3 votes

Where can I find a Python module for Stock volatility estimators using Yang Zhang method?

There's a github repository for this: "A complete set of volatility estimators based on Euan Sinclair's Volatility Trading." https://github.com/jasonstrimpel/volatility-trading
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2 votes

Algorithm / formula / method to determine optimal weightings given expected return, % of volume and slippage

Let $k$ be the funding amount (in \$), let $N$ be the number of stocks, let $V$ be the vector of expected daily volumes $v_i$, let $R$ be the vector of expected returns $r_i$, let $W$ be a vector of ...
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1 vote

Are there open source or academic-only limit order book data sets available?

Some vendors have academic licenses, where they offer a reduced rate or even free access to the data. You should try contact some of them like: Nasdaq Ticket Market Data Olsen The Crypto space is very ...
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1 vote
Accepted

Are there open source or academic-only limit order book data sets available?

Here are a few links that may have the data you are looking for: awesomeopensource.com has many open source projects. You could probably find some data there. This Github repo has some data. Only 3 ...
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