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I'm looking to find a free source of tick by tick data (<1sec) for training purposes. It doesn't need to be longer than a day, and I don't care what instrument, or exchange, or time it is. I just want real numbers with a high frequency.
Is such a data set freely available? |
Training set of tick-by-tick data? |
I'd like to compare the returns of a portfolio segregated by groups to the returns of those groups in total. So say for example I have a portfolio with 40% Industrials and 60% Technology, then over the the same period the returns of Industrials and Technology were 5% and 10%, respectively.
How can I get some idea o... |
Can you implement a condor options trading strategy in a spreadsheet?
Could you give an example? |
Can you implement a condor options trading strategy in a spreadsheet? |
What are your favourite video lectures, presentations and talks available online?
A few rules:
- Must be related to *quantitative finance*. No Economics 101 courses, please.
- Try to avoid DIY lectures for wannabe Soros types (e.g. how to earn millions trading S&P 500 futures).
- Try to post specific li... |
Department of Mathematics at University of Minnesota has 4 online lectures on financial mathematics - [Lectures on financial mathematics][1]:
- Notes on Financial Mathematics
- The Risk-Neutral World
- Δ-Hedging
- The Central Limit Theorem
David Harper aka Bionic Turtle has set of small videos on his we... |
How to calculate correlations(COT report) in R ? |
You can get 1.5 years of dense milisecond tagged forex tick data from here: http://www.truefx.com/?page=downloads (free account required)
There are a few problems with it - some missing days and a couple of days with bad data.
EUR/USD has an average of 200,000 ticks/day for January 2011.
The Dukascopy ticks me... |
I am trying to analyze valuation methods for swaptions. Does anyone know of free example data for these OTC-traded securities? |
Are there any free data source for historical US equity data? Yahoo finance has daily prices but I'm looking for something more granular and goes back 2 or more years (doesn't have to be close to tick data, hourly is fine).
I've looked through [Data sources online][1], there isn't much on stock market data.
[... |
What are the most effective techniques for reject inference in the context of retail credit scoring. <a href="http://analytics.ncsu.edu/sesug/2008/ST-160.pdf"> Parcelling</a> is something I use frequently... Any other approaches out there?
|
Have you looked at the [bivariate probit model][1] at all?
> Bivariate probit model with sample
> selection assumes that the
> distribution of the accepted applicant
> population is different from that of
> the rejected applicant population.
> That is, it is assumed that
> $P(default|X, rejected) = P(defaul... |
How can i store tick data ? For example if i have IB trading account how can i download and store the tick data directly to my computer? Which software can I use ? |
What methods can be used to map the correlation skew of a credit index on a bespoke CDO portfolio? |
Libor Market Model (LMM) models the interest rate market by simulating a set of simply compounded, non-overlapping Libor rates which reset and mature on predefined dates. How do I obtain from them a Libor rate which resets and/or mature between these fixed dates? |
How do I model the randomness of recovery rate given default when pricing credit derivatives? |
What is an efficient method of pricing callable range accruals on rate spreads? As an example:
A cancellable 30 year swap which pays 6M Libor every 6M multiplied by the number of days the spread of 10-year and 2-year CMS rate is above 0, in exchange for a fixed or floating coupon.
Using LMM for this is dog slow, ... |
Have you looked at the [bivariate probit model][1] at all?
> Bivariate probit model with sample
> selection assumes that the
> distribution of the accepted applicant
> population is different from that of
> the rejected applicant population.
> That is, it is assumed that
> $P(default|X, rejected) \neq P(def... |
What do you want to do with the tick data later? Run analytics? You can save tick data to a flat file for all the software cares, but that would be really slow to access later.
Instead, you should ideally save the data:
- Column-oriented - all elements in a field are stored contiguously for better caching
- Bi... |
Department of Mathematics at University of Minnesota has 4 online lectures on financial mathematics - [Lectures on financial mathematics][1]:
- Notes on Financial Mathematics
- The Risk-Neutral World
- Δ-Hedging
- The Central Limit Theorem
David Harper aka Bionic Turtle has set of small videos on his we... |
How can I store tick data ? For example if I have IB trading account how can I download and store the tick data directly to my computer? Which software can I use ? |
I have been testing a trend following strategy. The results shows massive drawdowns which makes the equity curve very unstable. I just wanted to know what are some ways in which I can reduce the volatility (increase smoothness) of the equity curve? Better exits? Better entries? |
Is a JV model simply Local Vol + Jump Diffusion?
