finance

Interview Question by a financial software company for a Programmer position Q1) Say you have an array for which the ith element is the price of a given stock on day i. If you were only permitted to buy one share of the stock and sell one share of the stock, design an algorithm to find the best times to buy and sell. My Solution : My solution was to make an array of the differences in stock prices between day i and day i+1 for arraysize-1 days and then use Kadane Algorithm to return the sum of the largest continuous sub array.I would then buy at the start of the largest continuous array and

I am trying to perform a portfolio optimization that returns the weights which maximize my utility function. I can do this portion just fine including the constraint that weights sum to one and that the weights also give me a target risk. I have also included bounds for [0 <= weights <= 1]. This code looks as follows: def rebalance(PortValue, port_rets, risk_tgt): #convert continuously compounded returns to simple returns Rt = np.exp(port_rets) - 1 covar = Rt.cov() def fitness(W): port_Rt = np.dot(Rt, W) port_rt = np.log(1 + port_Rt) q95 = Series(port_rt).quantile(.05) cVaR = (port_rt[port_rt

This is a newbie question in R. I am downloading yahoo finance monthly stock price data using R where the ticker names are read from a text file. I am using a loop to read the ticker names to download the data and putting them in a list. My problem is some ticker names may not be correct thus my code stops when it encounters this case. I want the following. skip the ticker name if it is not correct. Each element in the list is a dataframe. I want the ticker names to be appended to variable names in element dataframes. I need an efficient way to create a dataframe that has the closing prices as

I thought the C/C++ vs C#/Java performance question was well trodden, meaning that I'd read enough evidence to suggest that the VM languages are not necessarily any slower than the "close-to-silicon" languages. Mostly because the JIT compiler can do optimizations that the statically compiled languages cannot. However, I recently received a CV from a guy who claims that Java-based high frequency trading is always beaten by C++, and that he'd been in a situation where this was the case. A quick browse on job sites indeed shows that HFT applicants need knowledge of C++, and a look at Wilmott

Is there a way to automatically download historical prices of stocks from yahoo finance or google finance (csv format)? Preferably in Python. Short answer: Yes. Use Python's urllib to pull the historical data pages for the stocks you want. Go with Yahoo! Finance; Google is both less reliable, has less data coverage, and is more restrictive in how you can use it once you have it. Also, I believe Google specifically prohibits you from scraping the data in their ToS. Longer answer: This is the script I use to pull all the historical data on a particular company. It pulls the historical data page