User Vishal Belsare - Quantitative Finance Stack Exchange

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	462 reputation	bio	website		visits	member for	2 years, 4 months
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What distribution to assume for interest rates?

sep 9 at 1:46 Strange 354

2

6

votes

2

answers

1

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Cluster analysis vs PCA for risk models?

risk-models pca

mar 18 '11 at 16:44 Ralph Winters 644

1

6

votes

2

answers

217

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How to represent constraints for optimization problems in a data model?

optimization

jun 10 '12 at 17:51 SRKX♦ 4,788

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4

answers

1

kviews

Predicting Price Movements on a Betting Exchange

automated-trading modeling pricing-formulae

sep 28 at 5:10 jokerjoe 11

4

5

votes

1

answer

427

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Tradable Volatility

volatility

may 24 '11 at 23:31 chrisaycock♦ 5,212

5

votes

0

answers

334

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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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5

votes

0

answers

473

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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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5

votes

2

answers

433

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cointegration applied to Portfolio Construction & Risk management

risk correlation portfolio-management cointegration

may 8 '12 at 16:39 lehalle 1,723

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5

votes

2

answers

355

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Choosing the time-frame to test for cointegration

time-series cointegration

apr 11 '12 at 21:25 Peter Irojah 156

5

votes

2

answers

730

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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

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0

answers

171

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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 428

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5

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0

answers

198

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

time-series hurst-exponent nonlinear

sep 10 at 17:52 ezbentley 195

5

votes

1

answer

349

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How to model time series of illiquid stocks - 400 observations (transactions) per 8 hours?

time-series statistics modeling liquidity econometrics

may 27 '12 at 7:32 lehalle 1,723

2

5

votes

4

answers

643

views

How to compute momentum from equity time series?

time-series equities technicals

oct 18 '11 at 18:44 Tal Fishman 6,765

3

5

votes

1

answer

246

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Robust-Bayesian optimization in Markowitz framework

mean-variance robust-optimization bayesian

jan 24 at 22:56 philippe 348

3

5

votes

4

answers

611

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Fastest solver possible for portfolio optimization

programming optimization mean-variance

jan 7 at 12:29 montyhall 17

1

5

votes

1

answer

173

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RMT (Random Matrix Theory) issue with callibrating MP distribution -

correlation portfolio random-matrix-theory

jan 24 '12 at 21:09 Quant Guy 7,554

5

votes

3

answers

358

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

portfolio-selection

aug 31 at 17:16 Strange 354

4

5

votes

1

answer

324

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Are there any tools or useful algos for identifying corner portfolios?

portfolio-management r portfolio

dec 22 at 23:55 Bryce 314

2

5

votes

4

answers

430

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How to optimize a portfolio under both maximum diversity ratio and minimum variance

optimization portfolio-selection

may 22 at 22:54 kristine 196

2

5

votes

1

answer

216

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Multiple comparison problems

backtesting modeling reject-inference

apr 19 '11 at 17:00 bill_080 2,682

4

5

votes

5

answers

1

kviews

How many explanatory variables is too many?

statistics quant-trading-strategies modeling prediction

oct 25 '11 at 1:49 Tal Fishman 6,765

4

5

votes

2

answers

617

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How do I incorporate time-variability in a pair trading framework?

time-series cointegration

jul 24 '11 at 2:09 RockScience 834

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5

votes

1

answer

539

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How to simulate correlated assets for illustrating portfolio diversification?

correlation simulations diversification random-walk

feb 6 '12 at 21:06 Tal Fishman 6,765

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5

votes

2

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395

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What is Quantization ?

numerical-methods

may 20 '11 at 15:12 Quantization methods 36

5

votes

3

answers

739

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How significant is slippage in a successful quant fund?

slippage

oct 31 '11 at 23:58 Ryogi 1,847

2

5

votes

2

answers

551

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FX Tick Data question

data fx

apr 8 '11 at 1:50 Shane 5,138

5

votes

5

answers

1

kviews

What are the advantages of switching platforms/languages between strategy development and implementation?

backtesting quant-trading-strategies

feb 2 '12 at 1:46 Dirk Eddelbuettel 3,098

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5

votes

1

answer

586

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Can momentum strategies be quantitative in nature?

quant-trading-strategies

dec 10 '11 at 23:09 Tal Fishman 6,765

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votes

4

answers

731

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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 1,619

Vishal Belsare

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