User Jase - Quantitative Finance Stack Exchange

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11

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What are some research articles on using principle components to generate alpha?

feb 25 at 12:31 Andre P. 11

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11

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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 6,289

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11

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3

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687

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How to detect regime change when estimating asset correlation from historical time series?

time-series correlation estimation market-regimes

jan 16 at 8:01 Jase 358

4

11

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2

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608

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What is the precision of standard deviation estimates with small samples?

statistics econometrics

jun 10 '12 at 17:47 SRKX♦ 4,699

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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

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11

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5

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675

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What are the best Journals & Conferences in Quantitative Finance?

research

may 13 at 13:23 AlgoQuant 31

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11

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Volatility pumping in practice

volatility trading kelly-criterion

mar 11 at 11:21 chrisaycock♦ 5,268

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11

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3

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756

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Role of skewness in portfolio optimization?

optimization portfolio-management modern-portfolio-theory skewness

aug 29 '11 at 20:11 Pasha 174

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11

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3

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1

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What methods do you use to improve expected return estimates when constructing a portfolio in a mean-variance framework?

modern-portfolio-theory mean-variance expected-return estimation

feb 1 '11 at 8:09 Anass 81

11

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4

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3

kviews

Is statistical arbitrage on FX possible?

fx research arbitrage pair-trading

aug 30 '11 at 14:03 Tal Fishman 6,740

5

11

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4

answers

5

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Why are GARCH models used to forecast volatility if residuals are often correlated?

volatility time-series forecasting best-practices

apr 6 '12 at 1:56 Quant Guy 7,521

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11

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3

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Are there any good tools for back testing options strategies?

backtesting option-strategies software

nov 28 at 0:32 Vtech 41

11

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2

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1

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Is there any good research on support and resistance?

strategy research technicals

aug 8 '11 at 4:42 Tal Fishman 6,740

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11

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2

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478

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Transparent quant products with real track record

option-strategies quant-trading-strategies

feb 11 '11 at 10:03 Joshua Chance 780

1

11

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1

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663

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What is a good topic on financial time series analysis for master thesis?

time-series finance

jul 1 '11 at 12:41 Alexey Kalmykov 1,741

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10

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5

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745

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Is it possible to use a series of option prices to predict the most likely path of an asset?

option-strategies

feb 8 '11 at 13:45 vonjd 6,289

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3

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2

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How to combine multiple trading algorithms?

trading automated-trading quant-trading-strategies performance

nov 11 '11 at 3:35 Tal Fishman 6,740

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10

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2

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1

kviews

Is there a standard method for quantifying mean-reversion for use in directional trading?

trading mean-reversion

feb 17 '11 at 18:35 ZAxisMapping 829

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10

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3

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896

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George Soros models

models

dec 12 at 18:42 SRKX♦ 4,699

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10

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References for developing an automated trading system?

automated-trading research trading-systems market-microstructure development

apr 18 '12 at 1:58 lehalle 1,703

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10

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1

answer

382

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Issues when considering a quantitative trading/finance firm

career banks

sep 15 '11 at 18:34 Louis Marascio 1,682

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7

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5

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Is the Interactive Brokers API suitable for hft?

hft api interactive-brokers

apr 9 at 7:52 asianskills 1

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5

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1

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Formal proof for risk-neutral pricing formula

option-pricing pricing-formulae risk-neutral-measure

apr 9 '12 at 14:42 SRKX♦ 4,699

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10

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4

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2

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Using linear regression on (lagged) returns of one stock to predict returns of another

forecasting vix prediction regression

jun 15 '11 at 8:36 Frank_M 31

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10

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4

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781

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What books should any quantitative portfolio manager or risk manager have as reference?

risk-management portfolio-management reference-request

nov 17 '11 at 17:34 Heavywood 31

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10

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1

answer

259

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What approaches are there for stress testing a portfolio?

risk var stress

feb 4 '11 at 17:23 TheBridge 2,220

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10

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7

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663

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Keeping a track record honest

trading-systems

mar 22 '11 at 2:37 Adal 708

3

10

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1

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207

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State-space representation of Ornstein–Uhlenbeck and CIR processes

stochastic-processes kalman

may 12 at 15:46 Lisa Ann 126

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9

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How can I learn about the quantitative aspects of market making in illiquid single stock options?

equities quant-trading-strategies option-strategies market-making

aug 10 '11 at 18:19 Tal Fishman 6,740

5

9

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2

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1

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How do I calculate the skewness of a portfolio of assets?

time-series statistics portfolio-management skewness

jun 17 '12 at 18:06 Community♦ 1

Jase

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