User Alexey Kalmykov - Quantitative Finance Stack Exchange

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visits	member for	2 years, 3 months
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	1,741 reputation	bio	website	quantfinance.ru	visits	member for	2 years, 3 months
417 badges		location			seen	30 mins ago

2

3

votes

1

answer

123

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Foward-start option pricing

apr 18 at 7:26 Paul 214

3

4

votes

1

answer

144

views

Non-arbitrage theory and existence of a risk premium

stochastic-processes stochastic-calculus no-arbitrage-theory

may 9 at 8:07 Community♦ 1

2

0

votes

0

answers

77

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Correlation Sensitivity

correlation

mar 20 at 7:05 nkhuyu 225

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11

votes

4

answers

2

kviews

Volatility pumping in practice

volatility trading kelly-criterion

mar 11 at 11:21 chrisaycock♦ 5,300

1

4

votes

1

answer

172

views

Stability of correlations and volatility

volatility correlation risk-management capital-markets

mar 6 at 13:10 Matt Wolf 5,699

1

5

votes

0

answers

69

views

How to perform Empirical Mode Decomposition?

fx machine-learning

mar 4 at 13:24 SRKX♦ 4,719

6

7

votes

3

answers

1

kviews

Order submission strategies of a rational market maker?

trading automated-trading high-frequency market-making limit-order-book

apr 18 '12 at 2:10 lehalle 1,713

1

4

votes

2

answers

270

views

Why doesn't a simulated delta hedging process go to zero?

options delta-hedging

feb 9 at 0:53 Matt Wolf 5,699

1

2

votes

1

answer

128

views

How to calculate implied volatility and greeks in Bull Put Spread option strategy?

options volatility greeks calculation

feb 1 at 2:54 Matt Wolf 5,699

21

17

votes

7

answers

6

kviews

How should I store tick data?

data interactive-brokers

aug 7 '11 at 13:34 Tal Fishman 6,740

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

16

19

votes

8

answers

5

kviews

Digital Signal Processing in Trading

trading digital-signal-processing

mar 22 at 20:47 Eric Kigathi 1

1

vote

2

answers

122

views

Delta of a Down and Out Call

options delta

jan 19 at 4:01 Strange 354

7

3

votes

1

answer

1

kviews

Where can I find some examples of high frequency or stat arb trading algorithms beyond basic textbook pairs trading?

high-frequency hft

jan 2 at 11:38 Nissim Nabar 41

2

4

votes

3

answers

437

views

Fastest algorithm for calculating retrospective maximum drawdown

algorithm drawdown maximum-drawdown

jan 4 at 16:44 fawce 131

4

3

votes

2

answers

358

views

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

4

votes

1

answer

378

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Coin Toss System

statistics modeling forecasting probability random-walk

nov 4 at 2:54 Shelagh 39

1

3

votes

2

answers

305

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Equity option portfolio greeks with underlying

options greeks portfolio

oct 25 at 17:20 strimp099 996

4

6

votes

2

answers

343

views

How to transform process to risk-neutral measure for Monte Carlo option pricing?

options option-pricing monte-carlo risk-neutral-measure

oct 17 at 20:08 FKaria 101

1

6

votes

1

answer

406

views

How do equivalent martingale measures arise in pricing?

pricing-formulae martingale

apr 17 '11 at 19:36 gappy 1,988

2

5

votes

1

answer

290

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Major FX pairs - Pentahedron Data Structure

time-series multivariate

oct 15 at 14:49 Phil H 768

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

4

11

votes

4

answers

2

kviews

data on historical stock price of bankrupt companies

data finance equities

mar 8 at 13:42 Kevin 1

1

4

votes

0

answers

89

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Rolling window Kendall's tau against APARCH(1,1) correlation

volatility correlation forecasting garch correlation-matrix

oct 5 at 23:30 Lisa Ann 146

6

8

votes

0

answers

182

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Measuring Behavioral Finance Effects in Fund/Portfolio Manager Analysis

performance-evaluation behavioral-finance manager-analysis

oct 3 at 6:45 vanguard2k 655

5

votes

3

answers

354

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Strategy Risk and Portfolio Allocation Model (copy from nuclear phynance)

portfolio-selection

aug 31 at 17:16 Strange 354

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

4

7

votes

1

answer

940

views

Multilayer Perceptron (Neural Network) for Time Series Prediction

machine-learning prediction neural-networks artificial-intelligence

jul 16 at 19:03 lehalle 1,713

3

7

votes

1

answer

719

views

Skewness and Kurtosis under aggregation

statistics returns skew kurtosis

nov 14 at 2:43 chrisaycock♦ 5,300

11

10

votes

2

answers

551

views

Why is the ratio of Hi-Low range to Open-Close range close to 2?

data analysis

jun 16 '12 at 13:21 Louis Marascio 1,682

Alexey Kalmykov

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