User snth - Quantitative Finance Stack Exchange

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visits	member for	2 years, 3 months
	seen	May 15 at 7:40
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	161 reputation	bio	website		visits	member for	2 years, 3 months
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3

12

votes

2

answers

236

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Parameter estimation of Ornstein–Uhlenbeck and CIR processes

2h ago Veeken 182

28

48

votes

15

answers

3

kviews

What concepts are the most dangerous ones in quantitative finance work?

theory academia

mar 1 at 14:37 kurast 166

1

6

votes

3

answers

265

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Scanning a stock database for errors/flaws

equities database error

mar 19 at 11:16 chrisaycock♦ 5,290

69

48

votes

15

answers

6

kviews

Video lectures and presentations on quantitative finance

research finance education big-list

jan 12 at 22:23 André Christoffer Andersen 141

3

5

votes

1

answer

156

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Toy models of asset returns

research returns theory asset-returns

feb 27 at 9:58 Matt Wolf 5,689

4

7

votes

2

answers

429

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Applications of Fourier theory in trading

trading high-frequency fourier-transform

feb 26 at 15:36 Matt Wolf 5,689

2

3

votes

0

answers

171

views

how to represent financial data as a spatial process

statistics modeling geostatistics

feb 22 at 4:57 pyCthon 460

2

7

votes

2

answers

548

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Why do we use GARCH(1,1) to predict volatility?

garch arma

mar 5 at 7:14 Wang Weinan 38

8

15

votes

5

answers

2

kviews

Skew arbitrage: How can you realize the skewness of the underlying?

options volatility trading hedging option-strategies

dec 7 at 19:14 chrisaycock♦ 5,290

2

7

votes

2

answers

538

views

Kelly criterion and Sharpe ratio

sharpe-ratio kelly-criterion

feb 18 at 17:14 Brian Y. 1

4

8

votes

1

answer

251

views

Topological methods in finance

reference-request software application topological-methods

jan 27 at 14:41 Alexey Kalmykov 1,741

2

5

votes

1

answer

238

views

Robust-Bayesian optimization in Markowitz framework

mean-variance robust-optimization bayesian

jan 24 at 22:56 philippe 348

4

15

votes

7

answers

649

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Are there ways to measure the risk aversion of a representative investor, based on publicly available market data?

research reference-request market risk-premium

mar 29 '12 at 10:21 Vishal Belsare 432

3

9

votes

7

answers

679

views

When hiring a quant, how can I protect my IP?

intellectual-property

jan 22 at 23:46 Darren Cook 570

2

5

votes

3

answers

263

views

The Basis of Using Technical Indicators as Inputs

time-series forecasting technicals modelling

jan 22 at 2:51 Matt Wolf 5,689

3

5

votes

0

answers

155

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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 358

28

15

votes

5

answers

2

kviews

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

soft-question books mathematics

nov 29 at 5:57 William S. Wong 300

3

6

votes

3

answers

205

views

What is the canonical reference for Minimum Variance Portfolio's uniqueness?

optimization asset-allocation reference-request minimum-variance

jan 17 at 1:54 Nate 141

10

votes

5

answers

7

kviews

How to annualize Sharpe Ratio?

sharpe-ratio

mar 2 at 3:30 Evan Teitelman 103

2

8

votes

2

answers

481

views

Why do low standard deviation stocks tend to have superior future returns?

volatility equities portfolio-management modern-portfolio-theory variance

jan 25 at 18:05 user1234440 381

4

6

votes

2

answers

341

views

How to transform process to risk-neutral measure for Monte Carlo option pricing?

options option-pricing monte-carlo risk-neutral-measure

oct 17 at 20:08 FKaria 101

1

4

votes

3

answers

272

views

Calculating the right portfolio(position size for each leg) in a Long/Short Strategy

portfolio-management portfolio pair-trading

oct 22 at 23:03 pteetor 1,252

3

6

votes

4

answers

477

views

Why the interest rate for put-call parity is not constant?

options interest-rates put-call-parity

oct 29 at 19:49 justin-- 250

3

5

votes

2

answers

368

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Comparing MVO with Resampled Efficient Frontier

portfolio-management optimization modern-portfolio-theory mean-variance bootstrapping

sep 28 at 19:05 richard michaud 21

5

votes

3

answers

354

views

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

portfolio-selection

aug 31 at 17:16 Strange 354

120

93

votes

19

answers

24

kviews

What data sources are available online?

data finance economics

apr 24 at 9:44 haki 101

2

7

votes

4

answers

409

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Is this a common variation of sharpe ratio?

sharpe-ratio

aug 23 at 4:12 Quant Guy 7,521

8

12

votes

2

answers

1

kviews

statistical arbitrage option overlay strategies / volatility trading

volatility quant-trading-strategies trading option-strategies

may 29 '12 at 14:51 John 1,616

6

11

votes

5

answers

1

kviews

portfolio optimisation with VaR (or CVaR) constraints

portfolio-management optimization var

jan 13 at 13:29 Marc Shivers 424

21

23

votes

5

answers

2

kviews

How do I graphically represent the evolution of a covariance matrix over time?

time-series correlation covariance

apr 26 '12 at 13:15 Qbik 350

snth

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