Matt Wolf

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location Tokyo, Japan
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visits member for 1 year, 2 months
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179 Answers

newest activity votes
4
Best way to store hourly/daily options data for research purposes
4
Call vs. Put Option
4
Why do long-term equity return forecast models use dependent observations?
4
Does implied vol vary for calls vs puts?
4
What is the proper way to calculate returns for Pair Trading?
4
Toy models of asset returns
4
Why C is still in use especially in area of numerical optimization (instead of C++)?
4
time in time series database - UTC or local
4
Kelly criterion and Sharpe ratio
4
What is the industry standard Quant Finance modeling library for F#
4
Squared and Absolute Returns
4
Fastest algorithm for calculating retrospective maximum drawdown
4
Why use market capitalization weighted index over PCA?
4
When does delta hedging result in more risk?
4
Sources of Machine Readable News
4
.NET statistical packages recommendation
4
Appropriate method for calculating negative returns on a trading strategy?
4
What are the main differences between discrete and continuous time models when modeling asset price dynamics?
3
What are the differences between CFD and SSF?
3
In Black-Scholes, why is $\log{\frac{S_{t+\triangle t}}{S_t}} \sim \phi{((\mu - \frac{1}{2}\sigma^2)\triangle t, \sigma^2 \triangle t)}$?
3
How to deal with different amount of td's in computing Sharpe Ratio
3
Examples of investable factors via factor funds/ETFs
3
Endogeniety of Black-Scholes
3
Pairs trade CDS contracts using cointegration
3
Calculating Momentum From Returns
3
Stability of correlations and volatility
3
How to implement a long-term trade on oil?
3
how to quantify non-fundamental risk if variance is 100% discounted?
3
How to calculate two-time scale variance?
3
What continous adjustment methods are firms using for futures backtesting?
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