This is a summary of links featured on Quantocracy on Sunday, 03/15/2020. To see our most recent links, visit the Quant Mashup. Read on readers!
Petra on Programming: The Smoothed OBV [Financial Hacker]In his article in the S&C April 2020 issue, Vitali Apirine proposed a modified On Balance Volume indicator (OBVM). The hope was that OBVM crossovers and divergences make great trade signals, especially for stock indices. I got the job to put that to the test. The original OBV indicator was invented by Joseph Granville in 1963. It differs from other indicators insofar as it takes trade volume
Speeding up your Python code [R Trader]I know this topic is addressed on a very regular basis on the web but Im pretty sure sharing my experience will help some finance people. Im currently working on Limit Order Book modeling. This means dealing with fairly big data sets. I have around 1 million observations per stock and per day. So modeling the behavior of the order book just over 10 days is already a decent big data exercise.