If so, it seems logical that an existing JV model be able to be used for valuation of both Vanilla and Exotic options. Is this true? Does a Local Vol model not model the smile parameters (Skew and Kurtosis) at all, and hence the use of JVol in equity option calcul... |
Another possibility is to analyze the equity curve itself so as to go live with the system when good performance is expected and to either reduce risk or just paper trade when performance is expected to be negative. Are a series of positive returns followed by negative returns (i.e. is there mean reversion)? Does a tre... |
If you are interested in determining whether there is a correlation between the Federal Reserve Balance Sheet and PPI, would you calculate the correlation between values (prices) or period-to-period change (returns)? |
Correlation between prices or returns? |
Short answer, you want to use the correlation of returns, since you're typically interested in the returns on your portfolio, rather than the absolute levels.
Also, correlations on price series have very strange properties. If you think about a time series of prices, you could write it out as [P0,P1,P2,...,PN], or ... |
Currently I am developing a commercial automated trading program in which users can write their proprietary code and develop strategies like in NinjaTrader, MetaTrader etc. Right now I am working on the order handling part which is really important. I can not figure out how to reference the orders entered during the ex... |
If you're planning on analyzing the data later in R, you should take a look at the [indexing and mmap packages](https://r-forge.r-project.org/R/?group_id=648). Though, as [@chrisaycock](http://quant.stackexchange.com/users/35/chrisaycock) said, you'll need to save the data in a column-oriented, binary format.
If yo... |
If you are interested in determining whether there is a correlation between the Federal Reserve Balance Sheet and PPI, would you calculate the correlation between values (prices) or period-to-period change (returns)?
I've massaged both data sets to be of equal length and same date range and have labeled them WWW (WR... |
If you are interested in determining whether there is a correlation between the Federal Reserve Balance Sheet and PPI, would you calculate the correlation between values (prices) or period-to-period change (returns)?
I've massaged both data sets to be of equal length and same date range and have labeled them WWW (WR... |
How can I store tick data for later use in R? For example if I have IB trading account how can I download and store the tick data directly to my computer? Which software can I use? |
how does left tail risk differ from right tail risk and in what context would an analyst use these metrics? |
I can't find S&P 500 index (SPX) futures data with Greeks to create delta-hedged portfolios. Do these data exist? I have access to most of the common data sources.
In the meantime, I am trying to form so these delta=hedged portfolios "manually". Unfortunately, I can't find SPX data with maturity, so I use a continuo... |
Another possibility is to analyze the equity curve itself so as to go live with the system when good performance is expected and to either reduce risk or just paper trade when performance is expected to be negative. Are a series of positive returns followed by negative returns (i.e. is there mean reversion)? Does a tre... |
Not sure this helps, but visit:
http://delayedquotes.cboe.com/new/options/options_chain.html?symbol=SPX&ID_NOTATION=8941848&ID_OSI=10614550&ASSET_CLASS=IND
and click on any option to see its Greeks.
|
Aside from Black-Scholes with crazy skews, what major models are used for energy derivatives? I'm thinking particularly of electricity derivatives, but I'm also interested in natural gas and other volatile contracts(*).
(*): pun intended
|
What are the major models for energy derivatives, particularly electricity derivatives? |
What are the current bottlenecks now in quant workflow?
i.e. what computational tasks would be revolutionary with a 10-100x improvement in performance?
(Other than network latency in high speed trading of course) |
Centroidal Voronoi methods you mean? i.e. approximating a continous space with discrete points (generators) and for the sake of modeling evaluate the neighborhood around each generator as having the same value?
