Quantitative Finance - Stack Exchange

0

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0

answers

6

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I'm being offered stock options; which questions should I ask my employer?

options

1h ago Brian 1

12

votes

5

answers

710

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Which brokers offer a .NET stock trading API?

1d ago Darren Cook 308

15

votes

6

answers

1

kviews

Excellent information source on advanced machine learning / data mining based trading?

automated-trading machine-learning

1d ago 楊祝昇 964

4

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0

answers

47

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Cross Currency Swap Pricing in nowadays environment

fx pricing swaps

1d ago TheBridge 1,931

1

vote

0

answers

49

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vix futures vega per contract and tvix vega per share

vix spx

2d ago John 6

0

votes

0

answers

108

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portfolio kurtosis and skewness of a equally weighed portfolio?

modern-portfolio-theory skewness kurtosis

feb 18 at 15:42 PeriodicProgrammer 1

11

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5

answers

1

kviews

Proof that you cannot beat a random walk

quant-trading-strategies random-walk mathematical-proof

feb 18 at 7:55 楊祝昇 964

-1

votes

0

answers

86

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Price-Yield Curve with Matlab [closed]

fixed-income yield-curve matlab

feb 17 at 0:15 Cemre 97

8

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0

answers

131

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What is the expected return I should use for the momentum strategy in MV optimization framework?

quant-trading-strategies optimization expected-return

feb 16 at 22:37 Jason 41

2

votes

0

answers

75

views

ATM volatility versus OTM volatility and directional standard deviation

option-pricing statistics

feb 16 at 5:39 David Nehme 138

3

votes

1

answer

99

views

Pricing a bond future with a basket of deposit futures

fixed-income

feb 15 at 16:44 David 96

6

votes

1

answer

152

views

How are Expected Shortfall and Variance related?

risk statistics

feb 14 at 22:01 Brian B 4,024

0

votes

0

answers

75

views

About Options and interest rates [closed]

options interest-rates

feb 14 at 19:27 Andrei 148

-3

votes

0

answers

125

views

algorithms and data for playing with trading strategies [closed]

statistics finance machine-learning

feb 14 at 2:21 Bob 96

-3

votes

1

answer

98

views

Most commonly used UNIX commands & Python modules/functions? [closed]

python unix

feb 13 at 23:50 matt 41

2

votes

3

answers

204

views

Can I perform an asset allocation optimization if assets are perfectly uncorrelated?

portfolio-management optimization asset-allocation

feb 13 at 20:16 Marc Shivers 21

3

votes

1

answer

117

views

What's the connection between implied vol curve of SPX and SPY?

implied-volatility spx american-options

feb 13 at 19:40 glyphard 2,100

1

vote

1

answer

159

views

How can I get intra-day prices via API into R?

r

feb 13 at 6:16 matt 41

0

votes

1

answer

218

views

How to model the daily return using intraday data?

returns expected-return

feb 12 at 21:50 Suminda Sirinath Salpitikorala 280

4

votes

1

answer

131

views

Estimation of Geometric Brownian Motion drift

brownian-motion

feb 12 at 18:54 chrisaycock♦ 3,615

2

votes

0

answers

93

views

Is there any measure that is a non-trivial combination of VWAP and TWAP?

time-series trading volume

feb 12 at 18:50 chrisaycock♦ 3,615

21

votes

10

answers

2

kviews

Separating the wheat from the chaff: What quant methods separate skillful managers from lucky ones?

performance-evaluation

feb 12 at 8:01 chrisaycock♦ 3,615

2

votes

2

answers

126

views

How to calculate cumulative loss from two factors that have negative correlation?

correlation

feb 11 at 9:02 Suminda Sirinath Salpitikorala 280

6

votes

4

answers

405

views

Is Visual Basic a fast enough for millisecond orders

quant-trading-strategies programming time-scale

feb 10 at 21:00 user1194505 27

16

votes

5

answers

2

kviews

What is a good broker for HFT?

data futures hft broker programming

feb 10 at 18:45 Robert Kubrick 95

13

votes

6

answers

942

views

Can social media be applied to algorithmic trading?

quant-trading-strategies automated-trading research

feb 10 at 16:34 Tal Fishman♦ 5,032

4

votes

1

answer

95

views

Price volatility instead of return volatility for spread option parameter

returns spread-option

feb 10 at 15:54 Brian B 4,024

5

votes

1

answer

140

views

Why are there so many different ways of calculating historical volatility

volatility

feb 10 at 10:56 SRKX 1,951

22

votes

11

answers

18

kviews

Why is C++ still a very popular language in quantitative finance?

programming

feb 10 at 9:26 quant_dev 1,406

2

votes

1

answer

252

views

What are some of the major quantitative approaches to tactical asset allocation?

research asset-allocation tactical-asset-allocation

feb 9 at 12:37 Suminda Sirinath Salpitikorala 280

7

votes

1

answer

187

views

Liquidity estimators: VWAP and IS

liquidity volume

feb 8 at 22:44 Suminda Sirinath Salpitikorala 280

5

votes

1

answer

168

views

How to manage equity portfolio risk intraday?

risk

feb 8 at 22:09 Suminda Sirinath Salpitikorala 280

8

votes

2

answers

129

views

How to compute performance attribution between daily rebalanced strategies?

portfolio-management performance

feb 8 at 21:18 Suminda Sirinath Salpitikorala 280

5

votes

1

answer

60

views

How to remove the risk element from a set of fixed rate mortgage offerings?

interest-rates

feb 8 at 19:28 Brian B 4,024

8

votes

3

answers

372

views

R: How feasible is it to store — and work with — tick data in a database connected to R?

data high-frequency r tick-data database

feb 8 at 1:08 Darren Cook 308

5

votes

2

answers

125

views

How to minimize the difference between a parametric VaR and a MC-VaR with lognormal assumption?

monte-carlo var parametric

feb 7 at 23:31 Vincent Zoonekynd 186

7

votes

5

answers

336

views

What functional form describes the implied volatility curve?

implied-volatility

feb 7 at 22:43 Robert 99

6

votes

1

answer

104

views

Where can I find data on the interbank lending market?

data interest-rates market-data banks

feb 7 at 15:54 Joshua Ulrich 1,225

-3

votes

2

answers

93

views

Re-resolving OHCLV stock Data

data resolution

feb 7 at 14:52 Christoph Glur 171

0

votes

0

answers

44

views

How to optimize methodology to collect Market Data? [migrated]

market-data software

feb 6 at 23:09 Rachel 96

5

votes

1

answer

149

views

How to simulate correlated assets for illustrating portfolio diversification?

correlation simulations diversification random-walk

feb 6 at 21:06 Tal Fishman♦ 5,032

5

votes

1

answer

173

views

How to run an asset replication regression?

portfolio-management regression replication

feb 6 at 15:48 Tal Fishman♦ 5,032

8

votes

1

answer

173

views

What drives changes in implied volatility on ETFs/ETNs?

options implied-volatility vix

feb 6 at 15:44 Tal Fishman♦ 5,032

14

votes

6

answers

303

views

Why does the minimum variance portfolio provide good returns?

portfolio-management optimization modern-portfolio-theory covariance

feb 6 at 15:39 Tal Fishman♦ 5,032

6

votes

1

answer

118

views

What is the best way to forecast prepayment rate in an emerging market mortgage loan portfolio?

statistics forecasting mbs prepayment

feb 6 at 15:33 Tal Fishman♦ 5,032

5

votes

2

answers

196

views

What causes the call and put volatility surface to differ?

options option-pricing black-scholes local-volatility

feb 6 at 15:29 Tal Fishman♦ 5,032

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