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Quantitative Finance

A collection of 5 posts

Interactive Brokers

Amicable Interactive Brokers Data Analysis using Python and R using reticulate

In this post, I will demonstrate through an example the immense joy of working with both R and Python using reticulate!First a little on the background, the discussion and arguments on R

Santosh Srinivas
Trading

Backtesting Model - Trade top 5 stocks from the previous day

Trying out a toy model that follows the following rule set: Pick top 5 stocks from the previous day Invest a fixed amount of INR 5000 in each stock Exit the stocks the

Santosh Srinivas
Trading

Using RQuantLib on MacOSX

Using RQuantLib on MacOSX First install QuantLib as mentioned here Install Boost brew install boost Download QuantLib A version that slightly lags using: brew install QuantLib This took 73 mins 40 seconds! Whoa!

Santosh Srinivas
Trading

Options Spread position at expiry

I've been spending the last couple of weeks creating some algorithmic trading code. I took a spread position on the markets earlier this month. I wagered on fairly large movements from Spot. I

Santosh Srinivas
Trading

Box Plot Spread Trading Model

Just finished a box plot spread trading model. Here is the payoff diagram :-)

Santosh Srinivas
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