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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From a high frequency point of view, with a price prediction and assuming infinite leverage, how do you determine optimal trade size?

mar 29 at 20:32 Ryogi 1,817

7

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5

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787

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How can I quantitatively test the validity of momentum indicators?

statistics research indicator technicals

jan 23 at 11:47 vonjd 6,289

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784

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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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4

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781

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Library to solve optimization problems

optimization programming

apr 15 '11 at 3:22 RockScience 834

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775

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Where to find Greeks for futures to form delta-hedged futures portfolio of S&P 500 index/futures

futures hedging delta-neutral index

feb 14 '11 at 21:00 barrycarter 785

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3

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771

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Time series of PCA - Sign change in factor loadings

pca

dec 3 at 21:33 Thomas Browne 232

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765

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Statistical properties of stochastic processes for moving average trading to work

trading stochastic-processes moving-average

aug 22 '11 at 7:51 vonjd 6,289

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2

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761

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Is there a standard method for getting a continuous time series from futures data?

futures time-series

jul 7 '11 at 8:15 Val 140

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1

answer

759

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How do I backtest a convertible bond arbitrage strategy in R/Matlab?

data backtesting r convertible-bond

aug 7 '11 at 12:53 Tal Fishman 6,740

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votes

1

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745

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What is the Sugihara Trading System?

statistics forecasting quant-trading-strategies strategy trading-systems

nov 23 at 10:03 Katie Simone 1

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740

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How do strategies deal with corporate actions?

trading-systems corporate-actions

sep 8 '11 at 20:44 Louis Marascio 1,682

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1

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736

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Performance Attribution : Annualizing alpha & factor return contributions

risk risk-models

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

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734

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Has spectrum analysis ever been used successfully to analyse historical price data?

market-data market theory trade price

sep 25 at 23:22 purbani 21

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2

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733

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How to build a regime-switching model which knows its own limits?

backtesting quant-trading-strategies modeling market-regimes

oct 6 '11 at 1:27 Quant Guy 7,521

5

votes

3

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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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728

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basic stock trading strategies

strategy trading

feb 8 '11 at 16:45 glyphard 2,448

8

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727

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What are some of the major quantitative approaches to tactical asset allocation?

research asset-allocation tactical-asset-allocation

jun 12 '12 at 18:58 Quant Guy 7,521

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votes

4

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724

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Do low volatility stocks outperform high volatility stocks over the long run?

volatility risk research equities

sep 17 '11 at 8:42 Patrick Burns 1,609

3

9

votes

1

answer

713

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What are the advantages / disadvantages of the ANTICOR algorithm?

correlation portfolio-selection

apr 28 '11 at 2:20 Tangurena 402

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8

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3

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712

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What tools are used to numerically solve differential equations in Quantitative Finance?

option-pricing black-scholes programming differential-equations numerical-methods

sep 29 '11 at 13:06 Brian B 5,993

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706

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Tools in R for estimating time-varying copulas?

r estimation covariance distribution joint-probability

feb 3 at 14:22 vonjd 6,289

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6

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5

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706

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What distribution to assume for interest rates?

interest-rates modeling distribution

sep 9 at 1:46 Strange 354

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4

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702

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Using rolling returns in a multivariate linear regression?

returns regression multivariate

nov 14 at 23:01 Community♦ 1

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7

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690

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Time series price prediction and linear regression: using high/low rather than last quotes price

time-series multivariate

dec 19 '11 at 17:25 Tal Fishman 6,740

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3

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687

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How to detect regime change when estimating asset correlation from historical time series?

time-series correlation estimation market-regimes

jan 16 at 8:01 Jase 358

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2

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683

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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

12

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1

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671

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Portfolio optimization with monte carlo sampling from predictive distribution

risk monte-carlo optimization modern-portfolio-theory portfolio-selection

aug 26 '11 at 0:13 Quant Guy 7,521

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10

votes

2

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666

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Simulating Returns

correlation r simulations

may 23 '11 at 22:03 Zach 556

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664

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Cleansing covariance matrices via Random matrix theory

correlation risk-models covariance random-matrix-theory

jan 24 '12 at 21:10 Quant Guy 7,521

4

votes

2

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659

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Mass Market Data Source

data market-data

may 23 '11 at 23:08 Gravitas 627

Vishal Belsare

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