New answers tagged programming
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API for Commodities Stock markets
Here are 2 options I know of that have free accounts. They also offer paid plans that may be worth it if you are willing to pay a small amount.
Commodities-API - Free public API. Create an account to ...
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Accepted
Calculate Exponentially-Weighted Covariance Matrix over Finite Window
If I understand you correctly, you are aiming to compute a series of covariance matrices based on windows of your return data. To this end, let $X$ denote the $n\times k$ matrix of observed returns ...
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long short portfolio sharpe ratio
Let's assume stock "A" yields a 5% return and stock "B" yields a 6% return, they both have standard deviations of 10% (per annum) and a correlation factor of 0.5.
You decide to ...
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Bloomberg DLIB BLAN in Python
That is a classic F1 F1 question. It's proprietary software and BBG offers a dedicated help desk.
DTK is not available for free via BLPAPI. Connecting DLIB to an API requires a premium service called ...
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Finding optimal option to maximise gains under given price hypothesis
I do not know of any package that can solve your problem; but it seems to be a simple problem, in the end:
Given a 'future target price' $S^*$ (say 150 in your case) and a set of call options with ...
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Curious where Financial Data APIs get data
You need a connection to the data providers (e.g. exchanges). You can see details on Poligon's website.
A counter question may be, what prevents you from building your own numpy or R charting library?...
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Quantlib: How to bootstrap FedFunds Index having other tenors 3M, 1Wk, etc?
You will need to use an OISRateHelper. OIS stands for Overnight Indexed Swap, the investopedia article explains OIS well.
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Coefficients of univariate regressions equal to those in the multivariate regression
Is there a proof that shows that this is always the case when the correlations amongst your independent variables are 0?
This is a known result; see e.g. Kennedy "A Guide to Econometrics" (...
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Fama-MacBeth regression in Python using the linearmodels library
This is not exactly an answer, but I hope to discuss a few things.
LinearFactorModel is definitely not Fama-Macbeth regression. The first stage seems the same, but the second stage only performs one ...
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Online courses or C++ books combined with Finance (alternatives to Duffy and Joshi)
I recommend John Armstrong's C++ for Financial Mathematics, edited by CRC press. It just has the right balance between teaching C++ theory, including concepts that ...
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