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	9 hours ago

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statistical arbitrage option overlay strategies / volatility trading

may 29 '12 at 14:51 John 1,626

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12

votes

5

answers

2

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

equities martingale stochastic-processes

jan 20 at 6:31 GAM 76

4

11

votes

4

answers

2

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data on historical stock price of bankrupt companies

data finance equities

mar 8 at 13:42 Kevin 1

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11

votes

4

answers

2

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Volatility pumping in practice

volatility trading kelly-criterion

mar 11 at 11:21 chrisaycock♦ 5,263

5

11

votes

3

answers

771

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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

11

votes

2

answers

1

kviews

Is there any good research on support and resistance?

strategy research technicals

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

2

11

votes

1

answer

733

views

How do I price OANDA box options?

option-pricing software

sep 9 '11 at 18:34 Louis Marascio 1,682

3

10

votes

5

answers

752

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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 6,309

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10

votes

2

answers

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

4

10

votes

7

answers

665

views

Keeping a track record honest

trading-systems

mar 22 '11 at 2:37 Adal 708

2

10

votes

3

answers

687

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Solving Path Integral Problem in Quantitative Finance using Computer

stochastic-calculus

sep 30 at 1:43 Anna Lear♦ 101

11

10

votes

2

answers

551

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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

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

2

9

votes

3

answers

429

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How would you test the hypothesis “There are no idiosyncratic returns available in the market”?

correlation market

jul 20 '11 at 0:55 Quant Guy 7,531

3

9

votes

1

answer

714

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What are the advantages / disadvantages of the ANTICOR algorithm?

correlation portfolio-selection

apr 28 '11 at 2:20 Tangurena 402

7

9

votes

1

answer

305

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copula-marginal algorithm

risk-management copula

mar 2 '12 at 6:06 pyCthon 451

5

9

votes

1

answer

385

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How are Expected Shortfall and Variance related?

risk statistics

feb 14 '12 at 22:01 Brian B 6,093

7

9

votes

2

answers

309

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local price return and volume relationship

volume return price relationship

feb 29 '12 at 0:18 Darren Cook 570

3

9

votes

3

answers

400

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Literature on generating synthetic time series for testing

data time-series backtesting market-data simulations

mar 9 '12 at 1:07 babelproofreader 1,077

4

8

votes

4

answers

342

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Seeking Historical Non-Finance Datapoints for Backtesting

data backtesting

mar 18 '11 at 19:21 Ralph Winters 644

8

votes

1

answer

488

views

Kalman Filter Vs Hough Transform

untagged

mar 9 '12 at 0:46 rtybase 66

9

8

votes

2

answers

574

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Analytical relationship between a covariance matrix and cross-sectional dispersion

volatility covariance correlation-matrix

may 4 '12 at 14:41 Vincent Zoonekynd 430

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

9

8

votes

1

answer

394

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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

8

votes

4

answers

366

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Position management in presence of continuous forecast

equities high-frequency forecasting position-sizing continuous-time

jun 21 '12 at 15:44 Marc Shivers 424

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

3

7

votes

1

answer

723

views

Skewness and Kurtosis under aggregation

statistics returns skew kurtosis

nov 14 at 2:43 chrisaycock♦ 5,263

4

7

votes

1

answer

943

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Multilayer Perceptron (Neural Network) for Time Series Prediction

machine-learning prediction neural-networks artificial-intelligence

jul 16 at 19:03 lehalle 1,713

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

5

7

votes

1

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376

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What techniques are used for testing order book implementations?

limit-order-book testing

oct 4 '11 at 21:23 Louis Marascio 1,682

Alexey Kalmykov

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