All Questions
21,718
questions
322
votes
29
answers
239k
views
What data sources are available online?
What sources of financial and economic data are available online? Which ones are free or cheap? What has your experience been like with these data sources?
144
votes
15
answers
175k
views
How can I go about applying machine learning algorithms to stock markets?
I am not very sure, if this question fits in here.
I have recently begun, reading and learning about machine learning. Can someone throw some light onto how to go about it or rather can anyone share ...
- 1,551
111
votes
17
answers
16k
views
What concepts are the most dangerous ones in quantitative finance work?
There are a few things that form the common canon of education in (quantitative) finance, yet everybody knows they are not exactly true, useful, well-behaved, or empirically supported.
So here is the ...
110
votes
17
answers
22k
views
Video lectures and presentations on quantitative finance
What are your favourite video lectures, presentations and talks available online?
A few rules:
Must be related to quantitative finance. No Economics 101 courses, please.
Try to avoid DIY lectures ...
109
votes
7
answers
196k
views
Where to download list of all common stocks traded on NYSE, NASDAQ and AMEX?
I have a very basic data question: how to get a list of all common stocks traded on NYSE, NASDAQ and AMEX? I would need to be able to get the approximate list of common stocks as is available in ...
- 1,091
93
votes
14
answers
21k
views
Innovative ways of visualizing financial data
Finance is drowning in a deluge of data. Humans are not very good at comprehending large amounts of data. One way out may be visualization.
Traditional ways of visualizing patterns, complexities and ...
- 27.3k
93
votes
4
answers
78k
views
What are the quantitative finance books that we should all have in our shelves?
Which books/papers should we all have in our shelves?
There are a couple that I use regularly such as:
An Introduction to Financial Option Valuation: Mathematics, Stochastics and Computation
Asset ...
92
votes
10
answers
51k
views
Building Financial Data Time Series Database from scratch
My company is starting a new initiative aimed at building a financial database from scratch.
We would be using it in these ways:
Time series analysis of: a company's financial data (ex: IBM's total ...
- 1,023
82
votes
9
answers
39k
views
Efficiently storing real-time intraday data in an application agnostic way
What would be the best approach to handle real-time intraday data storage?
For personal research I've always imported from flat files only into memory (historical EOD), so I don't have much ...
- 2,716
78
votes
8
answers
65k
views
What is an efficient data structure to model order book?
What is an efficient data structure to model order book of prices and quantities to ensure:
constant look up
iteration in order of prices
retrieving best bid and ask in constant time
fast quantity ...
- 1,001
75
votes
8
answers
33k
views
Is R being replaced by Python at quant desks?
I know the title sounds a little extreme but I wonder whether R is phased out by a lot of quant desks at sell side banks as well as hedge funds in favor of Python. I get the impression that with ...
- 14.4k
67
votes
9
answers
87k
views
What are some useful approximations to the Black-Scholes formula?
Let the Black-Scholes formula be defined as the function $f(S, X, T, r, v)$.
I'm curious about functions that are computationally simpler than the Black-Scholes that yields results that approximate $...
- 2,109
64
votes
8
answers
107k
views
How to annualize Sharpe Ratio?
If I know the daily returns of my portfolio, I need to multiply the Sharpe Ratio by $\sqrt{252}$ to have it annualized.
I don't understand why that is.
- 701
63
votes
21
answers
58k
views
Is there any thing out there as a substitute for KDB?
thanks a lot for your discussions on the original post.
following your suggestions, let me re-phrase a bit :
kdb is known for its efficiency, and such efficiency comes at a terrible price. However, ...
- 635
61
votes
6
answers
30k
views
How are correlation and cointegration related?
In what ways (and under what circumstances) are correlation and cointegration related, if at all? One difference is that one usually thinks of correlation in terms of returns and cointegration in ...
- 3,123
60
votes
13
answers
25k
views
Switching from C++ to R - limitations/applications
I've only recently begun exploring and learning R (especially since Dirk recommended RStudio and a lot of people in here speak highly of R). I'm rather C(++) oriented, so it got me thinking - what are ...
- 2,716
59
votes
9
answers
35k
views
How useful is the genetic algorithm for financial market forecasting?
There is a large body of literature on the "success" of the application of evolutionary algorithms in general, and the genetic algorithm in particular, to the financial markets.
