User Jase - Quantitative Finance Stack Exchange

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	428 reputation	bio	website		visits	member for	7 months
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320

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What is the case for active management?

jul 26 at 15:18 Tal Fishman 6,765

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5

votes

2

answers

320

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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♦ 4,788

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5

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2

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314

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Problems with dealing with GARCH models and intra-day data

volatility modeling high-frequency hft garch

2d ago messahli 1

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1

answer

311

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Should cointegration be tested using close or adjusted close prices?

cointegration returns pair-trading

oct 24 '11 at 20:12 Tal Fishman 6,765

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6

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2

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309

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Efficiency vs. Robustness - To use a constant or not in single factor time-series regression?

statistics regression estimation no-arbitrage-theory pricing

aug 2 '11 at 20:32 Quant Guy 7,554

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12

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1

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302

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Parameter estimation of Ornstein–Uhlenbeck and CIR processes

stochastic-processes kalman parameter-estimation

may 21 at 19:02 Veeken 137

7

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3

answers

300

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Is there data on market participants at a particular moment?

data trading market-data market

oct 15 '11 at 22:50 Ryogi 1,837

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8

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1

answer

278

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What is a commonly accepted econometric model for volume?

time-series modeling volume econometrics

may 27 '12 at 9:57 SRKX♦ 4,788

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1

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271

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Topological methods in finance

reference-request software application topological-methods

jan 27 at 14:41 Alexey Kalmykov 1,756

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1

answer

262

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What approaches are there for stress testing a portfolio?

risk var stress

feb 4 '11 at 17:23 TheBridge 2,245

2

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1

answer

239

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Econometric vs ANN models for forecast?

forecasting econometrics neural-networks

jan 2 '12 at 22:43 Quant Guy 7,554

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7

votes

2

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218

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GBM 3d plot with R

r brownian-motion

dec 5 at 7:29 Bob Jansen 1,207

1

vote

1

answer

214

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Performance Stats of Pairs Trades

pair-trading sharpe-ratio

nov 22 at 9:09 Matt Wolf 6,118

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9

votes

1

answer

210

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Is a linear combination of GARCH processes also a GARCH process?

time-series mathematics garch econometrics

jun 20 '12 at 15:35 Tal Fishman 6,765

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4

votes

2

answers

199

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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 6,399

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3

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1

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172

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How to determine ratios for mean-reverting basket

quant-trading-strategies statistics trading regression cointegration

jun 2 at 13:17 Community♦ 1

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vote

0

answers

164

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How would I calculate a stop on a pair trade? [closed]

risk pair-trading

nov 30 '11 at 0:55 Rick 9

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4

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0

answers

156

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Asymmetric Volatility Modeling (Interpretation)

volatility time-series statistics research finance

jan 11 at 19:40 chrisaycock♦ 5,212

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4

votes

1

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144

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Modeling interest rates with correlation

modeling

dec 4 '11 at 20:41 SRKX♦ 4,788

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2

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0

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121

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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

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0

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111

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

volatility time-series statistics

mar 8 at 13:45 Richard 1,399

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0

answers

91

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Combining Mulitple Forecasts? Budged Constraints?

forecast

nov 13 at 11:39 Stewart Charles 21

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3

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0

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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

Jase

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