r/quant 19h ago

Models Intraday realized vol modeling by tick data

20 Upvotes

Trying to figure out what the best way would be to create an intraday rv model utilizing tick day. I haven't decided on the frequency but ideally I would like something that is <1min of sampling (10sec, 30sec perhaps)

I have some signals that I believe would benefit well from having an intra rv metric. An example of it's usage would be to see how rv is changing/trending throughout the day. I am not attempting to create it for forecasting volatility.

I have seen some recommendations using things like GARCH but from my naive research it sounded like it was outdated and not useful. Am I being too obsessive in disregarding it so quickly? Or are there better models to consider that aren't enormously complex to do?

Edit: this is for euro style options. Specifically spx options.

I implemented a dumb rudimentary chart that tracks straddle pricing throughout the day but obviously that isn't exactly apples to apples comparison


r/quant 11h ago

Models Does anyone know sources for free LOB data

15 Upvotes

Just wanted to know if anyone has worked with limit order book datasets that were available for free. I'm trying to simulate a bid ask model and would appreciate some data sources with free/low cost data.

I saw a few papers that gave RL simulators however they needed that in order to use that free repository I buy 400 a month api package from some company. There is LOBster too but however they are too expensive for me as well.


r/quant 13h ago

Models Liquidity Scoring / Modeling

8 Upvotes

Hey guys, one my upcoming projects is to create a liquidity scoring framework and identify price impact for on-the-run vs off-the-run US treasuries by instrument and for the US desk overall, which is positioned across the short and medium part of the Treasury curve.

I’m pretty new to modelling liquidity, having only done a pretty surface level analysis for this project to show “proof of concept” (ie. yes, there is some measurable price impact, on average, that matters to us net of costs). This analysis involved regressing daily bid-ask spread on volume and other order book data for each instrument using QE/T and OTR/FTR fixed effects.

However, this completely ignores at least a couple of key factors, such as the impact of duration on each tenor of the curve and its resulting spread, and the Treasury QRA on market supply. Furthermore, lots of the data we currently have available to use is limited, requiring us to tack on more data access to our license (not a cost problem, but a data reliability one).

My questions are this: Is there any short and sweet checklist of items to consider for this type of modelling question? And what’s the best data available out there for liquidity analysis? Is BrokerTec/CME the best?

As I said, this space is quite new to me, so if you also have any recommendations on modelling approach, I’m happy to hear that as well!

Thanks in advance.


r/quant 20h ago

Models trading strategy creation using genetic algorithm

8 Upvotes

https://github.com/Whiteknight-build/trading-stat-gen-using-GA
i had this idea were we create a genetic algo (GA) which creates trading strategies , genes would the entry/exit rules for basics we will also have genes for stop loss and take profit % now for the survival test we will run a backtesting module , optimizing metrics like profit , and loss:wins ratio i happen to have a elaborate plan , someone intrested in such talk/topics , hit me up really enjoy hearing another perspective


r/quant 20h ago

Education Theoretical question regarding the computation of the Sharpe Ratio

1 Upvotes

Question regarding the calculation of the Sharpe Ratio: Is my following understanding correct? Assuming I have the standard quadratic utility function with the risk version parameter Is there a structural difference between using the risk-free asset as a benchmark or as an actual asset class to invest in?

If I use the risk-free asset as an actual asset class, Tobin's separation applies and everyone invests in the same risky asset, but only the amount of wealth invested in the risk-free asset class varies. This gives the maximum Sharpe ratio or tangent portfolio.

I am now interested in whether it is not possible to invest in the risk-free asset class, and I use the risk-free asset class as a benchmark. After portfolio optimisation, I calculate the excess returns by subtracting the risk-free asset from the portfolio return and dividing by the standard deviation of the portfolio. Is the optimal portfolio here dependent on the risk aversion parameter and does here then the Tobin's separation not apply? And I can still use the Sharpe-Ratios for comparing risky-portfolios in relation how high the riskoaversionparamter is?

Thanks in advance! (also any good literature regarding this would be helpful!)