Example. Here is a guy who encodes images with unicode in twitter. He is quantizing in both the spacial an... |
What are the current computational (non-network) bottlenecks now in a quant's workflow? What computational tasks would be revolutionary with a 10-100x improvement in performance using general purpose GPUs? |
What are some computational bottlenecks that quants face? |
Can anyone explain to me the process and the calculations needed to select a portfolio of futures assets? I am looking to create an list of liquid futures that are uncorrelated but I am currently confused. Do I calculated thhe correlations of all related futures markets and select the ones in between ie. .20 and -.20 a... |
Assuming a naive stochastic process for modelling movements in stock prices we have:
$dS = \mu S dt + \sigma S \sqrt{dt}$
where S = Stock Price, t = time, mu is a drift constant and sigma is a stochastic process.
I'm currently reading Hull and they consider a simple example where volatility is zero, so the cha... |
The new kid on the block in finance seems to be random matrix theory. Although RMT as a theory is not so new (about 50 years) and was first used in quantum mechanics it being used in finance is a quite recent phenomenon.
RMT in itself is a fascinating area of study concerning the eigenvalues of random matrices and ... |
While many systems like to treat dividends as a continuous yield when pricing equity options, it works quite poorly for short-dated options.
In the short run, deterministic dividends are clearly the way to go, since the upcoming dividend is usually known with fairly high precision. In the medium term, we may start ... |
How do you characterize dividends for equity options? |
Assuming a directional strategy (no pairs or spread trades) is there a "standard" method for quantifying mean-reversion? Should auto-correlation, variance ratios, hurst exponent, or some other measure be preferred in all cases, or are there advantages to each given the context? |
Is there a standard method for quantifying mean-reversion for use in directional trading? |
What are some examples of non-financial risk (such as hardware or network connection failure, death/injury of an employee, etc.) that quant trading firms face? What are ways to manage and plan for these risks? |
There are many sources online about common risk factors in investing/trading such as market risk, credit risk, interest rate risk, and various factor models (fama-french, carhart, etc.) and risk management methods to mitigate and manage them.
What are some examples of non-financial risk (such as hardware or network ... |
I would like to find stock pairs that exhibit low correlation. If the correlation between A and B is 0.9 and the correlation between A and C is 0.9 is there a minimum possible correlation for B and C? I'd like to save on search time so if I know that it is mathematically impossible for B and C to have a correlation bel... |
There is a concept of trading or observing the market with signal processing originally created by [John Ehler][1]. He wrote three books about it.
[Cybernetic Analysis for Stocks and Futures][2]
[Rocket Science for Traders][3]
[MESA and Trading Market Cycles][4]
There are number of indicators and mathemati... |
There is a concept of trading or observing the market with signal processing originally created by [John Ehler][1]. He wrote three books about it.
[Cybernetic Analysis for Stocks and Futures][2]
[Rocket Science for Traders][3]
[MESA and Trading Market Cycles][4]
There are number of indicators and mathemati... |
We were talking about merger arb in a class I had last night, and when we got do deal construction it was mentioned that the different ways can be viewed as different options. For instance a fixed with collar can be a short call, because an upside limit is met, and a long put after the downside limit is met.
What a... |
There is no standard method and many techniques can work well, including simple time series z-scoring. I'm many cases, I would recommend using the simpler approaches unless the added complexity can be justified.
However, the challenge with all techniques is the proper calibration, which is very much context sensi... |
Which CEP platform is most popular for trading systems? |
There is [a large body of literature][1] on the "success" of the application of genetic algorithm in the areas of financial market.
But I just feel uncomfortable when reading those literature. Genetic algorithms can over-fit the existing data ( with so many combination, it is easy to come up with a few rules that w... |
How Fruitful is Genetic Algorithm When Applied to Financial Market? |
Finance is drowning in a deluge of data. Humans are not very good at comprehending large amounts of data. One way out may be visualization.
Traditional ways of visualizing patterns, complexities and contexts are of course charts and for derivatives e.g. payoff diagrams, a more modern approach are [heat maps][1].
