This is a summary of links featured on Quantocracy on Wednesday, 09/27/2017. To see our most recent links, visit the Quant Mashup. Read on readers!
-
High Frequency Trading III: Optimal Execution [Quant Start]In this article series Imanol Prez, a PhD researcher in Mathematics at Oxford University, and an expert guest contributor to QuantStart outlines the basics of high-frequency trading. In this article Imanol uses the theory of stochastic optimal control to optimally execute a large trade order. It is well known that when a large order is trying to be executedeither a sell or buy orderthe
-
Calculate monthly returns with Pandas [Quant Dare]Calculating returns on a price series is one of the most basic calculations in finance, but it can become a headache when we want to do aggregations for weeks, months, years, etc. In python the Pandas library makes this aggregation is very easy to do, but if we dont pay attention we could still make mistakes. Assuming that we want the return of the whole month, and we are not interested, for