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Perhaps you might have to "match" Tick data to the best bid/offer to see which price(s) go through... If say the spread is 35.50/36.50 and the tick at that moment is 36.50 then we can consider this to be "buyer initiated" and of course if the tick is 35.50 then it becomes "seller initiated". That is to say if the price is above the average of the current ...


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I like Quantlib http://quantlib.org/index.shtml http://cran.r-project.org/web/packages/RQuantLib/index.html The QuantLib project is aimed at providing a comprehensive software framework for quantitative finance. QuantLib is a free/open-source library for modeling, trading, and risk management in real-life. QuantLib is written in C++ with a clean object ...


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Bloomberg functions PORT OPT and MARS provide internal factor models for many asset classes + ability to use your own models in optimization.



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