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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192

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Can Hurst exponent be used to characterize nonlinear dependence in time series?

sep 10 at 17:52 ezbentley 195

7

votes

3

answers

511

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Hidden Markov Model & Its Application

statistics r hidden-markov-model

dec 28 at 13:37 Rainer 33

3

0

votes

2

answers

868

views

Kalman Filter Equity Example

statistics r quants kalman

dec 15 at 0:55 Andrew 385

2

votes

1

answer

521

views

How to fit ARMA+GARCH Model In R?

time-series statistics r

jan 9 at 7:09 Jase 358

5

9

votes

1

answer

383

views

How are Expected Shortfall and Variance related?

risk statistics

feb 14 '12 at 22:01 Brian B 5,973

6

11

votes

5

answers

1

kviews

portfolio optimisation with VaR (or CVaR) constraints

portfolio-management optimization var

jan 13 at 13:29 Marc Shivers 424

4

3

votes

2

answers

357

views

When gains are made: Overnight or during trading hours? What is the connection to volatility?

volatility returns risk-premium anomalies

nov 20 at 21:33 itzy 151

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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

5

votes

4

answers

619

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How to compute momentum from equity time series?

time-series equities technicals

oct 18 '11 at 18:44 Tal Fishman 6,740

3

votes

1

answer

351

views

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

technicals indicator

jan 20 '12 at 5:01 JonnyBoats 196

4

6

votes

1

answer

176

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Measuring co-movement at non-constant intervals

correlation

may 18 '12 at 22:08 John 1,616

2

3

votes

1

answer

177

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Rank Correlation Based Prediction

correlation learning machine spearman kendall

nov 6 at 18:53 Quant Guy 7,521

3

5

votes

0

answers

153

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Alternative ways to understand time-varying comovement between two time-series?

time-series correlation cointegration relationship dependence

jan 16 at 3:49 Jase 358

5

votes

2

answers

681

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How are momentum and reversion long/short strategies dynamically combined in trading?

quant-trading-strategies quantitative mean-reversion

aug 24 at 23:35 pat 21

1

0

votes

0

answers

149

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Lagging Beta Strategy

options quant-trading-strategies correlation cointegration pair-trading

nov 22 at 15:02 Shelagh 39

1

vote

2

answers

123

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Buying one company or index against another, is this readily possible with options, with an accurate return (also Alpha Indexes)

options correlation market market-making

dec 1 '11 at 22:51 Tal Fishman 6,740

5

2

votes

2

answers

268

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

correlation

feb 11 '12 at 9:02 Suminda Sirinath Salpitikorala 371

1

2

votes

1

answer

94

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Combining covariances?

correlation covariance variance factor-models factor-loading

oct 5 at 13:57 Phil H 768

5

6

votes

2

answers

452

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optimal re-balancing strategy with asynchronous alpha signal

research portfolio-management optimization rebalancing

nov 20 '11 at 19:33 Shane 5,098

1

2

votes

1

answer

216

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Unsystematic and systematic risk of a portfolio

beta mean-variance capm

sep 18 at 21:09 John 1,616

4

6

votes

2

answers

334

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How to simulate cointegrated prices

time-series simulations

aug 10 at 5:04 Bob Jansen 1,133

1

3

votes

0

answers

180

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

portfolio-management optimization

apr 21 '12 at 2:59 michaelv2 141

1

6

votes

1

answer

262

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Simulating conditional expectations

monte-carlo simulations

dec 21 '11 at 16:34 Grzenio 226

2

1

vote

1

answer

118

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transaction size and liquidity in simulation of US stocks

equities simulations liquidity

aug 17 at 17:04 lehalle 1,703

2

8

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3

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209

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Are there any standard techniques for adding realistic synthetic microstructure noise to a price series?

time-series simulations market-microstructure random-variables

jul 13 at 9:47 barrymac 146

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 5,973

1

2

votes

1

answer

160

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Average beta of index consitutents w.r.t. the index is 0.60

time-series beta index capm market-model

sep 29 at 10:16 Community♦ 1

2

4

votes

2

answers

360

views

How to make the final Interpretation of PCA?

statistics pca

nov 26 at 16:36 SRKX♦ 4,699

5

votes

3

answers

353

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Strategy Risk and Portfolio Allocation Model (copy from nuclear phynance)

portfolio-selection

aug 31 at 17:16 Strange 354

3

5

votes

2

answers

365

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Comparing MVO with Resampled Efficient Frontier

portfolio-management optimization modern-portfolio-theory mean-variance bootstrapping

sep 28 at 19:05 richard michaud 21

Vishal Belsare

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