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Oct
27
answered How to normalize Futures data(different leverage) for cointegration test?
Oct
27
answered How to cluster stocks and construct an affinity matrix?
Oct
26
answered Fixed income modeling
Oct
25
asked Which is a more appropriate choice of risk measurement in a utility function, CVaR or VaR?
Oct
21
asked Has any research used Bayesian networks to estimate risk factor betas?
Oct
20
asked Cleansing covariance matrices via Random matrix theory
Oct
20
answered How to calculate unsystematic risk?
Oct
17
answered How to forecast expected volatility from high-frequency equity panel data?
Oct
14
answered How can one determine approximately what percentage of options trades are buyer-initiated vs. seller-initiated?
Oct
13
answered Why is an inverted yield curve a problem?
Oct
13
answered How to optimally allocate capital among trading strategies?
Oct
13
answered How do earnings estimates respond to changes in underlying fundamentals and economic conditions?
Oct
13
answered How to detect regime change when estimating asset correlation from historical time series?
Oct
6
answered Switching from C++ to R - limitations/applications
Oct
5
answered How to build a regime-switching model which knows its own limits?
Oct
5
asked Choice of prior as a shrinkage target in portfolio construction?
Oct
3
answered Is there any research on applying state-space or dynamic linear models to forecasting equity risk premia?
Oct
1
asked What is the best way to “fix” a covariance matrix that is not positive semi-definite?
Sep
27
answered How do you distinguish “significant” moves from noise?
Sep
26
answered Recommendations for books to understand the math in quantitative finance papers?