User user915 - Quantitative Finance Stack Exchange

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visits	member for	1 year, 11 months
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	109 reputation	bio	website		visits	member for	1 year, 11 months
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119

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What data sources are available online?

apr 24 at 9:44 haki 101

69

48

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15

answers

6

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Video lectures and presentations on quantitative finance

research finance education big-list

jan 12 at 22:23 André Christoffer Andersen 141

34

30

votes

5

answers

5

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Efficiently storing real-time intraday data in an application agnostic way

time-series software performance database column-oriented

jul 10 at 0:15 Darren Cook 570

14

29

votes

5

answers

1

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Lévy alpha-stable distribution and modelling of stock prices.

risk equities variance probability

apr 10 '11 at 3:59 Community♦ 1

19

26

votes

6

answers

3

kviews

Which approach dominates? Mathematical modeling or data mining?

modeling market data-mining

jun 20 '12 at 19:22 David Tate 11

32

23

votes

3

answers

1

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What papers have progressed the field of quantitative finance in recent years (post 2000)?

research soft-question reference-request

nov 16 '11 at 23:09 Quant Guy 7,521

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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

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

4

answers

2

kviews

Random matrix theory (RMT) in finance

probability mathematics random-matrix-theory

feb 26 at 15:23 Quartz 326

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

6

19

votes

6

answers

3

kviews

What type of investor is willing to be short gamma?

options hedging portfolio-management greeks investing

mar 26 '12 at 12:40 Community♦ 1

14

19

votes

6

answers

2

kviews

How good is managed code for algo trading?

programming algorithm

jun 10 '12 at 13:05 Community♦ 1

11

18

votes

4

answers

2

kviews

Trading a synthetic replication of the VIX index

vix delta-neutral

dec 23 at 5:05 Andrew 385

7

17

votes

2

answers

554

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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

8

17

votes

2

answers

705

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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

979

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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

29

17

votes

7

answers

2

kviews

Excellent information source on advanced machine learning / data mining based trading?

automated-trading machine-learning

apr 12 '12 at 18:33 rtybase 66

19

16

votes

4

answers

1

kviews

Any research on how natural language processing can be used to forecast stocks?

quant-trading-strategies research equities forecasting prediction

oct 16 '11 at 0:38 Ryogi 1,817

9

16

votes

4

answers

937

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How do I adjust a correlation matrix whose elements are generated from different market regimes?

market-regimes correlation-matrix

dec 26 '11 at 1:26 Branson 250

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15

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5

answers

2

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Recommendations for books to understand the math in quantitative finance papers?

soft-question books mathematics

nov 29 at 5:57 William S. Wong 190

9

15

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3

answers

2

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Main backtesting & trading solutions: QuantFactory, Deltix, etc.

backtesting automated-trading software trading-systems

nov 19 at 21:07 Vazgen 172

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

2

15

votes

3

answers

966

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Local Volatility vs. Stochastic Volatility

local-volatility stochastic-volatility

jun 30 at 21:20 nicolas 361

8

15

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5

answers

2

kviews

Skew arbitrage: How can you realize the skewness of the underlying?

options volatility trading hedging option-strategies

dec 7 at 19:14 chrisaycock♦ 5,268

13

15

votes

2

answers

1

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How to forecast volatility using high-frequency data?

volatility forecasting high-frequency

mar 31 '11 at 23:22 Adal 708

10

14

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7

answers

4

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Any known bugs with Yahoo Finance adjusted close data ?

data equities adjustments yahoo

aug 17 at 7:21 Community♦ 1

7

13

votes

1

answer

529

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Diversification, Rebalancing and Different Means

portfolio-management rebalancing

dec 3 '11 at 22:57 ProbablePattern 329

5

13

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2

answers

759

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Is there a standard method for getting a continuous time series from futures data?

futures time-series

jul 7 '11 at 8:15 Val 140

7

13

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2

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573

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Duality between constant rebalanced portfolio (CRP) and corresponding derivative

option-pricing hedging replication

sep 16 '11 at 2:56 楊祝昇 973

user915

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