User Vishal Belsare - Quantitative Finance Stack Exchange

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visits	member for	2 years, 3 months
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	432 reputation	bio	website		visits	member for	2 years, 3 months
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What books should any quantitative portfolio manager or risk manager have as reference?

nov 17 '11 at 17:34 Heavywood 31

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10

votes

2

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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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10

votes

2

answers

556

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Reference request: Survey article on GPU in Finance

programming hardware gpgpu

oct 18 at 15:48 Quartz 326

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3

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555

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What is the expected return I should use for the momentum strategy in MV optimization framework?

quant-trading-strategies optimization expected-return

mar 14 at 2:28 Richard 11

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2

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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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10

votes

2

answers

662

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Simulating Returns

correlation r simulations

may 23 '11 at 22:03 Zach 556

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4

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2

kviews

Using linear regression on (lagged) returns of one stock to predict returns of another

forecasting vix prediction regression

jun 15 '11 at 8:36 Frank_M 31

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2

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551

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Why is the ratio of Hi-Low range to Open-Close range close to 2?

data analysis

jun 16 '12 at 13:21 Louis Marascio 1,682

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votes

2

answers

570

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How does one analyze diversification if stock prices follow a Cauchy distribution?

diversification

aug 7 '11 at 14:08 Tal Fishman 6,740

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votes

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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4

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1

kviews

How do you evaluate a covariance forecast?

forecasting statistics covariance

feb 10 '11 at 18:40 Paul H. Lasky 251

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7

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5

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Is the Interactive Brokers API suitable for hft?

hft api interactive-brokers

apr 9 at 7:52 asianskills 1

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2

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771

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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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2

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1

kviews

Is there a standard method for quantifying mean-reversion for use in directional trading?

trading mean-reversion

feb 17 '11 at 18:35 ZAxisMapping 829

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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

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2

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1

kviews

Drawbacks & Caveats of using (N)Esper for ESP/CEP in trading systems?

programming cep

apr 28 '12 at 5:03 Kim 21

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3

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429

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How would you test the hypothesis “There are no idiosyncratic returns available in the market”?

correlation market

jul 20 '11 at 0:55 Quant Guy 7,521

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1

answer

248

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Appropriate measure of Volatility for economic returns from an asset?

options black-scholes volatility real

feb 8 '11 at 8:15 dragunov 131

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9

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3

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797

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What is the ideal ratio of in-sample length to out-of-sample length?

backtesting quant-trading-strategies

sep 23 '11 at 14:26 babelproofreader 1,077

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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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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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4

answers

2

kviews

Should Sharpe ratio be computed using log returns or relative returns?

returns sharpe-ratio

jul 22 '11 at 15:59 Tal Fishman 6,740

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5

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930

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When to shut down a trend following strategy?

arbitrage

mar 24 '11 at 3:46 giminey 61

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1

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305

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copula-marginal algorithm

risk-management copula

mar 2 '12 at 6:06 pyCthon 449

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1

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383

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How are Expected Shortfall and Variance related?

risk statistics

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

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2

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452

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How to compute performance attribution between daily rebalanced strategies?

portfolio-management performance

feb 8 '12 at 21:18 Suminda Sirinath Salpitikorala 371

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1

answer

431

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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 1,817

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1

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522

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

quant-trading-strategies indicator

jan 22 '12 at 10:51 SRKX♦ 4,699

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3

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898

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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 7,521

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2

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1

kviews

Why a self-financing replicating portfolio should always exist?

black-scholes derivatives

jan 6 '12 at 9:48 楊祝昇 973

Vishal Belsare

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