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1500 questions
60
votes
13 answers
Switching from C++ to R - limitations/applications
I've only recently begun exploring and learning R (especially since Dirk recommended RStudio and a lot of people in here speak highly of R). I'm rather C(++) oriented, so it got me thinking - what are the limitations of R, in particular in terms of…
Karol J. Piczak
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59
votes
9 answers
How useful is the genetic algorithm for financial market forecasting?
There is a large body of literature on the "success" of the application of evolutionary algorithms in general, and the genetic algorithm in particular, to the financial markets.
However, I feel uncomfortable whenever reading this literature. Genetic…
Graviton
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59
votes
14 answers
Where to get long time historical intraday data?
I am looking for long time historical intraday day data on the S&P500 composite for a time horizon like 10 years with a - for example 10-minutes tick - or prices for call/put options on the S&P500 index itself.
What I tried so far:
I checked…
user190080
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57
votes
5 answers
Integral of Brownian motion w.r.t. time
Let
$$X_t = \int_0^t W_s \,\mathrm d s$$
where $W_s$ is our usual Brownian motion. My questions are the following:
Expectation?
Variance?
Is it a martingale?
Is it an Ito process or a Riemann integral?
Any reference for practicing tricky problems…
Toofreak
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55
votes
7 answers
Paradoxes in quantitative finance
Everyone seems to agree that the option prices predicted by the Black-Merton-Scholes model are inconsistent with what is observed in reality. Still, many people rely on the model by using "the wrong number in the wrong formula to get the right…
olaker
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53
votes
8 answers
Time-series similarity measures
Suppose I have two time series $X$ and $Y$ of stock prices. How do I measure the "similarity" of $X$ and $Y$?
(I'm being deliberately vague as I don't have a particular application, and I'm curious about different approaches in general. But I guess…
user672
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52
votes
6 answers
Which approach dominates? Mathematical modeling or data mining?
According to my current understanding, there is a clear difference between data mining and mathematical modeling.
Data mining methods treat systems (e.g., financial markets) as a "black box". The focus is on the observed variables (e.g., stock…
Roman
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50
votes
3 answers
What papers have progressed the field of quantitative finance in recent years (post 2000)?
My question is pretty simple: what papers do you feel are foundational to quantitative finance? I'm compiling a personal reading list already, drawn from Wilmott forums, papers referenced in Derivatives, and other sources.
However, the body of…
Andrew Christianson
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50
votes
4 answers
How much data is needed to validate a short-horizon trading strategy?
Suppose one has an idea for a short-horizon trading strategy, which we will define as having an average holding period of under 1 week and a required latency between signal calculation and execution of under 1 minute. This category includes much…
Tal Fishman
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50
votes
12 answers
Why is C++ still a very popular language in quantitative finance?
I had to ask this question after reading the answers to What programming languages are most commonly used in quantitative finance? I understand that C++ programs can be optimized pretty well and are faster than anything else. But in this era, the…
Tae-Sung Shin
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49
votes
9 answers
Option pricing before Black-Scholes
According to the Wikipedia article,
Contracts similar to options are believed to have been used since ancient times.
In London, puts and "refusals" (calls) first became well-known trading instruments in the 1690s during the reign of William and…
olaker
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49
votes
5 answers
How do I graphically represent the evolution of a covariance matrix over time?
I am working with a set of covariance matrices evaluated at various points in time over some history. Each covariance matrix is $N\times N$ for $N$ financial time-series over $T$ periods. I would like to explore some of the properties of this…
Tal Fishman
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49
votes
3 answers
How can we reverse engineer a market-making algorithm (HFT)?
Consider a market participant $A$ who is mechanically following an automated liquidity providing algorithm (HFT) in a number of large cap stocks on a specific exchange.
Assume furthermore that we are able to observe all orders placed by $A$ and that…
knorv
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49
votes
8 answers
How does the "risk-neutral pricing framework" work?
I've struggled for a long time to understand this - What is this? And how does it affect you?
Yes I mean risk neutral pricing - Wilmott Forums was not clear about that.
Jack Kada
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48
votes
9 answers
Are there any new Option pricing models?
Back in the mid 90's I used the Black-Scholes Model and the Cox-Ross-Rubenstein (Binomial) Model's to price Options. That was nearly 15 years ago and I was wondering if there are any new models being used to price Options?
Piers Myers
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