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

mar 14 at 2:28 Richard 11

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10

votes

2

answers

3

kviews

Cross Currency Swap Pricing in nowadays environment

fx pricing swaps

mar 2 at 20:02 Christian Fries 901

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10

votes

0

answers

326

views

Law of an integrated CIR Process as sum of Independent Random Variables

stochastic-calculus stochastic-volatility

dec 22 '11 at 21:35 TheBridge 2,225

3

10

votes

1

answer

209

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What weights should be used when adjusting a correlation matrix to be positive definite?

correlation risk-models numerical-methods

nov 25 '11 at 15:12 Tal Fishman 6,740

14

10

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3

answers

2

kviews

How to combine multiple trading algorithms?

trading automated-trading quant-trading-strategies performance

nov 11 '11 at 3:35 Tal Fishman 6,740

3

10

votes

2

answers

504

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How to detect structural breaks in variance?

time-series finance

jan 30 at 14:08 vonjd 6,309

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10

votes

4

answers

786

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What books should any quantitative portfolio manager or risk manager have as reference?

risk-management portfolio-management reference-request

nov 17 '11 at 17:34 Heavywood 31

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10

votes

2

answers

551

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Why is the ratio of Hi-Low range to Open-Close range close to 2?

data analysis

jun 16 '12 at 13:21 Louis Marascio 1,682

4

10

votes

4

answers

625

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Measuring liquidity

liquidity

jul 26 '11 at 20:13 Tal Fishman 6,740

4

10

votes

1

answer

1

kviews

How do I compare implied and historic volatility?

volatility implied-volatility fx visualization

dec 16 '11 at 10:04 Tal Fishman 6,740

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votes

5

answers

2

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References for developing an automated trading system?

automated-trading research trading-systems market-microstructure development

apr 18 '12 at 1:58 lehalle 1,713

2

10

votes

3

answers

683

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Rate interpolation in Libor Market Model

interest-rates lmm

dec 20 '11 at 20:16 Tal Fishman 6,740

3

10

votes

1

answer

294

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Enhancing Monte-Carlo convergence (crude method)

simulations

nov 3 '11 at 14:42 Brian B 6,038

4

10

votes

2

answers

837

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Value-at-Risk of the sum of two dependent lognormal random variables

risk-management

jan 27 '12 at 6:08 Feral Oink 241

7

10

votes

4

answers

1

kviews

How do you evaluate a covariance forecast?

forecasting statistics covariance

feb 10 '11 at 18:40 Paul H. Lasky 251

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10

votes

4

answers

1

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What is a “coherent” risk measure?

risk modern-portfolio-theory coherent-risk-measure

jul 18 at 8:15 SRKX♦ 4,729

5

10

votes

3

answers

1

kviews

Hedging stocks with VIX futures

equities vix hedging

sep 24 at 20:47 chrisaycock♦ 5,263

4

10

votes

1

answer

303

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Model Validation Criteria

models

feb 8 '11 at 3:03 chrisaycock♦ 5,263

9

10

votes

7

answers

5

kviews

Is the Interactive Brokers API suitable for hft?

hft api interactive-brokers

apr 9 at 7:52 asianskills 1

4

9

votes

5

answers

2

kviews

What is the implied volatility skew?

options option-pricing implied-volatility skew

jun 2 '12 at 15:30 DoubleTrouble 216

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9

votes

1

answer

665

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Is there a popular curve fitting formula of options skew vs strike price or vs Delta?

options skew

mar 1 '11 at 3:32 Brian B 6,038

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9

votes

2

answers

1

kviews

How can I learn about the quantitative aspects of market making in illiquid single stock options?

equities quant-trading-strategies option-strategies market-making

aug 10 '11 at 18:19 Tal Fishman 6,740

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9

votes

2

answers

1

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How to get list of all CUSIPS/ISIN?

equities fixed-income funds

mar 17 '12 at 3:36 Louis Marascio 1,682

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9

votes

1

answer

347

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Fixed income modeling

analysis probability binomial-tree financial-engineering modeling

oct 26 '11 at 14:17 Quant Guy 7,531

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5

answers

933

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When to shut down a trend following strategy?

arbitrage

mar 24 '11 at 3:46 giminey 61

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9

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1

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273

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penalizing negative skewness by linking $U(\mu)$ and $U(\Sigma)$

financial-engineering portfolio-management

oct 3 '11 at 15:04 Dimitris 432

4

9

votes

6

answers

833

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How to generate a random price series with a specified range and correlation with an actual price?

time-series correlation simulations random-variables asset-pricing

jan 3 '12 at 20:22 babelproofreader 1,077

4

9

votes

1

answer

307

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How do you estimate the volatility of a sample when points are irregularly spaced?

volatility interpolation

dec 20 '11 at 20:44 Brian B 6,038

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3

answers

905

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Why do expected return models and risk models use different factors?

portfolio-management asset-allocation factor-models

jan 16 '12 at 20:33 Quant Guy 7,531

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1

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432

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One dimensional analog of cleansing a correlation matrix via random matrix theory

volatility correlation-matrix random-matrix-theory

jan 11 '12 at 23:22 Ryogi 1,827

楊祝昇

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