<we><edit> <!-- questions and answers -->
matlab
american-options
fixed-income
simulations
monte-carlo
python
covariance
quantitative
time-series
equities
interest-rate-swap
trading
reference-request
cds
statistics
var
derivatives
estimation
finance
bloomberg
cointegration
currency
sharpe-ratio
itos-lemma
modern-portfolio-theory
r
Automated trading based on visually identified trend lines
programming
automated-trading
algorithmic-trading
visualization
Why there is a Deviation on my RSI indicator in comparison from one of the other Trading Markets
programming
trading
indicator
strategy
Trouble calculating the Dow Jones Industrial Average
equities
programming
index
calculation
How to get Financial Information of Stocks in R
equities
programming
finance
quantmod
Heston parameter estimation using maximum likelihood
programming
heston
parameter-estimation
mle
Getting data of sub-sector indexes of an S&P 500 index sector using QuantMod in R
time-series
programming
spx
equity-curve
Backtest with rolling volatility in R
volatility
programming
Collect all stock returns in one single matrix using quantmod in R
time-series
programming
quantmod
Modelling interest rate
interest-rates
programming
stochastic-processes
finance
financial-engineering
Calculating Discount Margin on a floating rate bond using QuantLib
programming
quantlib
forward-rate
floating-rate
discount-factor-curve
How to backtest strategy in portfolio of stocks using SIT R?
r
backtesting
ARMA+GARCH prediction with package rugarch (R)
time-series
r
garch
prediction
arma
time step choice impact in Vasicek model simulations
interest-rates
programming
monte-carlo
simulations
vasicek
How to download bloomberg intraday data efficiently with API
equities
fixed-income
programming
finance
bloomberg
Implementation of one-factor Hull-White short interest rate model
interest-rates
programming
hullwhite
How to programmatically find hump like candle series?
volatility
programming
algorithmic-trading
Can you give some codes (matlab or R)of the affine jump-Diffusion Stochastic Volatility (SVCJ ) parameter estimation by option data
options
programming
stochastic-volatility
estimation
Fitting an explicit copula in R
programming
copula
Trader Workstation on Ubuntu cannot be connected to via the API
programming
python
interactive-brokers
API for fundementals for NSE and BSE
equities
programming
PortfolioAnalytics: What is the training_period and rolling_window "type" in optimize.portfolio.rebalancing?
programming
portfolio-optimization
rebalancing
SVCJ (SVJJ) Duffie et. al Model implementation in Matlab
options
stochastic-calculus
stochastic-volatility
matlab
differential-equations
How to debug Example_1 of the Open Risk Engine (ORE) library?
programming
quantlib
VAR-aDCC full ARCH and GARCH parameter matrices in R
programming
garch
How to get list of all symbols in fred database?
r
quantmod
Issue with OLS Regression for Nelson Siegel Svensson parameters
fixed-income
programming
bond
Please advice free Java library for classical timeseries forecastiong
programming
forecasting
arima
library
Volatility Forecasting of VIX
volatility
programming
finance-mathematics
EGARCH fitting in R
programming
garch
How to perform batch-trading using Interactive Broker API?
programming
automated-trading
interactive-brokers
order-handling
Portfolio Optmization With Risk Aversion Parameter R
programming
portfolio-optimization
portfolio
talib.ATR or other ATR calculation
volatility
programming
python
Initial values for Heston Model calibration
monte-carlo
matlab
calibration
heston
How to simulate a path through its solution and conditional expectation / variance
interest-rates
programming
stochastic-processes
finance
numerical-methods
Unlabelled mid-price stock data
programming
python
high-frequency
machine-learning
R script for Leasts Square Monte Carlo. How to explain vol and mean?
option-pricing
programming
monte-carlo
american-options
Javascript calculating IRR using Newton method
programming
optimization
return
Coding Forecast using Sarima in Matlab
programming
forecasting
Calculating log returns using R
r
returns
PortfolioAnalytics R package - Error with the function "create.EfficientFrontier"
programming
portfolio-management
finance
bds with field in R returning error
programming
bloomberg
Open Source library for calculating exposures?
programming
simulations
exposure
library
Combining Quantitative data with fundamental data
programming
quantitative
machine-learning
fundamentals
how to obtain longer than ~650 ticks of historical data on Google Finance?
programming
market-data
google
Cause of difference in theoretical vs observed value of a (call) option under the Black-Scholes model?
