Questions tagged [algorithm]

Question 1

I am wondering how it work in big firms like Citadel Securities in market-making and HFT teams. You have a lot of different pods, and the number of markets where you can operate is small. Hence ...

Question 2

I receive live data stream ( ask and bid data ) from a particular data source, I then proceed to save this data in the TimescaleDB and later on process it for both live and historical testing ( ...

Question 3

As my title says, is there any data provider for Forex market that provides open,close,high and low of the last closed candle data.Most of the time I need 15Min candle data. I tested twelvedata and ...

Question 4

Do you know if there is an algorithm for identifying NDF FX trades as buy or sell? I am working on a project with data from the DTCC dashboard.

Question 5

I am taking a course that detailed that input data into neural networks should be at least weakly predictive and weakly stationary (stable mean). Does this principle apply to other ML models like tree-...

Question 6

To my understanding, Ta-Lib does not detect technical patterns such as Head and Shoulder, Flag, Wedge or Double Top. Is there any automatic way to detect such technical patterns?

Question 7

I am trying to implement the Levenberg-Marquardt algorithm similarly to Cui et al. Full and fast calibration of the Heston stochastic volatility model, 2017 here (although using a different method to ...

Question 8

For a pairs trade, when calculating the zscore should I include the intercept point in the calculation: ...

Question 9

Applicability of AAD(Adjoint automatic differentiation) to an indifferentiable function at some point. I recently learned about Adjoint automatic differentiation(AAD) while studying Monte Carlo ...

Question 10

I'm reading Shreve's Stochastic Calculus for Finance II. On page 191, Exercise 4.6, we are given the problem Exercise 4.6. Let $S(t)=S(0)\exp\Big \{\sigma W(t)+(\alpha-\frac{1}{2}\sigma^2)t\Big\}$ be ...

Question 11

Forgive me for any violations of posting rules, I’m new to this forum. I’ve written an algorithm that checks the order book for the price point that would completely fill my entire available balance, ...

Question 12

What are some examples of applying spectral clustering to financial times series data or other areas of finance? Why spectral clustering was used for each application rather than other types of ...

Question 13

Good day. I am currently writing a term paper on the creation of trading algorithms in the foreign exchange market (by an algorithm I mean the one that follows the alpha model, for example, signals ...

Question 14

I am working with the rugarch package which includes a solver.control argument. I am using the solnp solver. I can pass values for tol and delta. In the rsolnp the authors suggest that the control ...

Question 15

I googled and I am unable to find any formular . Can some one give me the formula to calculate IVP , based on sets of IV's given. Thanks.

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Questions tagged [algorithm]

Concurrent algo

What would be a good way of smoothing live/real time data or recognizing trends within live data consistently?

Forex data API endpoint that provide last closed candle's HLOC

Algorithm for Identifying NDF FX Trades as Buy or Sell

Weak Stationarity for Neural Network Input?

Automatic detection of technical patterns such as Head and Shoulder, Flag, Wedge or Double Top

Calibrating the Heston with the Levenberg-Marquardt algorithm

Pairs trading intercept [duplicate]

Applicability of AAD(Adjoint automatic differentiation) to an indifferentiable function at some point

What does it mean to "compute" an Itô integral?

How to Manage Large Orders

Spectral clustering in finance

The quality of an trading algorithm

Configuration of control parameters tol and delta in the rsolnp package

What is the formula to calculate Implied Volatility Percentile [closed]

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