User Jase - Quantitative Finance Stack Exchange

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	358 reputation	bio	website		visits	member for	6 months
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3

12

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1

answer

258

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Parameter estimation of Ornstein–Uhlenbeck and CIR processes

1d ago Veeken 127

1

3

votes

0

answers

106

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Fitting a non linear AR + GARCH(1,1)-M model

volatility time-series statistics

mar 8 at 13:45 Richard 1,344

2

votes

3

answers

273

views

Is there an Australian Interbank Rate?

interest-rates libor interbank-rates

feb 22 at 9:20 Phil H 768

1

5

votes

1

answer

245

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Problems with dealing with GARCH models and intra-day data

volatility modeling high-frequency hft garch

feb 16 at 20:34 pyCthon 450

4

8

votes

1

answer

252

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Topological methods in finance

reference-request software application topological-methods

jan 27 at 14:41 Alexey Kalmykov 1,741

5

12

votes

2

answers

555

views

How do we use option price models (like Black-Scholes Model) to make money in practice?

option-pricing black-scholes models

jan 15 at 12:10 Matt Wolf 5,707

2

4

votes

0

answers

143

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Asymmetric Volatility Modeling (Interpretation)

volatility time-series statistics research finance

jan 11 at 19:40 chrisaycock♦ 5,250

2

5

votes

2

answers

289

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What is the mean and the standard deviation for Geometric Ornstein-Uhlenbeck Process?

stochastic-calculus stochastic-processes

jan 18 at 13:15 SRKX♦ 4,719

7

votes

3

answers

518

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Hidden Markov Model & Its Application

statistics r hidden-markov-model

dec 28 at 13:37 Rainer 33

3

4

votes

4

answers

345

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What sources would you recommend for Real Time Market Data other than Bloomberg/Reuters?

market-data

dec 29 at 13:39 edouard 333

2

4

votes

2

answers

191

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Most natural generalization of covariance/correlation to model dependence of extreme events

correlation covariance extreme-events fat-tails dependence

dec 26 at 17:40 vonjd 6,299

8

11

votes

5

answers

682

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What are the best Journals & Conferences in Quantitative Finance?

research

may 13 at 13:23 AlgoQuant 31

3

0

votes

2

answers

897

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Kalman Filter Equity Example

statistics r quants kalman

dec 15 at 0:55 Andrew 385

1

3

votes

0

answers

81

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Estimating two normal random numbers with one equation

futures factor-models brownian-motion pca multivariate

dec 5 at 20:10 user1141785 116

2

7

votes

2

answers

208

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GBM 3d plot with R

r brownian-motion

dec 5 at 7:29 Bob Jansen 1,144

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-3

votes

1

answer

346

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Is there a piratebay for data(bases)? (here, talking about historical financial data)

market-data data-mining historical-data

nov 30 at 23:02 n.e.w 242

1

vote

1

answer

207

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Performance Stats of Pairs Trades

pair-trading sharpe-ratio

nov 22 at 9:09 Matt Wolf 5,707

2

6

votes

5

answers

341

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portfolio optimization from empirical return distributions

optimization monte-carlo portfolio

nov 21 at 4:12 Quant Guy 7,531

4

3

votes

2

answers

358

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When gains are made: Overnight or during trading hours? What is the connection to volatility?

volatility returns risk-premium anomalies

nov 20 at 21:33 itzy 151

1

2

votes

0

answers

117

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Optimal Position Size with Transaction Costs given Forecast Mean and StDev

position-sizing money-management transaction-costs forecast

nov 13 at 19:54 montyhall 17

2

votes

0

answers

91

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Combining Mulitple Forecasts? Budged Constraints?

forecast combination

nov 13 at 11:39 Stewart Charles 21

4

5

votes

5

answers

2

kviews

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

black-scholes implied-volatility

feb 16 at 1:47 Community♦ 1

1

3

votes

1

answer

294

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How do I evaluate the suitability of a GARCH model?

garch

nov 5 at 17:25 justin-- 250

2

4

votes

1

answer

396

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Trade execution in HFT - role of quants

high-frequency order-execution

nov 3 at 13:49 Matt Wolf 5,707

3

7

votes

4

answers

675

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Sources of Machine Readable News

automated-trading news modelling

nov 2 at 14:40 Bill the Lizard 127

2

5

votes

3

answers

755

views

Can the Hurst exponent be greater than one?

statistics quantitative hurst-exponent

nov 3 at 18:45 montyhall 17

1

5

votes

1

answer

403

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Statistical significance of trading systems that use indicators with long lookbacks

quant-trading-strategies backtesting

oct 20 at 14:36 Matt Wolf 5,707

2

3

votes

2

answers

494

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Searching for pairs-trading in sub O(n^2 t) time

algorithm pair-trading correlation-matrix

oct 15 at 7:05 justin-- 250

3

votes

2

answers

760

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Pair Trading Index Options

options pair-trading index

may 11 at 22:07 Community♦ 1

9

8

votes

1

answer

388

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Meta-view of different time-series similarity measures?

time-series correlation cointegration factor-models pca

aug 17 at 17:10 lehalle 1,713

Jase

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