28

You can directly imply a probability distribution from a volatility skew. Note that, for any terminal probability distribution $p(S)$ at tenor $T$, we have the model-free formula for the call price $C(K)$ as a function of strike $K$ \begin{equation} C=e^{-rT} \int_0^\infty (S-K)^+ p(S) dS \end{equation} Therefore we can write \begin{equation} e^{rT} \...


14

I don't know why it was removed, but the R package "orderbook" was available: http://journal.r-project.org/archive/2011-1/RJournal_2011-1_Kane~et~al.pdf http://cran.r-project.org/web/packages/orderbook/index.html In the IBrokers package, the function "reqMktDepth" is used for streaming order book data. http://cran.r-project.org/web/packages/IBrokers/...


8

And then music... Victor Neiderhoffer, in a 2001 interview: The market plays music all the time. The problem is you never know how the music of the market is going to end. But a good framework is that it will end on the tonic. Consonance to dissonance back to consonance. And whenever there's tremendous dissonance, strident moves in one direction, a good ...


8

Although quite simple connected scatterplots can give interesting new insights on how time series perform together: http://steveharoz.com/research/connected_scatterplot/ As an example: Gold vs. S&P 500 from 1970 till today: The green point marks 1970, the red point is today. Every point is a year, moving vertically upwards means rise in the S&P ...


8

So one such visualization package is demonstrated in http://www.tradeworx.com/movie/booklet_demo/temp/booklet_demo2.mov. AFAICT it looks like a tk script. Trading Technologies (TT) sells another visualization tool. But TBH writing your own tool takes a few hours and allows you to focus on what information you are interested in finding.


7

To me, coloring by data value is a great way to bring applications alive. If traditional ways are not enough, probably taking 3D in use would be a way: And of course 2D heatmap is a very handy for sure. I'm developing data visualization software components with 3D technologies, so definitely all feedback and ideas are welcome :-)


6

I don't trust either. That a stock didn't trade carries information about its liquidity and about the magnitude of innovations in its fundamental value. If it is feasible within your model, try to incorporate the framework of Rosett (1959, “A Statistical Model of Friction in Economics”, Econometrica). For a recent application of the friction model to ...


5

Try to give David Spiegelhalter a read/listen to David Spiegelhalter's work and research. He is a statistician and a Professor of the Public Understanding of Risk at Cambridge England. Rather than new ways of calculating risk, he looks at ways of communicating risk to a general public that doesn't have any knowledge of stats. I Linked an interesting video-...


5

Firstly, it may depend vastly on your choice of platforms (e.g. R, Python, or Java). Some of the most common ones: Python Out of the box: Orange Self-customized: Scikit-learn and PyBrain Java Out of the box:RapidMiner and KNIME Self-customized-prone:Weka R: Machine learning in R. Secondly, it vastly depends on your purpose while choosing whether to ...


5

Accordingly to this comparison (look for post written by Martin) Rapidminer is more powerful in terms of implemented mining algorithms and scales better for large datasets. Being originally a WEKA user my impression is that Rapidminer is also easier to use than WEKA.


5

http://lobster.wiwi.hu-berlin.de/forum/viewtopic.php?f=4&t=30 R code, pictures and discussion, it's easy to modify it


5

I spent some time (a month or so) using RapidMiner at the start of the year; then I added the R plugin, thinking R was just a library of stats functions. Then I learned more R, discovered it also comes with loads of machine learning functions, and realized R is a superset of everything RapidMiner was giving me. Playing with RapidMiner drag and drop was fun, ...


5

One option to do it is a heatmap. Not sure which software are you using, but in matlab it is extremely simple to do and powerful to tweak. Below an example. Let's assume there are 30 periods $t$ to $t+30$ and 21 ratings. Then you could run: rating = {'Aaa'; 'Aa1';'Aa2';'Aa3';'A1';'A2';'A3';'Baa1';'Baa2';'Baa3';'Ba1';'Ba2';'Ba3';'B1';'B2';'B3';'Caa1';'...


4

The real contenders for a desktop based tool are RapidMiner and R. If you like Windows or Mac, you will like RapidMiner. If you like command line or Linux, you will like R. I would say RapidMiner has a flatter learning curve. The previous lecturer in the course I teach used R and the students (MBAs) complained about the learning curve. They did not in my ...


