# All Questions

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### Sharpe Ratio - my own calculation differs from Yahoo finance, Morningstar

I am trying to compute the Sharpe ratio for my portfolio. To check that I am doing this correctly, I am first trying to compute it for SPY (the S&P 500 index). ...
183 views

### why people want to get a continuous time series from futures data?

So for the backtesting , is it necessary to make an adjustment for the last day of the current contract and the first day of the next far contract? Even if there's is a gap, that's the actual price, u ...
109 views

### Max Likelihood via Marquardt Optimisation

I asked a related question here: How to apply Levenberg Marquardt to Max Likelihood Estimation I tried the approach suggested it works for some of the parameters but not the variances. I spoke to ...
318 views

### How to get permanently growing chart within PCA

I looked onto different questions and answers about application of PCA on this site and found this interesting article : http://systematicedge.wordpress.com/2013/06/02/principal-component-analysis-in-...
3k views

### Technical analysis in Python - source of knowledge

I did my best, but I could not find answer for this one - is there any good and in-depth source of knowledge about using Python for technical analysis ? Obviously, there are plenty of tutorials, blogs ...
2k views

### Why Ito calculus?

Coming from physics, I am used to the fact that the Ito interpretation of most natural stochastic equations is wrong, and one should be using Stratonovich calculus instead (of course they are ...
85 views

### Break down XIRR to different segments

Currently, I have the following transactions. ...
264 views

### Where can I buy historic raw order by order data for Euronext market?

I cannot find any vendor that sell the full depth order by order data historically. I called Euronext and for some sick reason they "have the data" but "do not sell it". Do you guys know where I can ...
In Tomas Bjork's Arbitrage Theory in Continuous Time (or here), $\exists$ these propositions How does the first formula follow from from the algorithm? I get that $\Pi(0;X) = V_0(0)$, but I don't ...