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May
21
comment VaR for portfolio of funds
Why? Over the space of 1-10 days the funds NAV should track their assets' values rather closely.
May
21
asked VaR for portfolio of funds
May
7
asked Risk-free rate for ex-post evaluation of investment strategy
Feb
15
awarded  Necromancer
Jan
31
awarded  Yearling
Nov
25
accepted How do I estimate the parameters of an MA(q) process?
Nov
25
comment How do I estimate the parameters of an MA(q) process?
Why the vote to close as off-topic? Time series analysis is very important in stat-arb/HFT trading.
Nov
25
comment How do I estimate the parameters of an MA(q) process?
Thanks. I know mature libraries are the way to go in production applications, but I am simply interested in this problem.
Nov
24
asked How do I estimate the parameters of an MA(q) process?
Nov
3
accepted Trade execution in HFT - role of quants
Nov
3
answered Do taking in account the CSA create convexity effects in your stripping?
Nov
3
comment Trade execution in HFT - role of quants
Thanks, that's another thing which is good to know. However, I meant to ask about the attribution to the whole execution group, as opposed to the group which developed the strategy (or is it impossible to divide the work in this way and execution quants are effectively also developing the strategy?).
Nov
3
comment Trade execution in HFT - role of quants
Thank you. Do you know how P&L is attributed to quants working on execution algorithms?
Nov
2
asked Trade execution in HFT - role of quants
May
10
awarded  Popular Question
May
2
accepted Pricing callable range accruals on spreads
Apr
2
awarded  Popular Question
Feb
11
comment Why is C++ still a very popular language in quantitative finance?
@user492238 Subjective, like all the discussion about this question.
Feb
10
answered Why is C++ still a very popular language in quantitative finance?
Feb
10
comment Why is C++ still a very popular language in quantitative finance?
@chrisaycock God forbid that somebody should flat THE MODERATOR!! ;-)