Ryogi

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seen May 15 at 16:05
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28 Answers

newest activity votes
3
Using variance ratios to test for mean reversion
3
Testing for stationarity in large sample sizes
2
Treasury Bond Yield Curves in R
5
Why is random trading minus transaction costs not zero expected value?
4
Does mean reverting imply mean stationary?
1
Volatility models using Rugarch
6
Alternative liquidity measures
4
How high of a Sharpe ratio is implausibly high for a low-frequency equity strategy?
10
How does one measure the effect of latency on potential returns?
4
Usefulness of simultaneously buying triangular and multiple arbitrages on the Forex
1
Good reference on sample autocorrelation?
2
Are two identical time series cointegrated?
14
From a high frequency point of view, with a price prediction and assuming infinite leverage, how do you determine optimal trade size?
1
Has spectrum analysis ever been used successfully to analyse historical price data?
1
How to define and measure liquidity or funding premium in credit markets?
2
How to check if a timeseries is stationary?
5
What close price to assume for thinly traded stocks?
7
What exactly is meant by “microstructure noise”?
5
Can social media be applied to algorithmic trading?
3
How significant is slippage in a successful quant fund?
15
How are limit orders selected from the order book?
16
How to annualize Sharpe Ratio?
5
What strategy would benefit most from having the fastest connection to the exchange?
6
How to execute a large futures order?
4
How to forecast expected volatility from high-frequency equity panel data?
6
Any research on how natural language processing can be used to forecast stocks?
2
Is there data on market participants at a particular moment?
6
Why do some anomalies persist while others fade away?