However, I feel ...
- 1,251
58
votes
14
answers
164k
views
Where to get long time historical intraday data?
I am looking for long time historical intraday day data on the S&P500 composite for a time horizon like 10 years with a - for example 10-minutes tick - or prices for call/put options on the S&...
- 689
55
votes
7
answers
7k
views
Paradoxes in quantitative finance
Everyone seems to agree that the option prices predicted by the Black-Merton-Scholes model are inconsistent with what is observed in reality. Still, many people rely on the model by using "the wrong ...
54
votes
5
answers
68k
views
Integral of Brownian motion w.r.t. time
Let
$$X_t = \int_0^t W_s \,\mathrm d s$$
where $W_s$ is our usual Brownian motion. My questions are the following:
Expectation?
Variance?
Is it a martingale?
Is it an Ito process or a Riemann ...
- 731
53
votes
8
answers
28k
views
Time-series similarity measures
Suppose I have two time series $X$ and $Y$ of stock prices. How do I measure the "similarity" of $X$ and $Y$?
(I'm being deliberately vague as I don't have a particular application, and I'm curious ...
- 781
52
votes
6
answers
9k
views
Which approach dominates? Mathematical modeling or data mining?
According to my current understanding, there is a clear difference between data mining and mathematical modeling.
Data mining methods treat systems (e.g., financial markets) as a "black box". The ...
- 529
50
votes
12
answers
61k
views
Why is C++ still a very popular language in quantitative finance? [closed]
I had to ask this question after reading the answers to What programming languages are most commonly used in quantitative finance? I understand that C++ programs can be optimized pretty well and are ...
- 961
50
votes
4
answers
8k
views
How much data is needed to validate a short-horizon trading strategy?
Suppose one has an idea for a short-horizon trading strategy, which we will define as having an average holding period of under 1 week and a required latency between signal calculation and execution ...
- 13.4k
50
votes
3
answers
6k
views
What papers have progressed the field of quantitative finance in recent years (post 2000)?
My question is pretty simple: what papers do you feel are foundational to quantitative finance? I'm compiling a personal reading list already, drawn from Wilmott forums, papers referenced in ...
49
votes
8
answers
51k
views
How does the "risk-neutral pricing framework" work?
I've struggled for a long time to understand this - What is this? And how does it affect you?
Yes I mean risk neutral pricing - Wilmott Forums was not clear about that.
- 809
49
votes
9
answers
9k
views
Option pricing before Black-Scholes
According to the Wikipedia article,
Contracts similar to options are believed to have been used since ancient times.
In London, puts and "refusals" (calls) first became well-known trading ...
- 5,040
49
votes
5
answers
10k
views
How do I graphically represent the evolution of a covariance matrix over time?
I am working with a set of covariance matrices evaluated at various points in time over some history. Each covariance matrix is $N\times N$ for $N$ financial time-series over $T$ periods. I would ...
- 13.4k
49
votes
3
answers
19k
views
How can we reverse engineer a market-making algorithm (HFT)?
Consider a market participant $A$ who is mechanically following an automated liquidity providing algorithm (HFT) in a number of large cap stocks on a specific exchange.
Assume furthermore that we are ...
- 2,109
48
votes
6
answers
116k
views
A simple formula for calculating implied volatility?
We all know if you back out of the Black Scholes option pricing model you can derive what the option is "implying" about the underlyings future expected volatility.
Is there a simple, closed form, ...
- 2,098
48
votes
9
answers
5k
views
Are there any new Option pricing models?
Back in the mid 90's I used the Black-Scholes Model and the Cox-Ross-Rubenstein (Binomial) Model's to price Options. That was nearly 15 years ago and I was wondering if there are any new models being ...
- 585
48
votes
4
answers
23k
views
What is the best way to "fix" a covariance matrix that is not positive semi-definite?
I have a sample covariance matrix of S&P 500 security returns where the smallest k-th eigenvalues are negative and quite small (reflecting noise and some high correlations in the matrix).
I am ...
- 13.5k
47
votes
16
answers
33k
views
Why Drifts are not in the Black Scholes Formula
This question has puzzled me for a while.
We all know geometric brownian motions have drifts $\mu$:
$dS / S = \mu dt + \sigma dW$
and different stocks have different drifts of $\mu$. Why would ...
