Quantitative finance collector
C++ Matlab VBA/Excel Java Mathematica R/Splus Net Code Site Other
Apr 16
The last decade we have seen a significant increase in the demand for high frequency data. This is explained for a large part by an increased attention of the academic world in algoritmic trading. Moreover, as lot of papers suggest, the profitability has been shifted to an intra-daily format. In this segment, speed is what counts. For instance, Scholtus and Van Dijk (2012) state that strategies that yield a positive return when they experience no delay, a delay of 200 milliseconds is enough to lower their performance significanlty. Given the competition on the market from large institutions, such as JP Morgan and Morgan Stanley, a private investor has always a competative disadvantage due to its lack of the required technology. Nevertheless, there is always room for improvement in the modelling of stochastic intra-daily processes such as the VWAP and daily volatility.

A key ingredient in these research areas is proper and clean (historical and up-to-date) intra-daily data. On the web there are various resources available, but most of them require a relatively high fee. Other solutions require the use of a specific software. However, there are ways to retrieve intra-daily data for free using Google Finance and also without any software.

Using Matlab


If you are familiar with MatLab you can use parts of the package 'Volume Weighted Average Price from Intra-Daily Data' by Semin Ibisevic referenced at Qoppa Investment Society. This package allows you to
(1) retrieve intra-daily stock price data from Google Finance; (2) calculate the VWAP at the end of each trading day; and (3) transform intra-daily data to a daily format. It is a relatively flexible function as it only requires the user to input the ticker symbol and the exchange where the security is listed on. Additionally, the user can define the frequency of the data (1 second or higher) and the period (for instance past 10 days).

Without software

Apr 13
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Assessing Models of Individual Equity Option Prices: This article investigates option models in the encompassing class of stochastic volatility, return-jumps, and volatility-jumps.

Good Strategy Bad Strategy: The Difference and Why It Matters: The author describes what strategy IS, and describes how to distinguish good from bad. It's the kind of stuff that's obvious - but only AFTER you've had it pointed it out to you.

Fallacies of Valuing Bonds With Near 0% Interest Rates: Investors hate inflation, but they love TIPS.
Apr 12
Bonds are the foundation of many investors' portfolio. The premise behind a bond is simple to understand: an investor wants safety and security rather than partial ownership in a company. The bond gives him that. Additionally, a bond gives an investor the ability to receive consistent income for the life of the contract. However, bonds are subject to a unique type of risk that stocks somewhat immune to.

Interest Rate Risk


Interest rate risk is the risk that a bondholder willingly accepts. It is the risk that the bond's yield will rise or fall above or below the current yield, causing the investor to lose money or to miss out on the opportunity to make more money than he is already making right now.

For example, if you purchased a bond for $5,000 at 8 percent interest, you would receive $400 per year in interest payments. However, if rates rise to 9 percent, your 8 percent bond still only pays $400. You do not get the 9 percent payment. You would have to sell your bond and buy the higher yielding bond. However, when you attempt to do this, you must discount the price of your bond to attract buyers since they will want a good deal on the price of the bond in exchange for the lower yield. The discount is proportionate to the interest you'll make on the new 9 percent bond. This makes it disadvantageous to own a bond at 8 percent when interest rates are rising.

However, when interest rates are falling, you want to be holding a higher yielding bond as long as you're committed to holding that bond to maturity. The problem is that if the bond matures during a low interest rate environment, you're forced to take a lower interest rate on your bond investment. As interest rates rise again, you'll have to face the consequence of rising rates while holding your low interest bond.
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Apr 10
Optimization Algorithms in Machine Learning: watch video on optimization algorithms.

What’s in a Surname? The Effects of Surname Initials on Academic Success: The reason you don't achieve academic success is because you have a bad surname.

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Apr 3
People willing to rent a house have been increasing dramatically since the breakout of financial crisis, which leads to the crash of house market. As a consequence, the demand for rental property has been rising, while on the contrary, the supply has not been rising in line with the demand.

Statistics shows that home prices have decreased significantly since 2005 while rent has increased. Therefore it may be a smarter choice to keep and rent your house instead of selling it. The following infographic tells you what you should consider before you rent your house out.


Via: YouCheckCredit
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