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Weak Stationarity for Neural Network Input?

I am taking a course that detailed that input data into neural networks should be at least weakly predictive and weakly stationary (stable mean). Does this principle apply to other ML models like tree-...
Dylan McClish's user avatar
0 votes
0 answers
62 views

Automatic detection of technical patterns such as Head and Shoulder, Flag, Wedge or Double Top

To my understanding, Ta-Lib does not detect technical patterns such as Head and Shoulder, Flag, Wedge or Double Top. Is there any automatic way to detect such technical patterns?
Allan Xu's user avatar
  • 109
1 vote
0 answers
198 views

Calibration of $\rho$ in the heston model

When calibrating the Heston model, the gradient of the price of the call/cost function wrt $\rho$ (correlation between $S$ and $V$), is a lot less than the other parameters like $v_0$ and $\bar{v}$. ...
THATS MY QUANT MY QUANTITATIVE's user avatar
0 votes
1 answer
174 views

Calibrating the Heston with the Levenberg-Marquardt algorithm

I am trying to implement the Levenberg-Marquardt algorithm similarly to Cui et al. Full and fast calibration of the Heston stochastic volatility model, 2017 here (although using a different method to ...
THATS MY QUANT MY QUANTITATIVE's user avatar
0 votes
0 answers
58 views

Profit optimal algorithm for market clearing

There is a well known offline profit optimal algorithm for market clearing (matching buy-bids with sell-bids, visit for more details) which is based on bipartite weighted matching. This algorithm ...
Grigori's user avatar
0 votes
0 answers
79 views

Pairs trading intercept [duplicate]

For a pairs trade, when calculating the zscore should I include the intercept point in the calculation: ...
Tariq Hamid's user avatar
2 votes
1 answer
521 views

Applicability of AAD(Adjoint automatic differentiation) to an indifferentiable function at some point

Applicability of AAD(Adjoint automatic differentiation) to an indifferentiable function at some point. I recently learned about Adjoint automatic differentiation(AAD) while studying Monte Carlo ...
junhui's user avatar
  • 23
1 vote
1 answer
308 views

What does it mean to "compute" an Itô integral?

I'm reading Shreve's Stochastic Calculus for Finance II. On page 191, Exercise 4.6, we are given the problem Exercise 4.6. Let $S(t)=S(0)\exp\Big \{\sigma W(t)+(\alpha-\frac{1}{2}\sigma^2)t\Big\}$ be ...
user54908's user avatar
  • 437
1 vote
1 answer
222 views

How to Manage Large Orders

Forgive me for any violations of posting rules, I’m new to this forum. I’ve written an algorithm that checks the order book for the price point that would completely fill my entire available balance, ...
Kyle Dixon's user avatar
1 vote
2 answers
296 views

Spectral clustering in finance

What are some examples of applying spectral clustering to financial times series data or other areas of finance? Why spectral clustering was used for each application rather than other types of ...
develarist's user avatar
  • 3,030
0 votes
1 answer
252 views

The quality of an trading algorithm

Good day. I am currently writing a term paper on the creation of trading algorithms in the foreign exchange market (by an algorithm I mean the one that follows the alpha model, for example, signals ...
RoyalGoose's user avatar
0 votes
0 answers
98 views

Configuration of control parameters tol and delta in the rsolnp package

I am working with the rugarch package which includes a solver.control argument. I am using the solnp solver. I can pass values for tol and delta. In the rsolnp the authors suggest that the control ...
DripRat's user avatar
2 votes
1 answer
4k views

What is the formula to calculate Implied Volatility Percentile [closed]

I googled and I am unable to find any formular . Can some one give me the formula to calculate IVP , based on sets of IV's given. Thanks.
Gracie williams's user avatar
1 vote
2 answers
388 views

Implied volatility is returning infinity

I am trying to calculate implied volatility using javascript , I have following code ...
Gracie williams's user avatar
-1 votes
1 answer
40 views

Custom normalisation from 0 to 20

I want to normalise from 0 to 20 For example right now I do normalisation with dynamic outlier exclusion , using median. So it works fine for some values like below ...
Gracie williams's user avatar
2 votes
0 answers
179 views

How to backtest algorithms in parallel?

I want to backtest a large number of algorithms on the same dataset, one stock ticker. The algorithms are actually variations of one algorithm with various combinations of parameters, amounting to ...
Gascoyne's user avatar
  • 527
4 votes
1 answer
72 views

What are known algorithms to detect potential wrongdoings in funding distribution?

Imagine an entity with a money fund. This entity defines some budgets which it annually distributes to different applicants. Example data set: ...
J. Doe's user avatar
  • 141
1 vote
0 answers
33 views

Has there been studies done on changes in model performance post-crisis?