- 765
47
votes
5
answers
4k
views
What are the key risks to the quantitative strategy development process?
Prompted in part by this question on data snooping, I would be interested to know:
What are the key risks that should be considered when developing a quantitative strategy based on: (a) historical ...
- 9,205
47
votes
14
answers
35k
views
Except Zipline, are there any other Pythonic algorithmic trading library I can choose?
Except Zipline, are there any other Pythonic algorithmic trading library I can choose? Especially, for backtesting?
Update: Since Quantopian closed, there are some Zipline forks like:
https://pypi....
- 573
46
votes
12
answers
7k
views
Lévy alpha-stable distribution and modelling of stock prices.
Since Mandelbrot, Fama and others have performed seminal work on the topic, it has been suspected that stock price fluctuations can be more appropriately modeled using Lévy alpha-stable distrbutions ...
- 1,507
46
votes
13
answers
79k
views
Are there any good tools for back testing options strategies?
There are all kinds of tools for backtesting linear instruments (like stocks or stock indices). It is a completely different story when it comes to option strategies. Most of the tools used are ...
- 27.3k
45
votes
9
answers
10k
views
How 'High' is the frequency in HFT?
How many trades per second are we talking about?
What kind of strategies are used in this time frame?
Can the small guy play the game?
- 1,069
45
votes
14
answers
52k
views
Central Index Key (CIK) of all traded stocks
Is there a way by which I can get a list of CIK of all registered stocks at the SEC?
- 551
45
votes
8
answers
16k
views
Recommendations for books to understand the math in quantitative finance papers?
Can anyone recommend books that explain the math used in quantitative finance academic papers?
44
votes
12
answers
30k
views
Why does the minimum variance portfolio provide good returns?
I've been a researching minimum variance portfolios (from this link) and find that by building MVPs adding constraints on portfolio weights and a few other tweaks to the methods outlined I get ...
- 1,255
44
votes
6
answers
11k
views
Machine Learning vs Regression and/or Why still use the latter?
I come from a different field (Machine learning/AI/data science), but aim to ask a philosophical question with the utmost respect:
Why do quantitative financial analysts (analysts/traders/etc.) prefer ...
- 543
44
votes
15
answers
88k
views
What open source trading platform are available
I would like to compile a list of open source trading platforms. Something that would give an overview and comparison of different architectures and approaches.
44
votes
9
answers
21k
views
What tools exist for order book analysis and visualization?
What tools exist for order book analysis and visualization? In particular, if one wanted to examine a limit order book and understand how it changes throughout the day where would you turn for ...
- 5,487
43
votes
8
answers
11k
views
What broker/feed/APIsetup allows for recording the most accurate data (cheaply)?
I'm currently using IB's Java API and getting feeds through them. However the real-time feed is updated only every 250ms and the historical feed only every second.
I'm primarily looking for ES data ...
42
votes
3
answers
32k
views
How to build a factor model?
Factor models such as Fama-French or the other ones that are partially summarized here work on the cross-section of asset returns.
How are the factors built, how are sensitivities/coefficients ...
- 13.6k
40
votes
12
answers
31k
views
How fast is QuickFix ?
In my firm we are beginning a new OMS (Order Management System) project and there is a debate whether we use Quickfix or we go for a professional fix engine? Because there is a common doubt that ...
- 1,149
39
votes
5
answers
7k
views
Why aren't econometric models used more in Quant Finance?
There is a big body of literature on econometric models like ARIMA, ARIMAX or VAR. Yet to the best of my knowledge practically nobody is making use of that in Quantitative Finance. Yes, there is a ...
- 27.3k
39
votes
9
answers
5k
views
Has high frequency trading (HFT) been a net benefit or cost to society?
Various studies have demonstrated the very large and growing influence of high frequency trading (HFT) on the markets. HFT firms are clearly making a great deal of money from somewhere, and it stands ...
- 13.4k
39
votes
2
answers
11k
views
Which approach to estimating fundamental factor models is better, cross-sectional (unobservable) factors or time-series (observable) factors?
There are many approaches to estimating fundamental factor equity models. I would like to focus on two traditional methods:
The time-series regression approach of Fama and French. Factors are ...
- 13.5k