option-pricing
black-scholes
programming
homework
Rest API to retrieve ISIN
programming
Symbols for DAX from Alpha Vantage
programming
exchange
Estimate intraday trading and $ volume
programming
trading
volume
Portfolio Optimization using Parametric Portfolio Policy Method in MATLAB
portfolio-optimization
matlab
Dividing H in the Hurst power law function to get the Hurst exponent?
time-series
programming
regression
hurst-exponent
Quasi Monte Carlo method and Heston model
programming
monte-carlo
heston
How to build an execution trading system with CQG API?
automated-trading
pairs-trading
programming
order-execution
Calibration of Heston version of CIR
interest-rates
programming
calibration
heston
What is the best/most reliable trading brokerage for data and trading via API in R?
programming
interactive-brokers
Creating a portfolio in R : good practices
programming
portfolio-management
portfolio
How to compute modified-CVaR in the PerformanceAnalytics package?
risk
r
programming
performanceanalytics
What would be a concise way to understand Dynamic Conditional Correlation
programming
correlation
Determining Hurst exponent of a Brownian motion
time-series
programming
brownian-motion
hurst-exponent
Calculating intraday returns from imperfect data in R
programming
returns
high-frequency
log-returns
intraday
Choosing the DoF for a t-copula when copulafit doesn't work
programming
risk
value-at-risk
copula
dimensions
3rd party API like IBPy for Interactive Brokers python API?
programming
python
algorithmic-trading
interactive-brokers
Pricing a double barrier option using Monte Carlo (C++ & Python code included)
options
programming
monte-carlo
pricing
barrier
How to detect stock split in price data using adjusted close price
equities
programming
price
split
Using the n-ahead function in R?
programming
garch
forecasting
Methods to generate multiple yield curves
interest-rates
programming
monte-carlo
risk-management
yield-curve
What's a good book to learn computational finance topics?
programming
continuous-time
How can I do a dynamic GARCH model using extended Kalman filter in R?
r
modeling
garch
dynamic
How to sample from a copula in matlab
programming
simulations
copula
calculating greeks using binomial tree c++ quantlib
option-pricing
programming
greeks
quantlib
Google Finance on MATLAB
programming
yahoofinance
google
artificial-intelligence
using database to scan trading signals as fast as possible
time-series
programming
quant-trading-strategies
high-frequency
database
Is F# used in trading systems?
programming
bloomberg api: how to handle the max 1000 requests limit
programming
bloomberg
commodities
Constructing a portfolio of stocks in Matlab with a specific constraint on weights
equities
programming
portfolio-optimization
asset-allocation
Seeking data source for index constituents and changes
programming
index
indexes
Tools/R-code to create gain/loss-asymmetry plots
r
software
stylized-facts
Place to get free live Forex quotes via API?
programming
data
fx
Trying to replicate the Beta of Yahoo in R but am getting an answer that is way off
programming
finance
beta
yahoofinance
Market Profiling open source packages or tools
programming
market
opensource
Force Index EMA calculation for stock indicator
equities
programming
finance-mathematics
What is the difference between the Interactive Brokers demo account and a personal paper trader account?
quant-trading-strategies
programming
interactive-brokers
Calculate day-to-day change in value of open position
programming
How to find a probability of VIX moving from one price to another
programming
finance-mathematics
forecasting
vix
R code for Ornstein-Uhlenbeck process
r
mean
mean-reversion
How to plot efficient frontiers per time period in one graph in R (or Excel or Matlab)?
programming
excel
(C++) Monte Carlo pricer for SABR model to test Hagan / Paulot formulas
programming
implied-volatility
monte-carlo
sabr
euler
Are CUSIP case sensitive
programming
Are ISIN case sensitive?
programming
Simple Compounding vs Continuous Compounding in return series
programming
returns
log-returns
compounding
When people say that C++ is overly complicated, does that also hold for its application in Quant finance?
programming
How to add controls (regressors) to GARCH model in R?
programming
garch
Interact with FX Connect
programming
fx
automated-trading
R Calculate future price range and plot the result
time-series
programming
statistics
probability
Modified duration and convexity of a bond in R
fixed-income
programming
bond
duration
convexity
Sharpe Ratio of ETFs in R
programming
sharpe-ratio
etf
csv
How to construct stock portfolios in R
programming
portfolio
R Mean Reversion Estimate on Funds
time-series
programming
mean-reversion
Getting monthly return using quantmod, if input ticker is a variable
programming
returns
quantmod
Drawdown PnL results
programming
performanceanalytics
Histogram on R Studio
programming