for a recommendation for a real life volatily trading book.
Recently I started working in an algotrading company as a programmer.
After I studied that subject a little in the university and read a book or two in that field I gained a little knowledge in that ...
9
votes
2answers
2k views
How to derive the implied probability distribution from B-S volatilities?
The general problem I have is visualization of the implied distribution of returns of a currency pair.
I usually use QQplots for historical returns, so for example versus the normal distribution:
...
9
votes
2answers
1k views
How do I calculate the skewness of a portfolio of assets?
I need to calculate the skewness of a portfolio consisting of 6 assets. I know that for that I would need the co-skewness matrix between the assets. Does anybody know the formula for co-skewness or ...
6
votes
4answers
6k views
Where to download list of all common stocks traded on NYSE, NASDAQ and AMEX?
I have a very basic data question: how to get a list of all common stocks traded on NYSE, NASDAQ and AMEX? I would need to be able to get the approximate list of common stocks as is available in ...
12
votes
6answers
679 views
Setting the r in put-call parity?
Put-call parity is given by $C + Ke^{-r(T-t)} = P + S$.
The variables $C$, $P$ and $S$ are directly observable in the market place. $T-t$ follows by the contract specification.
The variable $r$ is ...
7
votes
1answer
769 views
Skewness and Kurtosis under aggregation
Returns possess non-zero skewness and excess kurtosis. If these assets are temporally aggregated both will disappear due to the law of large numbers. To be exact, if we assume IID returns skewness ...
9
votes
3answers
2k views
How to calculate future distribution of price using volatility?
I want to create a lognormal distribution of future stock prices. Using a monte carlo simulation I came up with the standard deviation as being $\sqrt{(days/252)}$ $*volatility*mean*$ $\log(mean)$. ...
5
votes
2answers
1k views
How to annualize intra-day volatility on minute data?
I am trying to convert minute based volatility into annualized volatility in such a way that both are comparable. $Vol_{min} * \sqrt(t)$ does not seam to get them into the same scale if I annualize ...
4
votes
2answers
506 views
Daily returns using adjusted close
I want to chart the daily returns of a stock, and I'm using Yahoo finance data to download historic data. I was told to use Adjusted Close, but there seems to be an issue with this.
For ANTO.L, you ...
14
votes
7answers
4k views
How are cryptography and speech recognition technology applied to forecasting financial markets?
One of the answers to my previous question regarding the strategy of Renaissance Technologies, there was a reference to The Quants: How a New Breed of Math Whizzes Conquered Wall Street and Nearly ...
22
votes
10answers
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 ...
19
votes
3answers
1k 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, ...
21
votes
9answers
6k 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 ...
14
votes
5answers
2k views
Time-series similarity measures
Suppose I have two time series $X$ and $Y$ of stock prices. How do I measure the "similarity" of $X$ and $Y$?
(I'm being deliberately vague as I don't have a particular application, and I'm curious ...
13
votes
7answers
5k views
Switching from Matlab to Python for Quant Trading and Research
Has anybody else out there made this switch? I'm considering it right now. What were the negatives and positives of the switch?
21
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 ...
17
votes
0answers
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 ...
11
votes
2answers
2k views
How do I find the most diversified portfolio, or least correlated subset, of stocks?
I have a trading system that chooses top 10 stocks in Nasdaq 100 ranked on relative strength and some other factors. However, I'd like to take positions in only 5 of these 10 stocks based on how ...
18
votes
4answers
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 ...
8
votes
7answers
755 views
Has spectrum analysis ever been used successfully to analyse historical price data?
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 ...
14
votes
4answers
1k views
How are risk management practices applied to ML/AI-based automated trading systems
A potential issue with automated trading systems, that are based on Machine Learning (ML) and/or Artificial Intelligence (AI), is the difficulty of assessing the risk of a trade. An ML/AI algorithm ...
13
votes
4answers
4k views
Usage of NoSQL storage in Finance
I am wondering if anyone has used NoSQL (mongodb, cassandra, etc.) to store and analyze data.
I tried searching the web but was not able to see if the financial firms had gotten in to using nosql ...
8
votes
3answers
1k views
Earnings and valuation data sources online
Are there any free/cheap sources for historical data on company earnings and valuations? I can get historical price data from Google and Yahoo, and it looks like I can get about five years of ...
23
votes
4answers
949 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 ...
11
votes
4answers
2k views
Volatility pumping in practice
The fascinating thing about volatility pumping (or optimal growth portfolio, see e.g. here) is that here volatility is not the same as risk, rather it represents opportunity. Additionally it is a ...
10
votes
4answers
813 views
What books should any quantitative portfolio manager or risk manager have as reference? [closed]
I'm interested to know what are the critical reference texts you rely on for portfolio or risk management? I mean those texts that you come back to because they are chock full of insight and know-how. ...
17
votes
7answers
1k 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 ...
16
votes
2answers
2k views
Do you have historical tick data you want to donate?
Do you have historical market/pricing ticket data that you would like to donate to the Open Source Trader project (OST)??
Please: upload your files! Once we gather some data, we'll do our best to ...
14
votes
5answers
2k views
What tools exist for order book analysis and visualization?
What tools exist for order book analysis and visualization? In particular, if one wanted to examine a limit order book and understand how it changes throughout the day where would you turn for ...
9
votes
1answer
437 views
One dimensional analog of cleansing a correlation matrix via random matrix theory
The general idea of cleansing a correlation matrix via random matrix theory is to compare its eigenvalues to that of a random one to see which parts of it are beyond normal randomness. These are then ...
16
votes
3answers
3k 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?
