User snth - Quantitative Finance Stack Exchange

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visits	member for	2 years, 3 months
	seen	May 22 at 9:09
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	161 reputation	bio	website		visits	member for	2 years, 3 months
5 badges		location			seen	May 22 at 9:09

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7

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How to annualize Sharpe Ratio?

sharpe-ratio

mar 2 at 3:30 Evan Teitelman 103

3

9

votes

7

answers

685

views

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

intellectual-property

jan 22 at 23:46 Darren Cook 570

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9

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2

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309

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local price return and volume relationship

feb 29 '12 at 0:18 Darren Cook 570

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6

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2

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How high of a Sharpe ratio is implausibly high for a low-frequency equity strategy?

research reference-request performance sharpe-ratio performance-evaluation

nov 26 at 0:21 chrisaycock♦ 5,263

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9

votes

1

answer

312

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How does one measure the effect of latency on potential returns?

quant-trading-strategies trading-systems market-making sharpe-ratio latency

jul 23 at 16:18 Ryogi 1,827

5

9

votes

1

answer

385

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How are Expected Shortfall and Variance related?

risk statistics

feb 14 '12 at 22:01 Brian B 6,093

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9

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2

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1

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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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9

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1

answer

432

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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 1,827

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8

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1

answer

309

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Has any research used Bayesian networks to estimate risk factor betas?

statistics r machine-learning risk-models factor-models

oct 23 '11 at 0:01 cyborg 176

3

8

votes

1

answer

210

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Do weights from portfolio theory contain bias?

modern-portfolio-theory variance

apr 9 '12 at 14:56 Quant Guy 7,531

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8

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2

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574

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Analytical relationship between a covariance matrix and cross-sectional dispersion

volatility covariance correlation-matrix

may 4 '12 at 14:41 Vincent Zoonekynd 430

3

8

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4

answers

2

kviews

Should I use an arithmetic or a geometric calculation for the Sharpe Ratio?

statistics returns calculation

jun 24 '12 at 5:14 shabbychef 1,111

2

8

votes

2

answers

483

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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 380

4

8

votes

1

answer

257

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Topological methods in finance

reference-request software application topological-methods

jan 27 at 14:41 Alexey Kalmykov 1,741

2

7

votes

2

answers

552

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Kelly criterion and Sharpe ratio

sharpe-ratio kelly-criterion

feb 18 at 17:14 Brian Y. 1

2

7

votes

2

answers

560

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

garch arma

mar 5 at 7:14 Wang Weinan 38

4

7

votes

2

answers

432

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Applications of Fourier theory in trading

trading high-frequency fourier-transform

feb 26 at 15:36 Matt Wolf 5,813

2

7

votes

4

answers

411

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Is this a common variation of sharpe ratio?

sharpe-ratio

aug 23 at 4:12 Quant Guy 7,531

2

7

votes

2

answers

161

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Is there an optimal covariance one would want forecasts to have?

forecasting covariance modern-portfolio-theory

may 1 '12 at 19:02 Konsta 328

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7

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4

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1

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Statistical learning libraries

machine-learning programming

sep 8 '11 at 13:39 Louis Marascio 1,682

2

7

votes

2

answers

663

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Why doesn't Black-Scholes work in discrete time?

option-pricing black-scholes theory random-variables

jan 16 '12 at 19:48 chrisaycock♦ 5,263

6

7

votes

1

answer

638

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What are some quantitative approaches to value investment?

valuation investing

aug 7 '11 at 12:44 Tal Fishman 6,740

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7

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3

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414

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Does random matrix theory (RMT) for returns' correlation matrices apply if there are high correlations?

correlation random-matrix-theory

apr 28 '12 at 13:56 Bob Jansen 1,142

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6

votes

3

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208

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zero-sum active management riddle

academia

nov 28 '11 at 19:38 richardh♦ 3,025

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6

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1

answer

941

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How does Kalman filtering of beta in pairs trading model work in R?

beta pair-trading

nov 10 '11 at 14:54 Quant Guy 7,531

3

6

votes

4

answers

479

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

options interest-rates put-call-parity

oct 29 at 19:49 justin-- 250

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6

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5

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2

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What are your opinions on WEKA KnowledgeFlow, Rapidminer, and other rapid development environments for machine learning?

machine-learning visualization

oct 27 '11 at 2:16 Darren Cook 570

4

6

votes

2

answers

344

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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

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6

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3

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206

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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

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6

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1

answer

574

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How can I use Entropy-pooling of Atillio Meucci to constuct a portfolio?

risk portfolio-management optimization asset-allocation entropy-pooling

nov 26 at 18:59 SRKX♦ 4,749

snth

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