User 楊祝昇 - Quantitative Finance Stack Exchange

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	973 reputation	bio	website		visits	member for	1 year, 10 months
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4

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kviews

Why does the VIX index have any correlation to the market?

sep 25 '11 at 20:15 Tal Fishman 6,740

11

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3

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1

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What methods do you use to improve expected return estimates when constructing a portfolio in a mean-variance framework?

modern-portfolio-theory mean-variance expected-return estimation

feb 1 '11 at 8:09 Anass 81

2

11

votes

1

answer

733

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How do I price OANDA box options?

option-pricing software

sep 9 '11 at 18:34 Louis Marascio 1,682

3

11

votes

2

answers

467

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Operating parameters of market makers?

models market-making

sep 8 '11 at 21:01 Louis Marascio 1,682

3

11

votes

3

answers

571

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What is the most effective way of determining & measuring the level of HFT activity in a stock in (close to) real time?

high-frequency hft limit-order-book

sep 8 '11 at 15:27 Louis Marascio 1,682

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votes

2

answers

1

kviews

Is there any good research on support and resistance?

strategy research technicals

aug 8 '11 at 4:42 Tal Fishman 6,740

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11

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4

answers

2

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Volatility pumping in practice

volatility trading kelly-criterion

mar 11 at 11:21 chrisaycock♦ 5,260

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11

votes

2

answers

478

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Transparent quant products with real track record

option-strategies quant-trading-strategies

feb 11 '11 at 10:03 Joshua Chance 780

4

11

votes

2

answers

2

kviews

How does left tail risk differ from right tail risk?

risk probability expected-return

sep 22 '11 at 20:01 Feral Oink 241

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11

votes

3

answers

2

kviews

Control for bid/ask bounce in high-frequency trade data?

high-frequency limit-order-book

sep 11 '11 at 5:57 Foo Bah 193

10

11

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4

answers

2

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Implementing data-structures in a Limit order book

programming limit-order-book

mar 1 at 21:30 Dmitri Nesteruk 822

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11

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3

answers

2

kviews

Papers about backtesting option trading strategies

options backtesting quant-trading-strategies research option-strategies

sep 30 '11 at 7:45 vonjd 6,309

11

votes

4

answers

3

kviews

Is statistical arbitrage on FX possible?

fx research arbitrage pair-trading

aug 30 '11 at 14:03 Tal Fishman 6,740

3

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votes

2

answers

417

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What benchmark/index to use for backtesting a portfolio of stock options?

options backtesting option-strategies benchmark

jan 14 '12 at 23:38 JonnyBoats 196

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3

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3

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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 '12 at 1:08 Darren Cook 570

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11

votes

1

answer

512

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Quantitative Analysis Games on Investing?

education

sep 10 at 12:47 BlueTrin 301

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11

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3

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438

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Empirical or theoretical quant insights that have shaped your thinking?

soft-question theory

jan 29 at 4:12 kristine 1

3

11

votes

3

answers

1

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Techniques to optimize the placement of orders in market making strategy?

quant-trading-strategies automated-trading optimization market-making market-microstructure

apr 18 '12 at 1:57 lehalle 1,713

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11

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2

answers

2

kviews

How do I find the most diversified portfolio, or least correlated subset, of stocks?

trading correlation portfolio diversification

may 29 '12 at 15:13 Tal Fishman 6,740

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11

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3

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688

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How to detect regime change when estimating asset correlation from historical time series?

time-series correlation estimation market-regimes

jan 16 at 8:01 Jase 388

1

11

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2

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409

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Can you replicate an option on an arbitrary basket of stocks?

options option-strategies index basket

apr 19 at 17:48 Riaz Rizvi 196

8

11

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1

answer

664

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Cleansing covariance matrices via Random matrix theory

correlation risk-models covariance random-matrix-theory

jan 24 '12 at 21:10 Quant Guy 7,531

11

votes

3

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538

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What are some research articles on using principle components to generate alpha?

statistics modeling random-matrix-theory

feb 25 at 12:31 Andre P. 11

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10

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1

answer

306

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Creating an n-factor Certainty Equivalent Discounting Formula

valuation risk-premium

apr 10 '12 at 12:11 Community♦ 1

2

10

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2

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341

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Exploiting breakdowns in correlation of estimated volatility

volatility trading

jul 20 at 12:18 Matt Wolf 5,746

9

10

votes

2

answers

587

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How to forecast expected volatility from high-frequency equity panel data?

volatility time-series equities research forecasting

oct 17 '11 at 15:54 Tal Fishman 6,740

4

10

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3

answers

1

kviews

At what point does someone using technical analysis become a Quant?

finance analysis technicals quantitative

oct 4 '11 at 17:20 columbus 321

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10

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2

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735

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How to build a regime-switching model which knows its own limits?

backtesting quant-trading-strategies modeling market-regimes

oct 6 '11 at 1:27 Quant Guy 7,531

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3

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Is there an all Java options-pricing library (preferably open source) besides jquantlib?

options black-scholes programming

apr 29 at 12:04 El Prezidenté 11

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5

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419

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What benefits are there to employing agile software development methodologies for quants?

soft-question programming quants development

sep 22 '11 at 18:29 Tal Fishman 6,740

楊祝昇

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