Questions tagged [algorithm]
The algorithm tag has no summary.
75 questions
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Where do i get the datasets to train a quant model? [duplicate]
Where do i get the datasets to train a quant model for options trading ? recently been trying this for hours
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56
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What are the best libraries [closed]
What are the best libraries for developing the Quant algorithms ??
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113
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Concurrent algo
I am wondering how it work in big firms like Citadel Securities in market-making and HFT teams.
You have a lot of different pods, and the number of markets where you can operate is small. Hence ...
2
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0
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350
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What would be a good way of smoothing live/real time data or recognizing trends within live data consistently?
I receive live data stream ( ask and bid data ) from a particular data source, I then proceed to save this data in the TimescaleDB and later on process it for both live and historical testing ( ...
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1
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91
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Forex data API endpoint that provide last closed candle's HLOC
As my title says, is there any data provider for Forex market that provides open,close,high and low of the last closed candle data.Most of the time I need 15Min candle data. I tested twelvedata and ...
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1
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135
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Algorithm for Identifying NDF FX Trades as Buy or Sell
Do you know if there is an algorithm for identifying NDF FX trades as buy or sell? I am working on a project with data from the DTCC dashboard.
2
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1
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167
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Weak Stationarity for Neural Network Input?
I am taking a course that detailed that input data into neural networks should be at least weakly predictive and weakly stationary (stable mean).
Does this principle apply to other ML models like tree-...
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126
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Automatic detection of technical patterns such as Head and Shoulder, Flag, Wedge or Double Top
To my understanding, Ta-Lib does not detect technical patterns such as Head and Shoulder, Flag, Wedge or Double Top.
Is there any automatic way to detect such technical patterns?
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391
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Calibrating the Heston with the Levenberg-Marquardt algorithm
I am trying to implement the Levenberg-Marquardt algorithm similarly to Cui et al. Full and fast calibration of the Heston stochastic volatility model, 2017 here (although using a different method to ...
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122
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Pairs trading intercept [duplicate]
For a pairs trade, when calculating the zscore should I include the intercept point in the calculation:
...
2
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1
answer
845
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Applicability of AAD(Adjoint automatic differentiation) to an indifferentiable function at some point
Applicability of AAD(Adjoint automatic differentiation) to an indifferentiable function at some point.
I recently learned about Adjoint automatic differentiation(AAD) while studying Monte Carlo ...
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377
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What does it mean to "compute" an Itô integral?
I'm reading Shreve's Stochastic Calculus for Finance II. On page 191, Exercise 4.6, we are given the problem
Exercise 4.6. Let $S(t)=S(0)\exp\Big \{\sigma W(t)+(\alpha-\frac{1}{2}\sigma^2)t\Big\}$ be ...
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How to Manage Large Orders
Forgive me for any violations of posting rules, I’m new to this forum.
I’ve written an algorithm that checks the order book for the price point that would completely fill my entire available balance, ...
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375
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Spectral clustering in finance
What are some examples of applying spectral clustering to financial times series data or other areas of finance? Why spectral clustering was used for each application rather than other types of ...
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317
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The quality of an trading algorithm
Good day. I am currently writing a term paper on the creation of trading algorithms in the foreign exchange market (by an algorithm I mean the one that follows the alpha model, for example, signals ...
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123
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Configuration of control parameters tol and delta in the rsolnp package
I am working with the rugarch package which includes a solver.control argument. I am using the solnp solver. I can pass values for tol and delta. In the rsolnp the authors suggest that the control ...
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What is the formula to calculate Implied Volatility Percentile [closed]
I googled and I am unable to find any formular . Can some one give me the formula to calculate IVP , based on sets of IV's given.
Thanks.
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Implied volatility is returning infinity
I am trying to calculate implied volatility using javascript , I have following code
...
- 143
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Custom normalisation from 0 to 20
I want to normalise from 0 to 20
For example right now I do normalisation with dynamic outlier exclusion , using median.
So it works fine for some values like below
...
- 143
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223
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How to backtest algorithms in parallel?
I want to backtest a large number of algorithms on the same dataset, one stock ticker. The algorithms are actually variations of one algorithm with various combinations of parameters, amounting to ...
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What are known algorithms to detect potential wrongdoings in funding distribution?
Imagine an entity with a money fund. This entity defines some budgets which it annually distributes to different applicants.
Example data set:
...
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Has there been studies done on changes in model performance post-crisis?
My question is, has there been done any studies on whether the efficiency and accuracy of pricing and risk-management of derivatives using different models and algorithms has changed after the ...
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CFD broker spread as indicator for stock market
Retail trader on stock market has very limited ability to accomodate huge amount of information, it leds me to idea of using behavioir of more informed players - CFD brokers - spread of their CFD ...
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Neural Networks for Estimation of Unmarked Private Asset Returns from Market Data
Let's assume it is March and my illiquid private assets portfolio is only 50% marked for 12/31, but I want to get the most accurate estimate of my final return for the quarter ended on 12/31.
What is ...
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1
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188
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What are common risk controls banks use when utilizing Trading Algorithims
Trying to understand what risk controls are used for algorithms that are classified as
a) execution algos such as twap, vwap
b) market making algos such as auto pricing, inventory management, auto ...
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What's the rationale behind having several orders on each each side for market makers
I've been browsing market making codebases and I've noticed most of them tend to create multiple orders on each side.
Originally I thought having orders on each side is an advanced approach but here'...
