User user915 - Quantitative Finance Stack Exchange

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	109 reputation	bio	website		visits	member for	1 year, 11 months
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What is the best way to “fix” a covariance matrix that is not positive semi-definite?

dec 16 '11 at 10:06 Tal Fishman 6,740

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13

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answers

5

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Switching from Matlab to Python for Quant Trading and Research

quant-trading-strategies

dec 29 at 10:15 Joern 9

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5

answers

3

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Python library for Portfolio Optimization

portfolio optimization python

apr 10 at 18:33 nitin 131

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3

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858

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Does mean-variance portfolio optimization provide a real edge to those who use it?

mean-variance optimization

feb 9 '11 at 18:13 Hans Radtke 31

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answers

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How do different methods and techniques used in pairs trading compare?

quant-trading-strategies arbitrage cointegration

mar 4 at 20:37 chrisaycock♦ 5,268

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8

answers

3

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How fast is QuickFix ?

fix

jan 29 at 9:54 Bob Jansen 1,133

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12

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3

answers

457

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How to price a volatility-index option?

volatility option-pricing

oct 20 '11 at 22:17 bill_080 2,682

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6

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2

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What is the best data structure/implementation for representing a time series?

data time-series market-data

apr 3 '12 at 0:11 alpha 298

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11

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3

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753

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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

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3

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438

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Empirical or theoretical quant insights that have shaped your thinking?

soft-question theory

jan 29 at 4:12 kristine 176

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How do I find the most diversified portfolio, or least correlated subset, of stocks?

trading correlation portfolio diversification

may 29 '12 at 15:13 Tal Fishman 6,740

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Control for bid/ask bounce in high-frequency trade data?

high-frequency limit-order-book

sep 11 '11 at 5:57 Foo Bah 193

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3

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Papers about backtesting option trading strategies

options backtesting quant-trading-strategies research option-strategies

sep 30 '11 at 7:45 vonjd 6,289

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11

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6

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2

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Probability of touching

option-pricing probability

sep 2 '11 at 21:00 ffsffs 11

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6

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Why does the VIX index have any correlation to the market?

vix volatility correlation market

sep 25 '11 at 20:15 Tal Fishman 6,740

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11

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663

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Cleansing covariance matrices via Random matrix theory

correlation risk-models covariance random-matrix-theory

jan 24 '12 at 21:10 Quant Guy 7,521

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Why are GARCH models used to forecast volatility if residuals are often correlated?

volatility time-series forecasting best-practices

apr 6 '12 at 1:56 Quant Guy 7,521

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votes

3

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536

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What are some research articles on using principle components to generate alpha?

statistics modeling random-matrix-theory

feb 25 at 12:31 Andre P. 11

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3

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Free intra-day equity data source

data equities

sep 22 at 12:23 Azouz 11

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5

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portfolio optimisation with VaR (or CVaR) constraints

portfolio-management optimization var

jan 13 at 13:29 Marc Shivers 424

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2

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Volatility pumping in practice

volatility trading kelly-criterion

mar 11 at 11:21 chrisaycock♦ 5,268

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What methods do you use to improve expected return estimates when constructing a portfolio in a mean-variance framework?

modern-portfolio-theory mean-variance expected-return estimation

feb 1 '11 at 8:09 Anass 81

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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

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3

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555

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What is the expected return I should use for the momentum strategy in MV optimization framework?

quant-trading-strategies optimization expected-return

mar 14 at 2:28 Richard 11

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2

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771

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Where to find Greeks for futures to form delta-hedged futures portfolio of S&P 500 index/futures

futures hedging delta-neutral index

feb 14 '11 at 21:00 barrycarter 785

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2

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References for developing an automated trading system?

automated-trading research trading-systems market-microstructure development

apr 18 '12 at 1:58 lehalle 1,703

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2

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570

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How does one analyze diversification if stock prices follow a Cauchy distribution?

diversification

aug 7 '11 at 14:08 Tal Fishman 6,740

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381

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Issues when considering a quantitative trading/finance firm

career banks

sep 15 '11 at 18:34 Louis Marascio 1,682

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How to combine multiple trading algorithms?

trading automated-trading quant-trading-strategies performance

nov 11 '11 at 3:35 Tal Fishman 6,740

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5

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6

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How to annualize Sharpe Ratio?

sharpe-ratio

mar 2 at 3:30 Evan Teitelman 103

user915

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