User Alexey Kalmykov - Quantitative Finance Stack Exchange

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

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How should I store tick data?

data interactive-brokers

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

69

48

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15

answers

6

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Video lectures and presentations on quantitative finance

jan 12 at 22:23 André Christoffer Andersen 141

14

21

votes

9

answers

5

kviews

Why does the minimum variance portfolio provide good returns?

portfolio-management optimization modern-portfolio-theory covariance

mar 19 at 14:16 chrisaycock♦ 5,268

16

19

votes

8

answers

5

kviews

Digital Signal Processing in Trading

trading digital-signal-processing

mar 22 at 20:47 Eric Kigathi 1

14

15

votes

6

answers

5

kviews

What are some useful approximations to the Black-Scholes formula?

options option-pricing optimization

sep 7 at 20:57 Robert 309

22

votes

6

answers

5

kviews

How are correlation and cointegration related?

time-series statistics correlation cointegration

jun 30 at 8:31 Community♦ 1

47

36

votes

7

answers

5

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Innovative ways of visualizing financial data

data derivatives visualization

jun 27 at 10:06 Mark Boulder 101

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22

votes

3

answers

4

kviews

How can we reverse engineer a market-making algorithm (HFT)?

trading automated-trading high-frequency hft market-microstructure

may 23 '12 at 18:43 onlyvix.blogspot.com 698

4

5

votes

2

answers

3

kviews

Calculating log returns using R

r returns

nov 23 at 15:41 Louis Marascio 1,682

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22

votes

10

answers

3

kviews

Separating the wheat from the chaff: What quant methods separate skillful managers from lucky ones?

performance-evaluation

mar 15 at 23:42 isomorphismes 332

11

18

votes

4

answers

2

kviews

Why do high frequency traders use rapidly cancelled limit orders?

high-frequency hft market-making

feb 25 at 14:57 AlgoQuant 31

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

7

14

votes

5

answers

2

kviews

What tools exist for order book analysis and visualization?

r software limit-order-book visualization python

jun 16 '12 at 8:46 Qbik 350

11

12

votes

5

answers

2

kviews

Is the stock price process a martingale or a Markov process?

equities martingale stochastic-processes

jan 20 at 6:31 GAM 76

21

23

votes

5

answers

2

kviews

How do I graphically represent the evolution of a covariance matrix over time?

time-series correlation covariance

apr 26 '12 at 13:15 Qbik 350

12

13

votes

3

answers

2

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Time-series similarity measures

time-series correlation

mar 30 '11 at 16:29 user672 216

5

15

votes

4

answers

2

kviews

The Application of Quantitative Finance in Sports Betting

application

feb 7 '11 at 23:40 Adal 708

4

13

votes

2

answers

2

kviews

What type of analysis is appropriate for assessing the performance time-series forecasts?

forecasting

feb 1 '11 at 3:59 richardh♦ 3,015

18

27

votes

6

answers

2

kviews

Paradoxes in quantitative finance

black-scholes models

apr 4 at 14:15 Bill the Lizard 127

8

11

votes

4

answers

2

kviews

Volatility pumping in practice

volatility trading kelly-criterion

mar 11 at 11:21 chrisaycock♦ 5,268

5

8

votes

2

answers

2

kviews

How can I compare distributions using only mean and standard deviation?

statistics distribution random-variables stationarity

nov 4 '11 at 12:43 Carlos 51

3

4

votes

1

answer

1

kviews

Mean reverting strategies

arma strategy

feb 3 '11 at 19:47 pteetor 1,252

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

14

29

votes

5

answers

1

kviews

Lévy alpha-stable distribution and modelling of stock prices.

risk equities variance probability

apr 10 '11 at 3:59 Community♦ 1

19

votes

3

answers

1

kviews

How do you mix quantitative asset allocation with qualitative views?

asset-allocation

dec 14 at 1:06 betonviews 1

3

5

votes

4

answers

1

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Predicting Price Movements on a Betting Exchange

automated-trading modeling pricing-formulae

sep 28 at 5:10 jokerjoe 11

5

9

votes

2

answers

1

kviews

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

8

12

votes

2

answers

1

kviews

statistical arbitrage option overlay strategies / volatility trading

volatility quant-trading-strategies trading option-strategies

may 29 '12 at 14:51 John 1,616

4

12

votes

4

answers

1

kviews

Are two identical time series cointegrated?

time-series cointegration statistics

oct 16 at 14:17 Ryogi 1,817

4

votes

2

answers

1

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Mean reverting Indicator

indicator mean

apr 17 '11 at 0:51 bill_080 2,682

Alexey Kalmykov

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