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Programmatically detect RSI divergence
How can I programmatically detect bullish and bearish RSI divergences?
A bullish divergence occurs when the underlying security makes a lower low and RSI forms a higher low. RSI does not confirm the ...
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Comparing account equity vs maintenance margin on large number of positions
Forex brokers will start liquidating your positions when your account's equity falls below the maintenance margin set by the broker.
...
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2
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1k
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Algorithm for calculating Capped Index weightings
I'm trying to build a Capped Index Fund of crypto currencies. As Investopedia explains, a "Capped index is an equity index that has a limit on the weight of any single security. Thus, a capped index ...
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383
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Genetic Algorithm - Portfolio Optimization / Index Tracking crossover process
i am currently doing a research on index tracking using Genetic Algorithm (replicating the index using a subset of the index members). This is a new topic to me.
I have been reading research paper on ...
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2
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3k
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Online algorithm for calculating EWMA at irregular intervals?
What is a fast online algorithm for calculating the EWMA (exponentially weighted moving average) of an input variable observed at irregular intervals?
I know the formula for when sampling at regular ...
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1
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179
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Literature on credit risk premia
I am looking for a comprehensive ressource describing known strategies of credit risk premia. Is there such kind of articles/books/websites?
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360
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Adjoint Algorithmic Differentiation: swap pricing
I have tried to implement an AAD routine to price call options using the Black-Scholes formula, but my greeks are not quite agreeing with the expected ones, so I have decided to start with something a ...
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How to (efficiently) calculate the maximum possible return of a perfect "crystal ball" investment strategy?
I am new to the world of investing, so please excuse the clumsy wording of the question... there is probably a better term for what I am looking for or maybe this is even a known/classic problem. If ...
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639
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How buying/selling pairs and entering/exiting trade works in pairs trading?
Lets say I have two stocks x and y and their corresponding stock price p(x) and p(y). consider HR as hedge ratio. Then we can calculate the spread using this equation.
$spread=p(x)-HR*p(y)$
from ...
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What is the pseudo code for a pairs trading strategy?
I am trying to learn about pairs trading strategy. I know that we have to long and short cointegrated assests simultaneously. But I still have some confusion in how the strategy works. I wrote the ...
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558
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Backtesting algorithms
Are there any books/papers/articles to describe how to develop a backtesting software? Something like backtest in quantopian website. How do they calculate the Cumulative performance?
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Thoughts on how quantitative hedge funds use machine learning to invest in the stock market (algorithms, examples of data, etc.)
I believe there are several post on this general topic but I thought I would start my own thread. I'm a former fundamental hedge fund investor (i.e. modeling a company's financials, forecasting the ...
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What are appropriate algorithms for forecasting contract schedules to maximize profit?
Imagine a situation where a business negotiates contracts for the maintenance of widgets it sells.
Situation
Customer buys 20 widgets.
Customer negotiates contract for widgets to be serviced/replaced....
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709
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Memory-efficient clustering algorithm for large time-series datasets
I have a simulation task at hand with ~1e6 time series to be clustered on the basis of statistical measures every few days in the simulation. Most clustering methods I'm aware of require an affinity ...
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176
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Efficient construction of binomial tree
The goal is to build a $n$ step binomial tree knowing the end nodal probabibilities $p_1, \dots, p_m$, which correspond to the time $T$ states $S_1, \dots, S_m$. We assume that all paths ending in the ...
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Which algorithms do robo-advisors use?
Some pundits claim that there is a revolution in portfolio management under way: The rise of the robots, a.k.a. robo-advisors. The most well known are Betterment.com, FutureAdvisor, Schwab Intelligent ...
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order routing for a fill [closed]
Lets assume a FIFO rules in futures, I buy a contract and id like to sell it. Should I estimate the possibilite of orders on opposite side would be filled first? If I watch new orders incoming at new ...
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Quantitative Finance Programming Language
Since couple of weeks, I started to do my research on quant finance. During this time, I could discover a lot of stuff and with that stuff, a lot of questions came to my mind. A lot of news or ...
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How to apply the "Knapsack Problem" to minimise a portfolio's volatility?
Suppose I have a stock selection universe of 100 stocks.
I have estimated the covariance matrix of this 100 stocks.
I would like to create an equaly-weighted basket of 5 stocks which has the lowest ...
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Multi-objective optimization: Where to find qualified examples for portfolio management?
I am looking for qualified examples of multi-objective optimization applied to a portfolio management situation in non-normal markets. Where can I find one or more examples of such a multi-objective ...
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Importance sampling for barrier option like pricing by Monte carlo
I would like to know some references regarding importance sampling algorithms for variance reduction of Monte Carlo barrier options pricing.
Please could someone help me leaving some references? If ...
- 618
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229
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Controlling portfolio concentration
I'm working with a heterogenous basket of instruments (in volatility terms). Risk parity allocation seems to be useful for the portfolio( * 1/Volatility).
However, there are times when the ...
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How do I determine what is a separate objective in a multi-objective portfolio optimization?
Is there a general rule to determining when to separate objectives when developing a multi-objective portfolio optimization? For example, one might start with a standard portfolio optimization of ...
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759
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What is the algorithm for the Fama-Bliss instrument selection?
Fama-Bliss discount bonds are defined through a straight forward calculation (Famma, Bliss 1987). For the purposes of a project I need to derive forward rates, yields &c. for periods not included ...