... |
Drawbacks & Caveats of using (N)Esper for ESP/CEP in trading systems? |
From http://www.quantnet.com/forum/threads/master-list-of-free-financial-data.1036/
- Historical FX Rates: <http://oanda.com/convert/fxhistory>
- Historical Stock Prices: <http://finance.yahoo.com/q/hp?s=yhoo>
- Recent LIBOR rates: <http://www.bba.org.uk/public/libor/>
- Some Implied Volatilities: <http://www.ivo... |
A [commentary attributed to Matt Rothman][1] had recently (in the past six months) been making the rounds of the internet echo chamber claims that claimed "There are no idiosyncratic returns available in the market". How would one turn this into a proper statistical hypothesis test?
As part of the commentary, a pl... |
How would you test the hypothesis "There are no idiosyncratic returns available in the market"? |
Here are a few recent examples:
http://stackoverflow.com/questions/4951193/find-largest-5-value-less-than-1-lowest-5-values
http://tables2graphs.com/doku.php?id=04_regression_coefficients#figure_6
http://tables2graphs.com/doku.php?id=03_descriptive_statistics#figure_5
http://chartporn.org/category/innovativ... |
In my firm we are beginning a new OMS (Order Management System) project and there is a debate whether we use Quickfix or we go for a professional fix engine? Because there is a common doubt that QuickFix is not enough fast and obviously we will not get any technical support. I heard that in BOVESPA it has been used fo... |
How fast is QuickFix ? |
How fast do you need? Have you measured round-trip times from the exchange and determined that you need a better solution?
I wouldn't call QuickFix *quick*; it has a lot of unnecessary overhead (temporary objects, temporary strings, nested functions, etc). But I've used it in projects before without too much trouble... |
I figure this perhaps the best place to ask this.
What technology stack is used in Bloomberg? I'm C++ developer, and I definitely prefer C++ to C, so I don't want to touch C unless it's strictly necessary. I've had my fair share of maintaining legacy systems, and it's not something I enjoy. From my reading it see... |
But what you see from the outside is just an interface, no?
I also recall an NVidia press release from 1 1/2 years ago when [Bloomberg switched to a bunch of GPUs for simulation-based pricing models](http://www.wallstreetandtech.com/it-infrastructure/showArticle.jhtml?articleID=220200055). |
But what you see from the outside is just an interface, no? And C imterfaces are **much** easier to handle, e.g. from Excel and other common tools. Almost a decade ago I wrote a (firm-internal, unreleased) interface from R to Bloomberg, that only worked because the C interface permitting me to use gcc / MinGW (as requ... |
What is the market standard for pricing quanto CDS (i.e. CDS which pays the contingent leg in different currency than the pricing leg)? |
But what you see from the outside is just an interface, no? And C interfaces are **much** easier to handle, e.g. from Excel and other common tools. Almost a decade ago I wrote a (firm-internal, unreleased) interface from R to Bloomberg, that only worked because the C interface permitting me to use gcc / MinGW (as requi... |
A [commentary attributed to Matt Rothman][1] had recently (in the past six months) been making the rounds of the internet echo chamber claimed "There are no idiosyncratic returns available in the market". How would one turn this into a proper statistical hypothesis test?
As part of the commentary, a plot of 'impli... |
What is a good place to acquire cheap/free historical quarterly filings data for US Companies? Specifically, I'm interested in the consolidated financial statements. The data should be well-structured and machine-readable (csv,tsv,json, etc.)
I'm familiar with CompuStat and CRSP but both are well out of my price ra... |
Free/cheap source of structured historical quarterly filings? |
Given a historical distribution of weekly prices and price changes for a stock, how can I estimate the the option premium for a nearly at-the-money (ATM) option, say with an expiration date 3 months in the future? We could also have the stock's historical beta and the current option premium if desired. To keep things... |
Simple model for option premium (for covered call simulation)? |
I am working in the area of probability theory and for a case study I would like to make some calculations in finance. Since I am developing theory for the discrete time, I am interested in models for the stock price in the discrete time. As I remember GARCH is a good one. Could you advise me something else?
