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1500 questions
48
votes
6 answers
A simple formula for calculating implied volatility?
We all know if you back out of the Black Scholes option pricing model you can derive what the option is "implying" about the underlyings future expected volatility.
Is there a simple, closed form, formula deriving Implied Volatility (IV)? If so can…
jessica
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48
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4 answers
What is the best way to "fix" a covariance matrix that is not positive semi-definite?
I have a sample covariance matrix of S&P 500 security returns where the smallest k-th eigenvalues are negative and quite small (reflecting noise and some high correlations in the matrix).
I am performing some operations on the covariance matrix and…
Ram Ahluwalia
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47
votes
14 answers
Except Zipline, are there any other Pythonic algorithmic trading library I can choose?
Except Zipline, are there any other Pythonic algorithmic trading library I can choose? Especially, for backtesting?
Update: Since Quantopian closed, there are some Zipline forks…
Terence Ng
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47
votes
16 answers
Why Drifts are not in the Black Scholes Formula
This question has puzzled me for a while.
We all know geometric brownian motions have drifts $\mu$:
$dS / S = \mu dt + \sigma dW$
and different stocks have different drifts of $\mu$. Why would the drifts go away in Black Scholes? Intuitively,…
CuriousMind
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47
votes
13 answers
Are there any good tools for back testing options strategies?
There are all kinds of tools for backtesting linear instruments (like stocks or stock indices). It is a completely different story when it comes to option strategies. Most of the tools used are bespoke software not publicly available. Part of the…
vonjd
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47
votes
5 answers
What are the key risks to the quantitative strategy development process?
Prompted in part by this question on data snooping, I would be interested to know:
What are the key risks that should be considered when developing a quantitative strategy based on: (a) historical data or (b) simulated data?
Shane
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47
votes
12 answers
Lévy alpha-stable distribution and modelling of stock prices.
Since Mandelbrot, Fama and others have performed seminal work on the topic, it has been suspected that stock price fluctuations can be more appropriately modeled using Lévy alpha-stable distrbutions other than the normal distribution law. Yet, the…
Raskolnikov
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45
votes
14 answers
Central Index Key (CIK) of all traded stocks
Is there a way by which I can get a list of CIK of all registered stocks at the SEC?
Jean
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45
votes
9 answers
How 'High' is the frequency in HFT?
How many trades per second are we talking about?
What kind of strategies are used in this time frame?
Can the small guy play the game?
Terco
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45
votes
12 answers
Why does the minimum variance portfolio provide good returns?
I've been a researching minimum variance portfolios (from this link) and find that by building MVPs adding constraints on portfolio weights and a few other tweaks to the methods outlined I get generally positive returns over a six-month to one year…
nxstock-trader
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45
votes
8 answers
Recommendations for books to understand the math in quantitative finance papers?
Can anyone recommend books that explain the math used in quantitative finance academic papers?
Contango
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44
votes
6 answers
Machine Learning vs Regression and/or Why still use the latter?
I come from a different field (Machine learning/AI/data science), but aim to ask a philosophical question with the utmost respect:
Why do quantitative financial analysts (analysts/traders/etc.) prefer (or at least seem) traditional statistical…
Kirk Hadley
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44
votes
9 answers
What tools exist for order book analysis and visualization?
What tools exist for order book analysis and visualization? In particular, if one wanted to examine a limit order book and understand how it changes throughout the day where would you turn for software help? I've not found anything off the shelf,…
Louis Marascio
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44
votes
15 answers
What open source trading platform are available
I would like to compile a list of open source trading platforms. Something that would give an overview and comparison of different architectures and approaches.
Datageek
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43
votes
8 answers
What broker/feed/APIsetup allows for recording the most accurate data (cheaply)?
I'm currently using IB's Java API and getting feeds through them. However the real-time feed is updated only every 250ms and the historical feed only every second.
I'm primarily looking for ES data and other index futures and ETFs. I'm not looking…
a113nw
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