User Vishal Belsare - Quantitative Finance Stack Exchange

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	432 reputation	bio	website		visits	member for	2 years, 3 months
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21

23

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5

answers

2

kviews

How do I graphically represent the evolution of a covariance matrix over time?

apr 26 '12 at 13:15 Qbik 350

3

votes

2

answers

320

views

Entry and exit points for very short mean-reverting timeseries

time-series cointegration mean-reversion tick-data

apr 25 '12 at 22:08 babelproofreader 1,077

1

3

votes

0

answers

180

views

Is there a standard method of scaling alpha forecasts to t-cost estimates?

portfolio-management optimization

apr 21 '12 at 2:59 michaelv2 141

3

11

votes

3

answers

1

kviews

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 1,703

17

21

votes

9

answers

3

kviews

How 'High' is the frequency in HFT?

strategy hft high-frequency

apr 17 '12 at 19:57 vonjd 6,289

4

7

votes

2

answers

403

views

How to manage equity portfolio risk intraday?

risk

apr 17 '12 at 11:55 lehalle 1,703

6

8

votes

2

answers

462

views

Liquidity estimators: VWAP and IS

liquidity volume

apr 15 '12 at 22:29 lehalle 1,703

3

4

votes

1

answer

262

views

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

time-series trading volume

apr 15 '12 at 10:55 lehalle 1,703

29

17

votes

7

answers

2

kviews

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

automated-trading machine-learning

apr 12 '12 at 18:33 rtybase 66

10

16

votes

3

answers

424

views

Tests that any system must pass to be taken seriously

testing

apr 12 '12 at 8:04 vonjd 6,289

2

5

votes

2

answers

348

views

Choosing the time-frame to test for cointegration

time-series cointegration

apr 11 '12 at 21:25 Peter Irojah 156

5

7

votes

1

answer

991

views

Why is the first principal component a proxy for the market portfolio, and what other proxies exist?

statistics beta modern-portfolio-theory pca

apr 9 '12 at 0:33 Quant Guy 7,521

11

12

votes

6

answers

2

kviews

What is the best data structure/implementation for representing a time series?

data time-series market-data

apr 3 '12 at 0:11 alpha 298

2

3

votes

3

answers

373

views

How to optimize a portfolio under both maximum diversity ratio and minimum variance

optimization portfolio-selection

mar 29 '12 at 23:26 rtybase 66

4

15

votes

7

answers

649

views

Are there ways to measure the risk aversion of a representative investor, based on publicly available market data?

research reference-request market risk-premium

mar 29 '12 at 10:21 Vishal Belsare 432

2

votes

1

answer

2

kviews

Risk Parity portfolio construction

risk-management asset-allocation

mar 28 '12 at 19:59 Bob Jansen 1,134

11

12

votes

7

answers

1

kviews

Why is there no “meta-model”?

strategy

mar 25 '12 at 20:44 stevegt 354

3

4

votes

1

answer

735

views

Performance Attribution : Annualizing alpha & factor return contributions

risk risk-models

mar 12 '12 at 16:17 Quant Guy 7,521

8

votes

1

answer

485

views

Kalman Filter Vs Hough Transform

untagged

mar 9 '12 at 0:46 rtybase 66

7

9

votes

1

answer

305

views

copula-marginal algorithm

risk-management copula

mar 2 '12 at 6:06 pyCthon 460

5

9

votes

1

answer

383

views

How are Expected Shortfall and Variance related?

risk statistics

feb 14 '12 at 22:01 Brian B 5,993

5

2

votes

2

answers

268

views

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

correlation

feb 11 '12 at 9:02 Suminda Sirinath Salpitikorala 369

14

18

votes

5

answers

3

kviews

What is a good broker for HFT?

data futures hft broker programming

feb 10 '12 at 18:45 Robert Kubrick 254

10

14

votes

6

answers

2

kviews

Can social media be applied to algorithmic trading?

quant-trading-strategies automated-trading research

feb 10 '12 at 16:34 Tal Fishman 6,740

6

9

votes

2

answers

453

views

How to compute performance attribution between daily rebalanced strategies?

portfolio-management performance

feb 8 '12 at 21:18 Suminda Sirinath Salpitikorala 369

9

11

votes

3

answers

3

kviews

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

1

-3

votes

2

answers

155

views

Re-resolving OHCLV stock Data

data

feb 7 '12 at 14:52 Christoph Glur 281

3

5

votes

1

answer

511

views

How to simulate correlated assets for illustrating portfolio diversification?

correlation simulations diversification random-walk

feb 6 '12 at 21:06 Tal Fishman 6,740

3

6

votes

2

answers

1

kviews

What causes the call and put volatility surface to differ?

options option-pricing black-scholes local-volatility

feb 6 '12 at 15:29 Tal Fishman 6,740

5

votes

5

answers

1

kviews

What are the advantages of switching platforms/languages between strategy development and implementation?

backtesting quant-trading-strategies

feb 2 '12 at 1:46 Dirk Eddelbuettel 3,098

Vishal Belsare

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