User Jase - Quantitative Finance Stack Exchange

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	358 reputation	bio	website		visits	member for	6 months
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15

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What are some good technical and non-technical books for a math lover to get in to quantitative analysis?

jan 31 '11 at 21:39 Jason 101

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Categories of systematic trading strategies?

strategy mean-reversion

feb 8 '11 at 20:57 Adal 708

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How do I reproduce the cross-sectional regression in “Intraday Patterns in the Cross-section of Stock Returns”?

equities research statistics regression theory

sep 26 '11 at 21:08 Tal Fishman 6,740

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678

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Is Duration really the slope of the Price-Yield curve?

interest-rates fixed-income duration yield-curve

jan 19 '12 at 4:11 David Harper 176

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683

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How to properly evaluate backtest returns?

automated-trading quant-trading-strategies backtesting

dec 6 '11 at 19:02 Tal Fishman 6,740

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4

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Trading C++ Libraries

backtesting automated-trading programming

apr 1 '11 at 19:09 babelproofreader 1,077

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435

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What are the ensemble techniques to forecast returns?

backtesting forecasting

feb 8 '11 at 13:41 Dirk Eddelbuettel 3,098

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1

answer

939

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How does Kalman filtering of beta in pairs trading model work in R?

beta pair-trading

nov 10 '11 at 14:54 Quant Guy 7,531

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632

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How do I replicate John Hussman's recession forecasting methodology?

r forecasting machine-learning macro-economics

aug 10 '11 at 13:38 Zach 556

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What is a medium to low frequency trading strategy and why is it less hyped?

automated-trading quant-trading-strategies high-frequency hft

oct 26 '11 at 21:31 Tal Fishman 6,740

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703

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Using rolling returns in a multivariate linear regression?

returns regression multivariate

nov 14 at 23:01 Community♦ 1

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458

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What quant terms to use to search for papers about “stop-hunting” trading strategies?

strategy liquidity

sep 25 '11 at 19:51 Tal Fishman 6,740

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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 7,531

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How to build a mean reverting basket?

mean-reversion pair-trading

may 12 '12 at 7:20 chrisaycock♦ 5,300

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341

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portfolio optimization from empirical return distributions

optimization monte-carlo portfolio

nov 21 at 4:12 Quant Guy 7,531

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1

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R code for Ornstein-Uhlenbeck process

r mean mean-reversion

nov 19 at 19:16 Louis Marascio 1,682

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Which algorithm should I look into to kick off my research in algorithmic trading?

trading high-frequency market-data

nov 17 '11 at 2:22 Shane 5,098

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4

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711

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Stock Price Behavior and GARCH

monte-carlo stochastic-volatility garch

dec 12 at 11:14 Jase 358

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1

answer

571

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Can momentum strategies be quantitative in nature?

quant-trading-strategies

dec 10 '11 at 23:09 Tal Fishman 6,740

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2

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665

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Optimality of Kelly criterion in non-normal environment

quant-trading-strategies kelly-criterion

dec 3 at 15:54 John 1,626

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1

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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 5,699

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2

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423

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cointegration applied to Portfolio Construction & Risk management

risk correlation portfolio-management cointegration

may 8 '12 at 16:39 lehalle 1,713

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1

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415

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USDCAD options vs CADUSD options arbitrage?

arbitrage

feb 26 '11 at 16:23 glyphard 2,448

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How many explanatory variables is too many?

statistics quant-trading-strategies modeling prediction

oct 25 '11 at 1:49 Tal Fishman 6,740

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1

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2

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Annualzing the log of daily returns riddle

volatility risk returns statistics lognormal

jul 14 '11 at 5:59 Quant Guy 7,531

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2

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597

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How does one go from measure P to Q(risk-neutral) when modeling an asset paying dividends?

option-pricing stochastic-calculus stochastic-processes mathematics risk-neutral-measure

may 20 '12 at 13:55 FKaria 101

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3

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754

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Can the Hurst exponent be greater than one?

statistics quantitative hurst-exponent

nov 3 at 18:45 montyhall 17

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4

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Do low volatility stocks outperform high volatility stocks over the long run?

volatility risk research equities

sep 17 '11 at 8:42 Patrick Burns 1,609

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How do I incorporate time-variability in a pair trading framework?

time-series cointegration

jul 24 '11 at 2:09 RockScience 834

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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

Jase

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