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Questions tagged [algorithm]

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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
36 votes
6 answers
40k views

How to identify technical analysis chart patterns algorithmically?

I'm working on a small application that will provide some charts and graphs to be used for technical analysis. I'm new to TA but I'm wondering if there is a way to algorithmically identify the ...
miggety's user avatar
  • 669
28 votes
9 answers
6k views

How good is managed code for algo trading?

I am currently working in a firm that does algo trading. We do all of our stuff in Java. And we do make money out of it. We have debates all the time whether we would have made more money with native ...
Bick's user avatar
  • 613
20 votes
2 answers
976 views

How do you distinguish "significant" moves from noise?

How do you distinguish between losses that are within the normal range for day-to-day shifts and situations with a real potential for loss? The specific application I have in mind is pattern ...
monksy's user avatar
  • 766
10 votes
5 answers
655 views

Is there a name for, or any research on, a system where you try to predict future price by finding a similar price history in the past?

Allow me to explain. You look back from some period to the present. Say a week ago to now, using a per-minute view. You then crawl through your database of past price data, and you try to find a ...
ryeguy's user avatar
  • 201
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
2 votes
2 answers
847 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