SERVING THE QUANTITATIVE FINANCE COMMUNITY

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by Rufus
June 30th, 2017, 12:55 pm
Forum: Trading Forum
Topic: Best UK broker for API access to futures, etfs?
Replies: 7
Views: 8401

Best UK broker for API access to futures, etfs?

Does anyone have any recommendation for the best broker to use for systematically trading futures (stock, interest rate, fx), ETFs on Europe, North America, Tokyo, Hong Kong, Singapore exchanges? Criteria: 1. Costs (minimum account, transaction costs, monthly fees) 2. API - preferably python 3. Ease...
by Rufus
May 22nd, 2015, 10:35 am
Forum: Book And Research Paper Forum
Topic: Entry level book on economics ?
Replies: 8
Views: 4412

Entry level book on economics ?

Freakonomics is good but is mainly a set of Econometric anecdotes. For theory Paul Krugman - Economics is a good introduction to macro/micro economics and pretty comprehensive. I think there is a new version out - but Amazon has it has not available yet.
by Rufus
December 18th, 2013, 1:42 pm
Forum: Numerical Methods Forum
Topic: Black-Litterman optimization doesn't work
Replies: 2
Views: 6980

Black-Litterman optimization doesn't work

<t>I think once you have calculated the equilibrium portfolio you then apply the B-L formula with your view matrices (P & Q) to get the adjusted portfolio weights then solve the unconstrained optimisation problem [$]w = ( \lambda \Sigma)^{-1}\mu[$].This should adjust the equilibrium weights of t...
by Rufus
October 14th, 2013, 2:16 pm
Forum: Book And Research Paper Forum
Topic: Best C++ Book for Quant Finance Interview?
Replies: 7
Views: 10454

Best C++ Book for Quant Finance Interview?

<r>QuoteOriginally posted by: AnalyticalVegaWhat is the best book C++ book to help pass the the coding part of the interview? Let's say you could only read one book before your interview, which one would it be?I found this one:<URL url="http://quantstart.com/cpp-for-quantitative-finance-ebookobvious...
by Rufus
April 9th, 2013, 2:41 pm
Forum: Trading Forum
Topic: Presemntation High Frequency Trading, algo trading
Replies: 7
Views: 10540

Presemntation High Frequency Trading, algo trading

Might be good for background: Algorithmic trading and DMA
by Rufus
April 9th, 2013, 2:36 pm
Forum: Programming and Software Forum
Topic: VBA editor unrequited capitalisation of variable names
Replies: 11
Views: 9309

VBA editor unrequited capitalisation of variable names

<t>I have seen this but I never found a good solution to it. There's some advice here:stackoverflowBeen a while since I coded in vba, but I remember we used to use this on the codebase from time to time: code cleaner(I think this automates the close down and open macros disabled trick). Alternativel...
by Rufus
April 9th, 2013, 12:46 pm
Forum: Programming and Software Forum
Topic: VBA editor unrequited capitalisation of variable names
Replies: 11
Views: 9309

VBA editor unrequited capitalisation of variable names

** VBA voodoo alert, what follows may be witchcraft *** Try opening your spreadsheet macros disabled, saving it and then re-opening macros enabled. This sorts out all sorts of excel oddities and also often reduces the file size as a side effect.
by Rufus
April 8th, 2013, 1:28 pm
Forum: Book And Research Paper Forum
Topic: Dupire's unified theory of volatility
Replies: 3
Views: 9619

Dupire's unified theory of volatility

many thanks!
by Rufus
March 28th, 2013, 2:47 pm
Forum: Book And Research Paper Forum
Topic: Dupire's unified theory of volatility
Replies: 3
Views: 9619

Dupire's unified theory of volatility

could you pm it to me please?
by Rufus
September 25th, 2012, 11:10 am
Forum: Programming and Software Forum
Topic: Source for USD interest rate data
Replies: 1
Views: 10761

Source for USD interest rate data

Ask Fred
by Rufus
September 25th, 2012, 11:01 am
Forum: Book And Research Paper Forum
Topic: intro to measure theory
Replies: 17
Views: 17019

intro to measure theory

WIlliams - Probability with Martingales is my favourite probability book (including measure theory) and it's compactness means it is a good reference.
by Rufus
August 9th, 2012, 9:15 am
Forum: Programming and Software Forum
Topic: Python vs VBA
Replies: 14
Views: 17592

Python vs VBA

<t>In a big investment bank, managedxll for C#->excel is a good solution - the site license pays for itself in < 3 months in terms of increased productivity. The only downside is, a lot (most) analytic libraries are in C++ so you need a good layer between the C++ and the C#. A while back I moved a R...
by Rufus
August 3rd, 2012, 2:03 pm
Forum: Programming and Software Forum
Topic: Open source C++ code for Markov chain Monte Carlo sampling methods
Replies: 6
Views: 14786

Open source C++ code for Markov chain Monte Carlo sampling methods

might not be exactly what you're after but R has quite a lot of MCMC stuff and the underlying algos are in C, e.g. MCMCThere was an issue of the R Journal devoted to MCMC a while back that introduces some of the available packages
by Rufus
August 3rd, 2012, 1:33 pm
Forum: Programming and Software Forum
Topic: Storing Real-time Data
Replies: 4
Views: 12781

Storing Real-time Data

Have you looked at kdb ?
by Rufus
February 16th, 2012, 12:12 pm
Forum: Numerical Methods Forum
Topic: Finite Difference American Put Discrete Dividend
Replies: 7
Views: 18030

Finite Difference American Put Discrete Dividend

the Haug Haug Lewis (2003) paper has some benchmark results that I used for checking my fd scheme was doing the right thing for american puts + discrete divs. I found it best to add an extra timestep for each dividend.
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