User Alexey Kalmykov - Quantitative Finance Stack Exchange

bio	website	quantfinance.ru
	location
	age
visits	member for	2 years, 3 months
	seen	1 hour ago
stats	profile views	211

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

69

48

votes

15

answers

6

kviews

Video lectures and presentations on quantitative finance

jan 12 at 22:23 André Christoffer Andersen 141

47

36

votes

7

answers

5

kviews

Innovative ways of visualizing financial data

data derivatives visualization

jun 27 at 10:06 Mark Boulder 101

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

18

27

votes

6

answers

2

kviews

Paradoxes in quantitative finance

black-scholes models

apr 4 at 14:15 Bill the Lizard 127

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

22

votes

6

answers

5

kviews

How are correlation and cointegration related?

time-series statistics correlation cointegration

jun 30 at 8:31 Community♦ 1

17

22

votes

1

answer

1

kviews

Is my trading strategy search methodology sound?

trading automated-trading machine-learning

oct 12 '11 at 14:17 Tal Fishman 6,740

20

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

16

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

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♦ 5,258

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

16

19

votes

8

answers

5

kviews

Digital Signal Processing in Trading

trading digital-signal-processing

mar 22 at 20:47 Eric Kigathi 1

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

8

17

votes

2

answers

703

views

Tools in R for estimating time-varying copulas?

r estimation covariance distribution joint-probability

feb 3 at 14:22 vonjd 6,289

13

17

votes

2

answers

978

views

How to quickly estimate a lower bound on correlation for a large number of stocks?

time-series correlation numerical-methods

jun 7 '12 at 3:55 David B 1

7

17

votes

2

answers

554

views

How do you correct Max Draw-Down for auto-correlation?

statistics returns auto-correlation performance sharpe-ratio

sep 25 '11 at 21:08 Tal Fishman 6,740

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

16

votes

5

answers

1

kviews

Most successful investors using academic-based framework?

quant-trading-strategies research factor-models academia big-list

jan 3 '12 at 13:20 olaker♦ 2,303

10

15

votes

2

answers

765

views

Statistical properties of stochastic processes for moving average trading to work

trading stochastic-processes moving-average

aug 22 '11 at 7:51 vonjd 6,289

5

15

votes

4

answers

2

kviews

The Application of Quantitative Finance in Sports Betting

application

feb 7 '11 at 23:40 Adal 708

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

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

6

14

votes

3

answers

1

kviews

Why hold options when you can dynamically replicate their payoff?

options hedging black-scholes replication theory

sep 7 '11 at 18:34 Tal Fishman 6,740

11

14

votes

2

answers

793

views

From a high frequency point of view, with a price prediction and assuming infinite leverage, how do you determine optimal trade size?

quant-trading-strategies high-frequency modeling position-sizing

mar 29 at 20:32 Ryogi 1,817

12

14

votes

1

answer

669

views

Portfolio optimization with monte carlo sampling from predictive distribution

risk monte-carlo optimization modern-portfolio-theory portfolio-selection

aug 26 '11 at 0:13 Quant Guy 7,521

12

13

votes

3

answers

2

kviews

Time-series similarity measures

time-series correlation

mar 30 '11 at 16:29 user672 216

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

12

votes

3

answers

1

kviews

How to encode trading strategies mathematically

trading-patterns data-mining

mar 9 '11 at 11:09 Owe Jessen 591

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

3

12

votes

6

answers

663

views

Setting the r in put-call parity?

options interest-rates put-call-parity

nov 24 at 0:06 justin-- 250

Alexey Kalmykov

105 Favorites