VWAP in Python
The ratio of cumulative traded value to cumulative volume over a horizon. The standard benchmark for judging institutional execution quality.
Quant Code Snippets
Vectorised, tested Python reference implementations of quantitative finance measures. Each snippet is tested before publication and re-executed by the generator on every rebuild, is MIT licensed, and links to the definition and formula it implements.
OFI in Python
Net buy-minus-sell pressure at the best bid and ask, measured from changes in top-of-book prices and sizes. Short-horizon price changes are approximately linear in OFI.
Hurst Exponent in Python
A scaling exponent that measures long-range dependence in a time series. H < 0.5 indicates mean reversion, H = 0.5 a random walk, and H > 0.5 a persistent, trending series.
Information Coefficient in Python
The cross-sectional correlation between a factor's values and subsequent asset returns. Rank IC, its mean and ICIR are the standard first test of whether an alpha factor predicts returns.
Summary for AI agents (Markdown mirror)
# QuantCore Labs Quant Code Snippets
> Tested Python implementations, MIT licensed. URL: https://quantcore-labs.com/code/
- - [VWAP](https://quantcore-labs.com/glossary/vwap/vwap.py): numpy, pandas
- - [OFI](https://quantcore-labs.com/glossary/ofi/ofi.py): numpy, pandas
- - [Hurst Exponent](https://quantcore-labs.com/glossary/hurst-exponent/hurst-exponent.py): numpy
- - [Information Coefficient](https://quantcore-labs.com/glossary/information-coefficient/information-coefficient.py): numpy, pandas