It will... |
It seems to me that you are making the problem more complicated than it is in fact. What is the process $X_t$ and what is the motivation to find this expectation as a path integral? If you would like to find the value of integral on the trajectory of the diffusion process I think it is undefined. |
Say you have an Exponential Moving Average being continuously updated over a time series using 1 second long time periods. What should happen if there is no value for the next second, e.g. there were no price updates? Should the function decay in some way since there are no new values? Is there a correct or accepted wa... |
Say for a stock I want to do a simulation using 30 days of historical returns, and maybe generate 1000 paths, with 2 days as the forecast horizon.
Say I have 100 of these 5 day blocks used for generating the distribution, matched with the actual values of the 2 days I am interested in forecasting. How would I estimat... |
For a single underlying with vanilla puts/calls traded on it at several maturities, how does one calculate the implied liquidity of for a given contract/position? |
As of right now, the price of Brent Crude is $111.59/bbl and the price of WTI Crude is $98.36/bbl. I'm well aware that futures markets don't set the spot price for oil, but actual supply/demand does. And, that I don't have access to enough refinery/supplier data to figure out the supply/demand balance for WTI, or t... |
I am wondering how UBS hedges its exposure to its ETN XVIX. Unless I am grossly overestimating the trading costs, executing the strategy they describe in their prospectus with futures would be quite expensive, especially since they would incur some slippage (back months are not super liquid).
Any ideas on how they d... |
How does UBS hedge its exposure to XVIX ETN? |
As of right now, the price of Brent Crude is $\$$111.59/bbl and the price of WTI Crude is $\$$98.36/bbl. I'm well aware that futures markets don't set the spot price for oil, but actual supply/demand does. And, that I don't have access to enough refinery/supplier data to figure out the supply/demand balance for WTI... |
Recently I have been looking at pair trading strategies from a cointegration perspective, as described in chapter 5 of Carol Alexander's [Market Risk Analysis volume 2][1]. As most quantitative finance texts the science is well explained, but the description of applications is a bit on the light side.
Theoretically ... |
How do I incorporate time-variability in a pair trading framework? |
Recently I have been looking at pair trading strategies from a cointegration perspective, as described in chapter 5 of Carol Alexander's [Market Risk Analysis volume 2][1]. As most quantitative finance texts the science is well explained, but the description of applications is a bit on the light side.
Theoretically ... |
Recently I have been looking at pair trading strategies from a cointegration perspective, as described in chapter 5 of Carol Alexander's [Market Risk Analysis volume 2][1]. As most quantitative finance texts the science is well explained, but the description of applications is a bit on the light side.
Theoretically ... |
A convertible bond denominated in USD is issued by an Indian company (currency INR). The bond will be repaid in USD and if converted into Shares, the conversion price will be based on a pre-determined fixed USD INR rate. While valuing the option embedded in the bond, should we use USD risk free rate or INR risk free ra... |
On a security by security basis, I want to be able to quantify the level of HFT activity (and later institutional & retail activity). Is it higher than it normally is? How much so?
What would you say is the best way to measure? Number of quotes? # of quotes relative to volume? Relative to # of trades? Spread volatil... |
What is the most effective way of determining & measuring the level of HFT activity in a stock in (close to) real time? |
The answers to [this question on forecast assessment][1] suggest that if the sequence of residuals from the forecast are not properly independent, then the model is missing something and further changes should be made to remove the correlation.
That does make sense to me and it suggests that we should be able to do ... |
Why are GARCH models used to forecast volatility if residuals are often correlated? |
I think I've found an arbitrage opportunity. Right now, I can do this
(first via CME, second via SAXO) :
BUY CADUSD AMERICAN PUT 10200 STRIKE EXPIRING 16 MAR 2011 FOR 53 pips USD
SELL USDCAD EUROPEAN CALL 0.9805 STRIKE EXPIRING 16 MAR 2011 FOR 68 pips CAD
The first trade costs me 530 USD, the second one gi... |
USDCAD options vs CADUSD options arbitrage? |
DSP and Time Series analysis are the same thing. DSP uses enginering "lingo" and time series analysis uses mathematical "lingo" but the models are quite simular. Ehler's cyber cycle indicator is an ARMA(3,2). Ehlers has some unique ideas: What is the meaning of the phase of a random variable? |
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