Most Popular
1500 questions
324
votes
29 answers
What data sources are available online?
What sources of financial and economic data are available online? Which ones are free or cheap? What has your experience been like with these data sources?
John Smith
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144
votes
15 answers
How can I go about applying machine learning algorithms to stock markets?
I am not very sure, if this question fits in here.
I have recently begun, reading and learning about machine learning. Can someone throw some light onto how to go about it or rather can anyone share their experience and few basic pointers about how…
zubinmehta
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111
votes
17 answers
What concepts are the most dangerous ones in quantitative finance work?
There are a few things that form the common canon of education in (quantitative) finance, yet everybody knows they are not exactly true, useful, well-behaved, or empirically supported.
So here is the question: which is the single worst idea still…
Dirk Eddelbuettel
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110
votes
17 answers
Video lectures and presentations on quantitative finance
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…
olaker
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109
votes
7 answers
Where to download list of all common stocks traded on NYSE, NASDAQ and AMEX?
I have a very basic data question: how to get a list of all common stocks traded on NYSE, NASDAQ and AMEX? I would need to be able to get the approximate list of common stocks as is available in Telechart... I can not get this data at eoddata, for…
Samo
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96
votes
4 answers
What are the quantitative finance books that we should all have in our shelves?
Which books/papers should we all have in our shelves?
There are a couple that I use regularly such as:
An Introduction to Financial Option Valuation: Mathematics, Stochastics and Computation
Asset Pricing (Cochrane)
Which ones do you recommend…
phdstudent
- 8,306
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94
votes
14 answers
Innovative ways of visualizing financial data
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…
vonjd
- 27,437
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92
votes
10 answers
Building Financial Data Time Series Database from scratch
My company is starting a new initiative aimed at building a financial database from scratch.
We would be using it in these ways:
Time series analysis of: a company's financial data (ex: IBM's total fixed assets over time), aggregations (ex: total…
mountainclimber11
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- 9
82
votes
9 answers
Efficiently storing real-time intraday data in an application agnostic way
What would be the best approach to handle real-time intraday data storage?
For personal research I've always imported from flat files only into memory (historical EOD), so I don't have much experience with this. I'm currently working on a side…
Karol J. Piczak
- 2,716
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78
votes
8 answers
What is an efficient data structure to model order book?
What is an efficient data structure to model order book of prices and quantities to ensure:
constant look up
iteration in order of prices
retrieving best bid and ask in constant time
fast quantity updates
Sam Hayen
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75
votes
8 answers
Is R being replaced by Python at quant desks?
I know the title sounds a little extreme but I wonder whether R is phased out by a lot of quant desks at sell side banks as well as hedge funds in favor of Python. I get the impression that with improvements in Pandas, Numpy and other Python…
Matt Wolf
- 14,434
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68
votes
9 answers
What are some useful approximations to the Black-Scholes formula?
Let the Black-Scholes formula be defined as the function $f(S, X, T, r, v)$.
I'm curious about functions that are computationally simpler than the Black-Scholes that yields results that approximate $f$ for a given set of inputs $S, X, T, r, v$.
I…
knorv
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64
votes
8 answers
How to annualize Sharpe Ratio?
If I know the daily returns of my portfolio, I need to multiply the Sharpe Ratio by $\sqrt{252}$ to have it annualized.
I don't understand why that is.
David
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63
votes
21 answers
Is there any thing out there as a substitute for KDB?
thanks a lot for your discussions on the original post.
following your suggestions, let me re-phrase a bit :
kdb is known for its efficiency, and such efficiency comes at a terrible price. However, with computational power so cheap this days, there…
Peter Peter
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63
votes
6 answers
How are correlation and cointegration related?
In what ways (and under what circumstances) are correlation and cointegration related, if at all? One difference is that one usually thinks of correlation in terms of returns and cointegration in terms of price. Another issue is the different…
Joshua Ulrich
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