4

Which is/are the most extensible? RapidMiner and R. Besides, RapidMiner offers extensions for seamlessly integrating R and Weka, hence can combine the power and extensibility of all three platforms within RapidMiner. And you can download RapidMiner and its extension for R and Weka for free. Which is the most efficient in terms of a minimal learning curve ...


3

I've been using HighStock, which produces very slick interactive charts with a relatively small amount of JavaScript. Among other things, it can produce candlestick/OHLC charts with volume bars, take a look at the examples page.


3

Following on from alpha's answer, you might be able to use some of the ideas and tools described on this blog to link R, and maybe also MATLAB/Octave, to the Metatrader platform to use the charting capabilities of Metatrader. Linked from this blog is this page where there is a dll tool available, with downloadable open code, to call R directly from ...


3

if you are dealing with FX data only; i have found MetaTrader to be the best. my automated trading system is built in Java; and I output data files to MT4 folder; that get picked up automatically by a custom indicator that I have built; which simply reads the data file and plot it on the currency pair that I am viewing. MT4 charts are extremely fast; ...


3

By stock chart application you mean you are making a charting tool for traders? Typically there is a choice to plot trade, bid or ask, and almost all the time they will want to look at trade prices. If a stock hasn't been trading then the flatline (or gap) on the chart communicates that.


3

I would recommend performing visualization intensive tasks and UIs on a separate front-end, given R and Matlab are not optimized to efficiently render charts and other visualizations. If you are able to run WPF/Silverlight apps on your machine I can highly recommend SciChart (http://www.scichart.com/). It fulfills all your stated requirements. The library ...


2

I came across B/View which is a Java application that visualizes the order book for a single stock on a single day. It encompasses some of the basic features I would expect in such a tool. It appears to be more a demonstration than a general purpose tool.


2

Great question, I love to visualize data! A visualization is really the most efficient way to display a large amount of information to be processed by the human brain IMO. Depending on what exactly you are trying to plot and visualize, I would suggest trying the javascript API for WebGL called Three.js. Examples of Three.js are here: http://threejs.org/...


2

This stuff is not exactly my area of expertise, but since you're offering the bounty, I'll start things out and we'll see if the community can get us further along. I believe the essence of your question is actually to find the implied distribution of returns given the B-S volatilities. Once you have an implied distribution, comparing it to a normal ...


2

Take a look at http://www.modulusfe.com/stockchartsl/ They have a nice demo (requires Microsoft Silverlight plugin). You can zoom and scroll, add lines and technical indicators, save image etc. Also see this SO question.


2

This is an example of minimum price variation (also known as the minimum price increment or the minimum price fluctuation). All public quotes for US equities are displayed to the nearest penny. (Hidden quotes may be entered at sub-penny increments.) US stock indices follow this convention and thus quote to the nearest penny. The oil listing is odd indeed. ...


2

There is a new Order Book visualization tool, called BookMap: http://www.youtube.com/watch?v=1c6HegAn-CA It allows to trade and simulate trading in real-time or replay mode. The replay mode is free to use. BookMap is the only tool, that visualizes the history (evolution) of the order book. (the first version will be soon in production)


2

I would suggest you have a look at the waterfall chart: http://en.m.wikipedia.org/wiki/Waterfall_chart


1

The work of the NYU V-Lab is interesting to me. They try to measure risk in the system as a whole "systemic risk", rather than risk in a single portfolio.


1

Let me give you the perfect solution. Use Python. The charting, graphing and analysis can be done using the PyLab environment. You can integrate the code into R using the package called rPython. You can integrate it to C and many other languages. Python also comes with infinite more features. So instead of looking for a particular library, use Python.


1

BookMap seems cool, indeed. Jigsaw trading has something good, similar, less expensive http://www.jigsawtrading.com/order-flow-software/ The owner is a trader This tool is used by profitable traders: http://www.nobsdaytrading.com/free-info/for-inexperienced-traders/ DB Vaello from OrderFlow Analytics offers another great tool http://www.orderflowanalytics....


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