User Vishal Belsare - Quantitative Finance Stack Exchange

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	462 reputation	bio	website		visits	member for	2 years, 4 months
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9

votes

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395

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How are Expected Shortfall and Variance related?

risk statistics

feb 14 '12 at 22:01 Brian B 6,183

5

2

votes

2

answers

269

views

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

correlation

feb 11 '12 at 9:02 Suminda Sirinath Salpitikorala 377

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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

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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 6,765

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9

votes

2

answers

462

views

How to compute performance attribution between daily rebalanced strategies?

portfolio-management performance

feb 8 '12 at 21:18 Suminda Sirinath Salpitikorala 377

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 568

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votes

2

answers

158

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Re-resolving OHCLV stock Data [closed]

data

feb 7 '12 at 14:52 Christoph Glur 281

3

5

votes

1

answer

539

views

How to simulate correlated assets for illustrating portfolio diversification?

correlation simulations diversification random-walk

feb 6 '12 at 21:06 Tal Fishman 6,765

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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 6,765

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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

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2

votes

1

answer

251

views

Is there a measure for the 'degree' of cointegration

time-series cointegration

jan 31 '12 at 13:26 strimp099 1,021

5

votes

0

answers

334

views

What is the correct procedure to choose the lag when preforming Johansen cointegration test?

cointegration auto-correlation

jan 30 '12 at 16:54 Jean-Victor Côté 41

5

10

votes

2

answers

856

views

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

risk-management

jan 27 '12 at 6:08 Feral Oink 241

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11

votes

1

answer

687

views

Cleansing covariance matrices via Random matrix theory

correlation risk-models covariance random-matrix-theory

jan 24 '12 at 21:10 Quant Guy 7,554

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5

votes

1

answer

173

views

RMT (Random Matrix Theory) issue with callibrating MP distribution -

correlation portfolio random-matrix-theory

jan 24 '12 at 21:09 Quant Guy 7,554

6

9

votes

1

answer

543

views

How to use macroeconomic indicators for long/short trading strategies?

quant-trading-strategies indicator

jan 22 '12 at 10:51 SRKX♦ 4,788

3

votes

1

answer

387

views

How does “time segmented volume” differ from on-balance volume?

technicals indicator

jan 20 '12 at 5:01 JonnyBoats 196

3

9

votes

3

answers

934

views

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 7,554

6

9

votes

1

answer

437

views

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 1,847

3

7

votes

1

answer

379

views

What is the optimal strategy when there is an equal chance for gain or loss but the size of the potential gain is larger?

risk-management strategy

jan 9 '12 at 19:39 Tal Fishman 6,765

4

9

votes

2

answers

1

kviews

Why a self-financing replicating portfolio should always exist?

black-scholes derivatives

jan 6 '12 at 9:48 楊祝昇 973

4

9

votes

6

answers

860

views

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

7

votes

3

answers

283

views

How to improve the consistency of explained variance statistics in a linear equity model?

equities statistics modeling regression

jan 3 '12 at 16:28 Tal Fishman 6,765

16

votes

5

answers

1

kviews

Most successful investors using academic-based framework?

quant-trading-strategies research factor-models academia big-list

jan 3 '12 at 13:20 olaker♦ 2,313

2

6

votes

1

answer

1

kviews

What is a self-financing and replicating portfolio?

black-scholes derivatives replication portfolio derivation

dec 30 '11 at 13:27 strimp099 1,021

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8

votes

3

answers

381

views

How to test for and how to simulate price rise/fall asymmetry in the stock market

time-series statistics simulations stochastic-processes

dec 29 '11 at 19:35 Brian B 6,183

2

3

votes

0

answers

116

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What is the relation between return volatility and return rank volatility, and how can I control the latter?

volatility implied-volatility distribution

dec 29 '11 at 19:17 Elliot Jans 151

3

7

votes

2

answers

878

views

How to apply risk-parity portfolio construction to a dollar-neutral portfolio?

risk risk-management optimization portfolio-selection

dec 29 '11 at 15:33 SRKX♦ 4,788

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16

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4

answers

961

views

How do I adjust a correlation matrix whose elements are generated from different market regimes?

market-regimes correlation-matrix

dec 26 '11 at 1:26 Branson 250

2

7

votes

1

answer

280

views

Simulating conditional expectations

monte-carlo simulations

dec 21 '11 at 16:34 Grzenio 231

Vishal Belsare

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