A new forecast database is now available on Quandl: Realized Volatility Forecasts! Updated daily, the database offers data on realized (historical) volatility & forecasts 1-day and 1-week ahead for 2,000+ stocks, indices and ETFs. Checkout the documentation for more details.
NYC, Sunday, May 21st from 9am to 4pm During the workshop, you will learn how to compute intraday risk with PortfolioEffect HFT package available on Anaconda. The complexity of tick market data will be explained. You will study how to build your own portfolio, create a strategy, backtest it, optimize it, and use vol forecasting. […]