Quantitative Finance Weekly Newsletter - Thursday, December 31, 2015

Quantitative Finance newsletter

Top new questions this week: Is there a website that lists replication code of financial papers? There are lot of questions on this website related to the replication of the empirical part of financial papers. I noticed that some (honest) authors provide on their personal website some ... r research matlab codes ox   asked by Malick 7 votes answered by volcompt 5 votes Expectation over Markov Process and discrete Ito integral (discrete stochastic calculus) I am doing a research on communication protocol design. A file of $n$ blocks is transferred in several rounds and $R_i$ denotes the number of blocks received in the $i$-th round. The sender sends ... stochastic-processes stochastic-calculus   asked by robit 5 votes What time series database can be used with Python and Pandas? I'm looking for a time series database that can be easily used with Python and Pandas objects such as DataFrame, Panel... But these objects will always contains time series. Ideally I'm looking for ... time-series python tick-data database   asked by Femto Trader 5 votes Reverse Repos as a means to adjust interest rates How does the NY Fed's trading desk use this process as a tool to adjust bond prices? interest-rates bond-yields   asked by Jon 4 votes answered by Alex C 4 votes Nasdaq trading under the scenes: market makers, ECNs, brokers. Who buys from and sells to whom? U. S. Securities and Exchange Commission (SEC) defines market maker as: "A market maker is a firm that stands ready to buy and sell a particular stock on a regular and continuous basis at a publicly ... equities nasdaq broker   asked by Kristijonas Lukas Bukauskas 4 votes answered by LazyCat 1 vote Why don't real-world probabilities affect the price of a call in a 1-step binomial model? I was a bit hesitant to post this question because it seems so basic...but I wasn't able to figure it out on my own. Say we setup a one-step binomial tree with $S_0=100$, $S_u=110$ and $S_d=90$, ... options binomial-tree   asked by Karim L 3 votes answered by SRKX 3 votes Estimating factor returns with linearly dependent loadings Given an $n\times 1$ vector of asset returns $r$, and a $n\times k$ matrix of factor loadings $X$, we can express the asset returns in terms of as-yet-unknown factors $f$ using $$ r = Xf + \epsilon ... equities factor-models factor-loading   asked by Chris Taylor 2 votes Greatest hits from previous weeks: 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? python   asked by Terence Ng 16 votes answered by J. Morris 11 votes 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 ... r development   asked by Karol Piczak 42 votes answered by Johann Hibschman 20 votes Can you answer these? Augmented Dickey-Fuller Test/ Unit Root test on multiple time series dataframe in R I have a dataset/dataframe in which I have calculated the daily log returns of five thousand companies and these companies are as column as well. I want carry out ADF test on this dataframe. I have ... time-series equities r multivariate   asked by Aquarius 1 vote Daily Hurst Exponent I am trying to estimate daily Hurst exponent values of a stock returns (e.g. for each day to have also Hurst exponent - something like that: ... equities hurst-exponent   asked by Marcus 1 vote Skewed Generalized Error Distribution's (SGED) pdf I want to use the SGED distribution of Theodossiou for GARCH estimation, however, I am struggling to understand which is the correct pdf function of the distribution. Let me just say that the rugarch ... r garch matlab estimation distribution   asked by Masher 1 vote

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