# Tag Info

6

I guess what they are trying to say here is that, assume you have two time series $X$ and $Y$ which are exactly the same i.e. $X=Y$, the correlation is : $$\rho_{X,Y}= \frac{Cov(X,Y)}{\sigma_X \sigma_Y}\overset{X=Y}{=}\frac{Cov(X,X)}{\sigma_X \sigma_X}=\frac{\sigma_X^2}{\sigma_X^2}=1$$ Now assume a time series $Z=2 \cdot X$, you have: \sigma_Z=2 ...

3

Firstly, you'll probably be directed to consider Zipline. It's worth a look but I don't think that it's a good starting point, since: Quantopian's developers don't have a financial background and it shows through in the Zipline source code. Zipline is dreadfully slow if you compare it to any commercial platform with backtesting functionality in a compiled ...

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I'd put this down as a comment, but don't have the reputation to do so. There is (or at least used to be) a two part MOOC course over at Coursera by one of the developers of QuantSoftware Toolkit. This is not an endorsement of the course or the software, just a statement of fact (for the record, I did do a part of the course, but found it too simplistic and ...

1

Go talk to Fincad. Here is their page on integrating with scripting languages: http://www.fincad.com/news-events/assets/pdfs/mar07/using-fincad-developer-scripting-languages.pdf Their analytics libraries include bond analytics, and they have a spreadsheet product so you can test methods and results before implementing them. Disclaimer: I work for a ...

1

As far as I know the Newton method is the preferred method for yield calculation. Two ideas to optimize the loop spring to mind: Run the loop in parallel. Use the last yield as starting value. If you have a good guess the number of iterations necessary per optimization is reduced significantly. How to get the most out of the previously calculated yield ...

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If you don't know the meaning of the other matrices, I'd look more at the docs and the definition of the quadratic program: http://cvxopt.org/userguide/coneprog.html#quadratic-programming This is also an example from the book: http://www.ee.ucla.edu/~vandenbe/publications/mlbook.pdf And there is a good deal of explanation there. Finally, if you don't ...

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I currently use a combination of matplotlib and Oanda's FX API. Their API is REST based, and would essentially allow for any type of library to handle calculations. A python wrapper for the Oanda API is on github

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I have also been searching for algo trading in Python. According to my findings: there are many such librairies available, open-source or proprietary, they are all built quite specifically. as a result, when you know how to use one, it is the only one you are able to use. their stage of development is quite heterogeneous and future uncertain, eg what did ...

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