I need to perform rolling VaR estimation of daily stock returns. At first I did the following: library(PerformanceAnalytics) data(edhec) sample<-edhec[,1:5] var605<-rollapply(as.zoo(sample),...

I've written a haskell version of a limit order book, referencing this version written in C: https://github.com/jordanbaucke/Limit-Order-Book/blob/master/Others/C%2B%2B/engine.c A limit order boo...

Can anyone explain the difference between “in-sample” and “out-of-sample” forecasts?

I don't have a strong mathematical background, but I would love to work on some computational finance problems. I got "An Introduction to Computational Finance Without Agonizing Pain " by Pet...

I work for a boutique specialized in finance. We thought about designing a language to describe financial entities related to financial markets. This would be mainly used as some kind of...