Andrey Taptunov

1,419 reputation

618

bio	website	linkedin.com/in/…
	location	Moscow, Russia
	age
visits	member for	2 years, 4 months
	seen	Mar 25 at 8:58
stats	profile views	139

	1,419 reputation	bio	website	linkedin.com/in/…	visits	member for	2 years, 4 months
618 badges		location	Moscow, Russia		seen	Mar 25 at 8:58

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20 Favorites

added views newest activity votes

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372

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Basket option pricing: step by step tutorial for beginners

dec 16 at 3:16 Rock 106

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answer

414

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Trade execution in HFT - role of quants

high-frequency order-execution

nov 3 at 13:49 Matt Wolf 6,217

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answers

492

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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 385

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answer

kviews

What are the main differences between discrete and continuous time models when modeling asset price dynamics?

modeling asset-pricing continuous-time

feb 29 '12 at 9:15 Matt Wolf 6,217

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answers

kviews

What causes the call and put volatility surface to differ?

options option-pricing black-scholes local-volatility

feb 6 '12 at 15:29 Tal Fishman 6,765

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593

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How to forecast expected volatility from high-frequency equity panel data?

volatility time-series equities research forecasting

oct 17 '11 at 15:54 Tal Fishman 6,765

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answer

392

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What techniques are used for testing order book implementations?

limit-order-book testing

oct 4 '11 at 21:23 Louis Marascio 1,682

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756

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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 7,554

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answers

447

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Empirical or theoretical quant insights that have shaped your thinking?

soft-question theory

jan 29 at 4:12 kristine 196

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471

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How to price a volatility-index option?

volatility option-pricing

oct 20 '11 at 22:17 bill_080 2,682

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answers

kviews

Is the stock price process a martingale or a Markov process?

equities martingale stochastic-processes

jan 20 at 6:31 GAM 76

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868

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How can one compute the Greeks on VIX Futures

option-pricing futures vix greeks

mar 7 '12 at 16:59 Soma Holiday 21

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answers

kviews

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 1,723

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answer

235

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Could banks move to continuous (rather than overnight) funding?

interest-rates fx banks

sep 6 at 12:31 Phil H 778

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answers

771

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HFT: What is the big differentiator in comparison to other time scales?

high-frequency quant-trading-strategies time-scale

may 2 '12 at 15:41 chrisaycock♦ 5,211

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483

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What is the relationship between risk aversion and preference for skewness and kurtosis in portfolio optimization?

risk modern-portfolio-theory skewness kurtosis

jan 4 '12 at 22:11 Tal Fishman 6,765

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answers

kviews

Why do high frequency traders use rapidly cancelled limit orders?

high-frequency hft market-making

feb 25 at 14:57 AlgoQuant 31

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725

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What functional form describes the implied volatility curve?

implied-volatility

feb 7 '12 at 22:43 Robert 319

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answers

kviews

How can we reverse engineer a market-making algorithm (HFT)?

trading automated-trading high-frequency hft market-microstructure

may 23 '12 at 18:43 onlyvix.blogspot.com 718

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answers

kviews

How does left tail risk differ from right tail risk?

risk probability expected-return

sep 22 '11 at 20:01 Feral Oink 241