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8

Yes, it can work. However, keep in mind that: you'll be safer if you don't share any objects between threads; see my answer here, in particular the last point; even if you use different seeds, there's no guarantee that the generated sequences won't overlap. If you're willing to change the engine code so that you can pass the relevant parameters, a safer ...


5

Adding to Luigi's answer, second point: The issue of overlapping Mersenne Twister sequences can be addressed with dynamically created Mersenne Twister Generators, cf. http://www.math.sci.hiroshima-u.ac.jp/~m-mat/MT/DC/dc.html. I created a wrapper for the dcmt library so that it fits more easily into the QuantLib library, see https://github.com/pcaspers/...


5

I think the most sophisticated solutions are to be found within the R universe. One package that comes to mind is the quantmod package. You can use it to download data from Yahoo and Google finance, plot charts and filter your stocks using all kinds of technical indicators (that come with the package). It can be found on CRAN: https://cran.r-project.org/...


5

Sigh. I'm not sure that there's a best way to do multi-threaded MC in QuantLib. I'm afraid that you're underestimating the amount of development you'd need for option 2. You're not going to get away with some OpenMP code as you suggest, because calculations on different paths are not trivially parallel: the RNGs we have are not parallel, and even if you ...


4

I think this project could be interesting! This is because, although already exist market data sources (see QUANDL) for free or cheap, I think it would be nice build your own database. Moreover, I find the fact you want to build an updated dataset about companies news, report & releases extremely interesting, since a serious source about historical ...


4

Being the question tagged as python and given I look for small challenges for my platform, backtrader, I took the chance to see how easy would be to do this with the platform. Documented at: http://www.backtrader.com/posts/2016-08-15-stock-screening/stock-screening/ The core code in this case is an analyzer which looks for assets which are above the 10-...


3

Have a look at Zillow's historical data. For example, this http://files.zillowstatic.com/research/public/Neighborhood/Neighborhood_MedianValuePerSqft_AllHomes.csv is a dataset of neighborhood level median $ / sqft. Also, Zillow has a great api that you can use to programmatically pull and process the data. If you are a python user, check out the package ...


2

I recommend taking a look at cufflinks and py-quantmod: https://github.com/santosjorge/cufflinks https://github.com/jackwluo/py-quantmod


2

I would recommend using Python because it can be downloaded for Windows or Mac and is available in almost all Linux repositories as standard. Once you have Python installed you can use any of the following links to see how to get your data https://www.quantstart.com/articles/Downloading-Historical-Intraday-US-Equities-From-DTN-IQFeed-with-Python https://...


2

This Quandl Page provides you the informations you need: a lot of programming languages and other tools are linked to Quandl.


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