My question is, has there been done any studies on whether the efficiency and accuracy of pricing and risk-management of derivatives using different models and algorithms has changed after the ...
Bata's user avatar
  • 11
1 vote
0 answers
70 views

CFD broker spread as indicator for stock market

Retail trader on stock market has very limited ability to accomodate huge amount of information, it leds me to idea of using behavioir of more informed players - CFD brokers - spread of their CFD ...
Qbik's user avatar
  • 1,018
4 votes
1 answer
163 views

Neural Networks for Estimation of Unmarked Private Asset Returns from Market Data

Let's assume it is March and my illiquid private assets portfolio is only 50% marked for 12/31, but I want to get the most accurate estimate of my final return for the quarter ended on 12/31. What is ...
Alexis Olson's user avatar
2 votes
1 answer
140 views

What are common risk controls banks use when utilizing Trading Algorithims

Trying to understand what risk controls are used for algorithms that are classified as a) execution algos such as twap, vwap b) market making algos such as auto pricing, inventory management, auto ...
Alec's user avatar
  • 21
3 votes
1 answer
1k views

What's the rationale behind having several orders on each each side for market makers

I've been browsing market making codebases and I've noticed most of them tend to create multiple orders on each side. Originally I thought having orders on each side is an advanced approach but here'...
SiberianGuy's user avatar
11 votes
3 answers
16k views

Programmatically detect RSI divergence

How can I programmatically detect bullish and bearish RSI divergences? A bullish divergence occurs when the underlying security makes a lower low and RSI forms a higher low. RSI does not confirm the ...
SpiralDev's user avatar
  • 219
1 vote
1 answer
40 views

Comparing account equity vs maintenance margin on large number of positions

Forex brokers will start liquidating your positions when your account's equity falls below the maintenance margin set by the broker. ...
HubbyDubDub's user avatar
2 votes
2 answers
846 views

Algorithm for calculating Capped Index weightings

I'm trying to build a Capped Index Fund of crypto currencies. As Investopedia explains, a "Capped index is an equity index that has a limit on the weight of any single security. Thus, a capped index ...
Corey's user avatar
  • 41
0 votes
1 answer
311 views

Genetic Algorithm - Portfolio Optimization / Index Tracking crossover process

i am currently doing a research on index tracking using Genetic Algorithm (replicating the index using a subset of the index members). This is a new topic to me. I have been reading research paper on ...
Fabian Tan's user avatar
1 vote
2 answers
3k views

Online algorithm for calculating EWMA at irregular intervals?

What is a fast online algorithm for calculating the EWMA (exponentially weighted moving average) of an input variable observed at irregular intervals? I know the formula for when sampling at regular ...
Steve Lorimer's user avatar
1 vote
1 answer
152 views

Literature on credit risk premia

I am looking for a comprehensive ressource describing known strategies of credit risk premia. Is there such kind of articles/books/websites?
mic's user avatar
  • 281
1 vote
0 answers
308 views

Adjoint Algorithmic Differentiation: swap pricing

I have tried to implement an AAD routine to price call options using the Black-Scholes formula, but my greeks are not quite agreeing with the expected ones, so I have decided to start with something a ...
Alfie's user avatar
  • 223
5 votes
1 answer
686 views

How to (efficiently) calculate the maximum possible return of a perfect "crystal ball" investment strategy?

I am new to the world of investing, so please excuse the clumsy wording of the question... there is probably a better term for what I am looking for or maybe this is even a known/classic problem. If ...
KlaasNotFound's user avatar
0 votes
1 answer
577 views

How buying/selling pairs and entering/exiting trade works in pairs trading?

Lets say I have two stocks x and y and their corresponding stock price p(x) and p(y). consider HR as hedge ratio. Then we can calculate the spread using this equation. $spread=p(x)-HR*p(y)$ from ...
Eka's user avatar
  • 647
5 votes
1 answer
3k views

What is the pseudo code for a pairs trading strategy?

I am trying to learn about pairs trading strategy. I know that we have to long and short cointegrated assests simultaneously. But I still have some confusion in how the strategy works. I wrote the ...
Eka's user avatar
  • 647
2 votes
2 answers
509 views

Backtesting algorithms

Are there any books/papers/articles to describe how to develop a backtesting software? Something like backtest in quantopian website. How do they calculate the Cumulative performance?
Tester's user avatar
  • 121
8 votes
5 answers
4k views

Thoughts on how quantitative hedge funds use machine learning to invest in the stock market (algorithms, examples of data, etc.)

I believe there are several post on this general topic but I thought I would start my own thread. I'm a former fundamental hedge fund investor (i.e. modeling a company's financials, forecasting the ...
Alex's user avatar
  • 81
1 vote
0 answers
36 views

What are appropriate algorithms for forecasting contract schedules to maximize profit?

