Hot answers tagged

3

For stocks that do not have enough data during a historical period one approach would be to use a proxy (i.e. beta * proxy returns - in case that proxy returns = 0, then your proxy is cash). Depending on the weight of the asset in you portfolio, excluding the asset from the analysis may not be a good idea even if there isn't a perfect proxy for the ...


1

Don't need to re-invent the wheel, I suggest you to isolate the time-consuming part of your algorithm in a c++ dll and to call it directly from Ninja trader or whatever platforms. Regarding the data here three advices: Identify exactly the data you need (ex: if your strategy is based on bar data, you may not need higher/lower prices...) Always keep a ...


1

The rating downgrade/upgrade effect is definitely more extreme during financial crisis, because of several effects (among all, flight-to quality, flight-to-liquidity and news effects itself), as shown by: Arezki, Rabah, Bertrand Candelon, and Amadou Nicolas Racine Sy. "Sovereign rating news and financial markets spillovers: Evidence from the European ...



Only top voted, non community-wiki answers of a minimum length are eligible