User Victor P - Quantitative Finance Stack Exchange

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	location	Santiago, Chile
	age	31
visits	member for	1 year, 1 month
	seen	2 days ago
stats	profile views	45

	353 reputation	bio	website		visits	member for	1 year, 1 month
110 badges		location	Santiago, Chile		seen	2 days ago

69

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Video lectures and presentations on quantitative finance

jan 12 at 22:23 André Christoffer Andersen 141

25

31

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10

answers

10

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Switching from C++ to R - limitations/applications

r development

jan 31 at 20:12 arielf 121

14

26

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5

answers

1

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What are the key risks to the quantitative strategy development process?

backtesting risk-management

mar 30 '11 at 3:56 Jason Wirth 41

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23

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6

answers

2

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What are the popular methodologies to minimize data snooping?

backtesting strategy

apr 7 '11 at 2:35 zweiterlinde 103

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22

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10

answers

3

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Separating the wheat from the chaff: What quant methods separate skillful managers from lucky ones?

performance-evaluation

mar 15 at 23:42 isomorphismes 332

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19

votes

8

answers

5

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Digital Signal Processing in Trading

trading digital-signal-processing

mar 22 at 20:47 Eric Kigathi 1

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17

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2

answers

1

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How much data is needed to validate a short-horizon trading strategy?

data time-series backtesting quant-trading-strategies arbitrage

sep 14 '11 at 23:47 chrisaycock♦ 5,290

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13

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9

answers

3

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Which brokers offer a .NET stock trading API?

automated-trading equities api broker

may 17 at 20:55 John Jelinek 27

8

12

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2

answers

1

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statistical arbitrage option overlay strategies / volatility trading

volatility quant-trading-strategies trading option-strategies

may 29 '12 at 14:51 John 1,616

3

12

votes

6

answers

665

views

Setting the r in put-call parity?

options interest-rates put-call-parity

nov 24 at 0:06 justin-- 250

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11

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3

answers

2

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Papers about backtesting option trading strategies

options backtesting quant-trading-strategies research option-strategies

sep 30 '11 at 7:45 vonjd 6,299

3

11

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1

answer

3

kviews

How to interpret the eigenmatrix from a Johansen cointegration test?

statistics cointegration

oct 5 '11 at 20:16 Owen 193

3

9

votes

7

answers

679

views

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

intellectual-property

jan 22 at 23:46 Darren Cook 570

3

8

votes

1

answer

431

views

What tools and libraries may be used to model limit/stop systematic trading?

backtesting programming

jul 26 at 15:10 Louis Marascio 1,682

7

votes

5

answers

787

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How can I quantitatively test the validity of momentum indicators?

statistics research indicator technicals

jan 23 at 11:47 vonjd 6,299

6

7

votes

4

answers

958

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Methods for pricing options

options option-pricing black-scholes monte-carlo

jan 15 at 10:12 nkhuyu 225

5

7

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2

answers

459

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When to use Monte Carlo simulation over analytical methods for options pricing?

options monte-carlo simulations

oct 2 at 16:12 Brian B 5,993

4

6

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2

answers

1

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How to build a mean reverting basket?

mean-reversion pair-trading

may 12 '12 at 7:20 chrisaycock♦ 5,290

8

6

votes

1

answer

743

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What is the best live options data API?

options programming api

aug 8 at 14:48 chrisaycock♦ 5,290

3

6

votes

4

answers

477

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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

4

5

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5

answers

2

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How do you explain the volatility smile in the Black-Scholes framework?

black-scholes implied-volatility

feb 16 at 1:47 Community♦ 1

2

5

votes

2

answers

348

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Choosing the time-frame to test for cointegration

time-series cointegration

apr 11 '12 at 21:25 Peter Irojah 156

2

5

votes

4

answers

839

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How should I include the bid-ask spread as a transaction cost in a backtest?

quant-trading-strategies backtesting implementation-shortfall transaction-costs

sep 21 at 9:43 HSH 11

3

5

votes

1

answer

157

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Toy models of asset returns

research returns theory asset-returns

feb 27 at 9:58 Matt Wolf 5,689

1

4

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2

answers

253

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Which interest rate should I use for the discount rate in real-world pricing?

interest-rates valuation pricing yield-curve

dec 28 '11 at 17:32 Tal Fishman 6,740

2

4

votes

2

answers

462

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How should I compute the Sharpe Ratio for mid-frequency pair trading strategy?

pair-trading sharpe-ratio

jun 10 '12 at 17:33 SRKX♦ 4,709

2

3

votes

2

answers

135

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Typical coefficients uses in square-root model for market impact

models transaction-costs

jan 23 at 3:24 Andrew 385

2

3

votes

2

answers

227

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Statistical significance of a pair trading strategy

statistics pair-trading mean-reversion

jan 28 at 18:29 Akavall 253

1

3

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2

answers

154

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What are the advantages/disadvantages of OHLC over VWAP?

vwap ohlc

jan 29 at 13:31 SRKX♦ 4,709

2

3

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0

answers

96

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Quant/Stat Factor Performance Website/Distribution?

quant-trading-strategies backtesting factor-models

may 5 at 23:55 Gene 16

Victor P

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