This is a summary of links featured on Quantocracy on Wednesday, 03/28/2018. To see our most recent links, visit the Quant Mashup. Read on readers!
R Quantifying Trend Days [Flare 9x]In this post I will be using R and data.table to extract all trend up / down days. The following method was used to quantify a trend day: 1. Trend up = Close price closes within 25% of the days high 2. Trend down = Close prices closes within 25% of the days low 3. Exclusive of gaps, if open is above yesterdays high or low exclude 4. Daily return must be over / below .75 / -.75% Other methods come
How Algo Trading Reacts to Market Stress [Quantpedia]A key issue raised by the rapid growth of computerised algorithmic trading is how it responds in extreme situations. Using data on foreign exchange orders and transactions that includes identification of algorithmic trading, we find that this type of trading contributed to the deterioration of market quality following the removal of the cap on the Swiss franc on 15 January 2015, which was an event