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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What is the best way to “fix” a covariance matrix that is not positive semi-definite?

dec 16 '11 at 10:06 Tal Fishman 6,740

4

13

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2

answers

2

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What type of analysis is appropriate for assessing the performance time-series forecasts?

forecasting

feb 1 '11 at 3:59 richardh♦ 3,015

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0

answers

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How do different methods and techniques used in pairs trading compare?

quant-trading-strategies arbitrage cointegration

mar 4 at 20:37 chrisaycock♦ 5,258

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7

answers

1

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Why is there no “meta-model”?

strategy

mar 25 '12 at 20:44 stevegt 354

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votes

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

3

12

votes

5

answers

901

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is beta of a portfolio always meaningful?

hedging beta portfolio

feb 9 '11 at 17:29 Patrick Burns 1,609

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12

votes

4

answers

1

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Evaluating automated trading strategies: accepted practice

backtesting quant-trading-strategies

nov 1 '11 at 15:30 Tal Fishman 6,740

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12

votes

3

answers

858

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Does mean-variance portfolio optimization provide a real edge to those who use it?

mean-variance optimization

feb 9 '11 at 18:13 Hans Radtke 31

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12

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6

answers

2

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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

4

12

votes

4

answers

1

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Are two identical time series cointegrated?

time-series cointegration statistics

oct 16 at 14:17 Ryogi 1,817

6

11

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5

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1

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portfolio optimisation with VaR (or CVaR) constraints

portfolio-management optimization var

jan 13 at 13:29 Marc Shivers 424

9

11

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4

answers

2

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Implementing data-structures in a Limit order book

programming limit-order-book

mar 1 at 21:30 Dmitri Nesteruk 822

8

11

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1

answer

663

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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

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11

votes

3

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3

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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

3

11

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1

answer

3

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How to interpret the eigenmatrix from a Johansen cointegration test?

statistics cointegration

oct 5 '11 at 20:16 Owen 193

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3

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739

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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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11

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3

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1

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Free intra-day equity data source

data equities

sep 22 at 12:23 Azouz 11

3

11

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3

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571

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What is the most effective way of determining & measuring the level of HFT activity in a stock in (close to) real time?

high-frequency hft limit-order-book

sep 8 '11 at 15:27 Louis Marascio 1,682

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11

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3

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1

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What methods do you use to improve expected return estimates when constructing a portfolio in a mean-variance framework?

modern-portfolio-theory mean-variance expected-return estimation

feb 1 '11 at 8:09 Anass 81

3

11

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3

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1

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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

3

11

votes

2

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466

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Operating parameters of market makers?

models market-making

sep 8 '11 at 21:01 Louis Marascio 1,682

11

votes

4

answers

3

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Is statistical arbitrage on FX possible?

fx research arbitrage pair-trading

aug 30 '11 at 14:03 Tal Fishman 6,740

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11

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4

answers

2

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Volatility pumping in practice

volatility trading kelly-criterion

mar 11 at 11:21 chrisaycock♦ 5,258

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4

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5

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Why are GARCH models used to forecast volatility if residuals are often correlated?

volatility time-series forecasting best-practices

apr 6 '12 at 1:56 Quant Guy 7,521

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11

votes

3

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686

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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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11

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3

answers

2

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Papers about backtesting option trading strategies

options backtesting quant-trading-strategies research option-strategies

sep 30 '11 at 7:45 vonjd 6,289

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3

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2

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How to combine multiple trading algorithms?

trading automated-trading quant-trading-strategies performance

nov 11 '11 at 3:35 Tal Fishman 6,740

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2

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731

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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

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10

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2

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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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10

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2

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834

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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

Vishal Belsare

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