The tick-data provided in the .csv (comma separated values) file format sometimes may be a real problem to handle quickly, especially when the total size starts to count in hundreds of GB. If your goal is to extract a time-series with, say, hourly time resolution only, Read more -> Sources...

function [str]=bankformat(num) num2=floor(num*1000)/1000; r=int32(100*(num-floor(num))); str = num2str(num2); k=find(str == '.'); if(isempty(k)) str=[str,'.00']; end FIN = min(length(str),find(str == '...

A precious lesson I learned during my venture over programming an independent backtesting engine for new trading model was slippage. Simply speaking, slippage is a fraction of stock price which you need to assume as a deviation from the price you are willing to pay...

It is one of the most fundamental approaches in measuring the risk, but truly worth revising its calculation. Value-at-Risk (VaR...

When I read the book of Nassim Nicholas Taleb Black Swan my mind was captured by the beauty of extremely rare events and, concurrently, devastated by the message the book sent: the non-computability of the probability of the consequential rare events using scientific methods (as owed to the very...

Having in mind the upcoming series of articles on building a backtesting engine for algo traded portfolios, today I decided to drop a short post on a simulation of the portfolio realised profit and loss (P&L...

Forecasting future has always been a part of human untamed skill to posses. In an enjoyable Hollywood production of Next Nicolas Cage playing a character of Frank Cadillac has an ability to see the future just up to a few minutes ahead...

Working with financial time-series, especially in trading and its following analysis of data trends or so on, we wish to rebin (resample) our data into a new time-series which would provide us with some sort of a new information on Read More -> Sources...

I decided to take the data analysis on Black Swan and Extreme Loss Modeling to the next level and examine the time distribution of extreme losses across the entire S&P 500 universe of traded stocks...

Everybody would agree on one thing: the nervousness among traders may lead to massive sells of stocks, the avalanche of prices, and huge losses. We have witnessed this sort of behaviour many times...

There is an old saying Be careful what you wish for. Many quants and traders wished for a long time for a better quality of publicly available data. It wasn’t an easy task to accomplish but with a minimum of effort, it has become possible to get all what you truly dreamt of...

The risk and return are the two most significant quantities investigated within the investment performance. We expect the return to be highest at the minimum risk...

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Do you remember my post on Get the Data of Fund Performance directly into Excel utilizing VBA and Google? If not, have a look as this time we will do the same but in Python...

Regardless of who you are, either an algo trader hidden in the wilderness of Alaska or an active portfolio manager in a large financial institution in São Paulo, your investments are the subject to sudden and undesired movements in the markets. There is one fear...

Forecasting risk in algorithmic stock trading is of paramount importance for everyone. You should always look for the ways how to detect sudden price changes and take immediate actions to protect your investments...

After a longer while, QuantAtRisk is back to business. As an algo trader I have been always tempted to test a gap-on-open trading strategy. There were various reasons standing behind it but the most popular one was always omni-discussed: good/bad news on the stock. And what...

Some quant problems require an intensive work with mathematical (time-)series given initial conditions. In this short lesson on Python, let’s consider the following problem and solve it analytically and with aid of Python...

One of the most devastating feelings that may hit you, and I mean it!, hit you hard – is the feeling of finding out that your job application has been turned down. Something went wrong and you don’t know what was it...

Studying a new programming language is an adventurous journey. It takes time in case of Python. Even for me. Not every concept is easy to grasp and testing a piece of code with its endless modifications may take a longer while...