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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Tradable Volatility

volatility

may 24 '11 at 23:31 chrisaycock♦ 5,268

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4

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213

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What is a sound way to project Company X's earnings over the next Y years?

data forecasting

sep 14 '11 at 20:08 bill_080 2,682

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0

answers

320

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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

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237

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Is there a measure for the 'degree' of cointegration

time-series cointegration

jan 31 '12 at 13:26 strimp099 996

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277

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How to group timeseries showing similar curve

statistics

dec 13 '11 at 21:12 Samik R 348

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votes

2

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1

kviews

What does it mean to modify the factor loadings of a credit risk model?

risk risk-models factor-loading

dec 14 '11 at 3:11 Tal Fishman 6,740

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2

answers

311

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How to “uncluster” a set of financial data?

data time-series

oct 24 '11 at 8:50 icequations 51

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462

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Alternative to Block Bootstrap for Multivariate Time Series

time-series r multivariate

jul 30 '11 at 21:58 ProbablePattern 329

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2

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409

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Proving Random Walk Hypothesis in Stock Market

random-walk

feb 10 '11 at 5:39 Pete 520

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6

votes

2

answers

167

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How well does CAPM beta track the risk of a particular market relative to world markets?

equities beta capm

aug 23 '11 at 15:10 Quant Guy 7,521

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383

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Is there any research on applying state-space or dynamic linear models to forecasting equity risk premia?

time-series forecasting monte-carlo risk-management machine-learning

oct 3 '11 at 15:26 Quant Guy 7,521

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306

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Has any research used Bayesian networks to estimate risk factor betas?

statistics r machine-learning risk-models factor-models

oct 23 '11 at 0:01 cyborg 176

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6

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1

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222

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Which is a more appropriate choice of risk measurement in a utility function, CVaR or VaR?

risk-management var coherent-risk-measure

oct 26 '11 at 14:26 Quant Guy 7,521

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0

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218

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How to balance two Forex crosses correctly to do a linear regression?

r fx regression

dec 3 '11 at 10:12 Dail 204

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3

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280

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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 6,740

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835

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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

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4

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421

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Given two portfolios with identical correlation matrices, which one will have a better risk/reward ratio?

beta modern-portfolio-theory

jan 5 at 2:05 Sid 138

6

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1

answer

259

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Which valuation measures are most useful for equity market timing?

equities research valuation tactical-asset-allocation

aug 17 '11 at 21:25 Quant Guy 7,521

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2

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596

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How to simulate slippage

trading backtesting slippage friction

jun 5 '11 at 14:20 mccarren 41

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votes

3

answers

732

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How significant is slippage in a successful quant fund?

slippage

oct 31 '11 at 23:58 Ryogi 1,817

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2

answers

876

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Is there a standard model for market impact?

market-impact models

feb 8 '11 at 14:20 gappy 1,988

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11

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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

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

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kviews

Recommendations for books to understand the math in quantitative finance papers?

soft-question books mathematics

nov 29 at 5:57 William S. Wong 190

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7

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1

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278

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Reject inference

credit-scoring reject-inference

feb 12 '11 at 15:40 goric 283

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2

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1

kviews

Is variable binning a good thing to do?

credit-scoring

jul 22 at 19:38 Mike Mout 41

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12

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2

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384

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Variable Selection in factor models

cointegration factor-models information

sep 9 '11 at 19:20 Tal Fishman 6,740

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4

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588

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What are the risk factors in analysing strategies?

risk backtesting quant-trading-strategies factor-loading

sep 9 '11 at 23:04 Patrick Burns 1,609

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Why is there no “meta-model”?

strategy

mar 25 '12 at 20:44 stevegt 354

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378

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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 6,740

Vishal Belsare

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