Imagine a situation where a business negotiates contracts for the maintenance of widgets it sells. Situation Customer buys 20 widgets. Customer negotiates contract for widgets to be serviced/...
ds1984's user avatar
  • 111
1 vote
1 answer
668 views

Memory-efficient clustering algorithm for large time-series datasets

I have a simulation task at hand with ~1e6 time series to be clustered on the basis of statistical measures every few days in the simulation. Most clustering methods I'm aware of require an affinity ...
Mindstorm's user avatar
  • 305
2 votes
0 answers
156 views

Efficient construction of binomial tree

The goal is to build a $n$ step binomial tree knowing the end nodal probabibilities $p_1, \dots, p_m$, which correspond to the time $T$ states $S_1, \dots, S_m$. We assume that all paths ending in the ...
Phun's user avatar
  • 624
15 votes
3 answers
12k views

Which algorithms do robo-advisors use?

Some pundits claim that there is a revolution in portfolio management under way: The rise of the robots, a.k.a. robo-advisors. The most well known are Betterment.com, FutureAdvisor, Schwab Intelligent ...
vonjd's user avatar
  • 27.5k
1 vote
0 answers
43 views

order routing for a fill [closed]

Lets assume a FIFO rules in futures, I buy a contract and id like to sell it. Should I estimate the possibilite of orders on opposite side would be filled first? If I watch new orders incoming at new ...
Delawer's user avatar
  • 11
9 votes
2 answers
7k views

Quantitative Finance Programming Language

Since couple of weeks, I started to do my research on quant finance. During this time, I could discover a lot of stuff and with that stuff, a lot of questions came to my mind. A lot of news or ...
Speakard's user avatar
5 votes
3 answers
2k views

How to apply the "Knapsack Problem" to minimise a portfolio's volatility?

Suppose I have a stock selection universe of 100 stocks. I have estimated the covariance matrix of this 100 stocks. I would like to create an equaly-weighted basket of 5 stocks which has the lowest ...
user847663's user avatar
1 vote
0 answers
95 views

Multi-objective optimization: Where to find qualified examples for portfolio management?

I am looking for qualified examples of multi-objective optimization applied to a portfolio management situation in non-normal markets. Where can I find one or more examples of such a multi-objective ...
RndmSymbl's user avatar
  • 450
1 vote
2 answers
956 views

Importance sampling for barrier option like pricing by Monte carlo

I would like to know some references regarding importance sampling algorithms for variance reduction of Monte Carlo barrier options pricing. Please could someone help me leaving some references? If ...
Paul's user avatar
  • 608
1 vote
2 answers
179 views

Controlling portfolio concentration

I'm working with a heterogenous basket of instruments (in volatility terms). Risk parity allocation seems to be useful for the portfolio( * 1/Volatility). However, there are times when the ...
Mindstorm's user avatar
  • 305
1 vote
0 answers
69 views

How do I determine what is a separate objective in a multi-objective portfolio optimization?

Is there a general rule to determining when to separate objectives when developing a multi-objective portfolio optimization? For example, one might start with a standard portfolio optimization of ...
QPG's user avatar
  • 146
1 vote
0 answers
718 views

What is the algorithm for the Fama-Bliss instrument selection?

Fama-Bliss discount bonds are defined through a straight forward calculation (Famma, Bliss 1987). For the purposes of a project I need to derive forward rates, yields &c. for periods not included ...
Michael Chase's user avatar
1 vote
0 answers
63 views

Approaches to check/validate the output of an optimization algorithm

Let's say we want to optimize the a function $f(x_1,\dots, x_n)$ with $(x_1, \dots , x_n) \in \mathbb{D}^n$. For the sake of simplicity let $\mathbb{D}^n$ be the unit sphere. We chose an optimization ...
Probilitator's user avatar
  • 3,377
7 votes
2 answers
1k views

Algorithmical replication of a profit and loss function using different options

I often see questions like "Given this payoff graph (example below), construct a portfolio that replicates it." I want to know if there is an efficient method/algorithm to find the individual pieces ...
wrt's user avatar
  • 73
25 votes
1 answer
10k views

Algorithm to fit AR(1)/GARCH(1,1) model of log-returns

I am fitting numerically an AR(1)/GARCH(1,1) process to index and stock log-returns, $r_t=\log(P_t/P_{t-1})$, where $P_t$ is the price at time $t$, and thus far am not clear on where the observed log ...
user avatar
-2 votes
1 answer
983 views

How to look for fractals/harmonics patterns in time series?

I want to build trading systems based on two things: 1)Fractal Theory 2)Harmonics Pattern I have read the book : The Misbehavior of Markets: A Fractal View of Financial Turbulence By Mandelbrot ...
Robert Szóstakowski's user avatar