Questions tagged [quantitative-finance]

Quantitative finance is the discipline of using mathematical models in order to help make investment decisions. On-topic questions will only approach this topic from a programming point of view, and include a language tag such as r, matlab, python, etc. Theoretical or purely mathematical questions are not on-topic at Stack Overflow.

Quantitative Finance is a set of methods of approaching finance in a principally technical, quantitatively supported manner.

This represents a wide-reaching suite of mathematical approaches to many subject of interest in a domain of finance, that not always had such comfort of purely quantitative methods of work.

Application domains of the state-of-art quantitative finance methods start from time series data analysis, cover technical analysis ( TA ), modeling both market risk & approaches to risk management techniques, create support for a detailed financial products' engineering, introduce advanced applied statistics into predictive analyses, into risk adjusted portfolio management decisions and as such also include all recent promoted flavours of quantitative tools like machine learning, in it's narrow sense of supervised learning methods, various stochastic methods for options pricing models, Hidden Markov models ( beneficial by introducing an innovative view on a set of indirect, hidden, factors involved in a model of an externally observable process ), Artificial Intelligence tools ( somewhat over-hyped ) in it's very narrow sense, with a common use of artificial neural networks ( ANNs ), recurrent NNs, more recently deep-learning NN, with a few attempts to inject even LSTM NNs and some more sophisticated types of automated ( unknown ) model creation strategies.

If your question concerns theoretical topics on quantitative finance or practical topics which are not about implementation you might want to ask the question on quant.stackexchange. In particular, this tag should never be used a alone but always in combination with a specific programming language (like for example , , , ).

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Why do hedge funds and financial services often use OCaml?

Speaking to a number of quants / hedgies, I came to the conclusion that a large number of them seem to be using either a homebrew language or OCaml for many tasks. What many of them couldn't answer was why. I can certainly understand why they…
oneAday
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How to calculate the trendline for stock price

I am trying to calculate and draw the trendlines for stock prices. I did some searches and thought for a whole day, there is no a really good idea on how to do. I have daily price history and want to find the cross point between trendline and price…
Carl Zheng
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FIX message delimiter

I am relatively new to FIX-Protocol. The delimiter for a FIX-Protocol message sometimes show ^ and other times |. Wikipedia for FIX-Protocol says [SOH] ( for hex 0x01 ) being the character. Please explain the meaning of the…
Ashley
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Calculate max draw down with a vectorized solution in python

Maximum Drawdown is a common risk metric used in quantitative finance to assess the largest negative return that has been experienced. Recently, I became impatient with the time to calculate max drawdown using my looped approach. def…
piRSquared
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Is there a general manual for the R packages, "quantstrat","blotter","FinancialInstrument" etc. other than the function help files and demos?

I'd like to learn how to use these packages, but I cannot seem to find any vignettes that offer something other than extensive code snippets. I'd like to learn about how they all fit together and something akin to a "walk through". I've found some…
n.e.w
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How to fetch the ETF's data into a Google Spreadsheet?

Following this post, where I had listed some of the interesting ETF1s I had found on some of the relevant forums, I received some valuable criticism. Now I want to use a Google spreadsheet to get the updated information of those ETFs in one place,…
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Fast Implied Volatility Calculation in Python

I am looking for a library which i can use for faster way to calculate implied volatility in python. I have options data about 1+ million rows for which i want to calculate implied volatility. what would be the fastest way i can calculate IV's. I…
Neetesh
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Is there any elegant way to define a dataframe with column of dtype array?

I want to process stock level-2 data in pandas. Suppose there are four kinds data in each row for simplicity: millis: timestamp, int64 last_price: the last trade price, float64, ask_queue: the volume of ask side, a fixed size (200) array of…
Eastsun
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Maximum Active Drawdown in python

I recently asked a question about calculating maximum drawdown where Alexander gave a very succinct and efficient way of calculating it with DataFrame methods in pandas. I wanted to follow up by asking how others are calculating maximum active…
piRSquared
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Finance data on alphavantage

I was trying to get JSON for a company by calling API of alphavantage .For some company data is coming and for some company, it's failing. Company for which data are coming - TCS,INFY,MSFT Company for which data are failing -…
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Where can I find high resolution financial data

I'm writing some Machine Learning software for equity and would like to find some tick data or at least 3 or 5 minute data. I would like to have a year or two for testing. I don't really care about what exchange the data is from, as long as its…
Martin Kristiansen
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How to create a composite strategy, using multiple instruments, in Pyalgotrade?

I'm using pyalgotrade for a trading strategy where I want to use multiple tickers in a list. The way it is set up now, it runs the strategy for each individual ticker in the list, but what I want it to do is to run them all as one, composite…
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Trailing Stop Loss on Pandas dataframe

I am doing some backtesting for some trading strategies on the stock market on a pandas dataframe and I would like to set a trailing stop loss of 1% away from the entered price. If the stock price went up by let's say 5%, the trailing stop loss will…
atjw94
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Is there a source to find a list of symbols?

I'm using the data of alpha vantage for a stock market analysis site. But I cannot find a complete list of symbols available ( to be used in a selection drop down ).
Christian
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Is there something in Python similar to quantstrat in R?

Is there something in Python similar to quantstrat in R?
Terence Ng
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