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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kviews

How are limit orders selected from the order book?

limit-order-book

oct 30 '11 at 19:24 Ryogi 1,817

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9

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451

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What is the relationship between risk aversion and preference for skewness and kurtosis in portfolio optimization?

jan 4 '12 at 22:11 Tal Fishman 6,740

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9

votes

1

answer

665

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Is there a popular curve fitting formula of options skew vs strike price or vs Delta?

options skew

mar 1 '11 at 3:32 Brian B 5,973

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1

answer

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How do I compare implied and historic volatility?

volatility implied-volatility fx visualization

dec 16 '11 at 10:04 Tal Fishman 6,740

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2

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2

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How to derive the implied probability distribution from B-S volatilities?

options r implied-volatility visualization distribution

aug 16 '11 at 13:28 Tal Fishman 6,740

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2

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How can I learn about the quantitative aspects of market making in illiquid single stock options?

equities quant-trading-strategies option-strategies market-making

aug 10 '11 at 18:19 Tal Fishman 6,740

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9

votes

1

answer

339

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How to estimate the covariance of an index with a basket of stocks?

equities statistics correlation covariance

oct 18 '11 at 20:48 Tal Fishman 6,740

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4

answers

2

kviews

Should Sharpe ratio be computed using log returns or relative returns?

returns sharpe-ratio

jul 22 '11 at 15:59 Tal Fishman 6,740

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votes

2

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596

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How to simulate slippage

trading backtesting slippage friction

jun 5 '11 at 14:20 mccarren 41

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9

votes

1

answer

383

views

How are Expected Shortfall and Variance related?

risk statistics

feb 14 '12 at 22:01 Brian B 5,973

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452

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How to compute performance attribution between daily rebalanced strategies?

portfolio-management performance

feb 8 '12 at 21:18 Suminda Sirinath Salpitikorala 371

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6

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2

kviews

How high of a Sharpe ratio is implausibly high for a low-frequency equity strategy?

research reference-request performance sharpe-ratio performance-evaluation

nov 26 at 0:21 chrisaycock♦ 5,268

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8

votes

1

answer

282

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Is there a closed-form solution for the partial autocorrelation function of a Markov regime-switching process?

stochastic-processes auto-correlation

may 16 '12 at 14:28 Tal Fishman 6,740

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Why would an investor trade a variance swap over a volatility swap?

volatility variance swaps

aug 31 at 17:08 Strange 354

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How should I calculate the implied volatility of an American option in a real-time production environment?

option-pricing implied-volatility

mar 4 '12 at 5:45 Pete 520

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8

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3

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828

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How can one compute the Greeks on VIX Futures

option-pricing futures vix greeks

mar 7 '12 at 16:59 Soma Holiday 21

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8

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820

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What is the average Sharpe ratio of volatility arbitrage funds?

quant-trading-strategies arbitrage option-strategies performance sharpe-ratio

oct 6 '11 at 16:21 Tal Fishman 6,740

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8

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271

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Option Portfolio Risk - Volatility/Skew - practical implementation

option-pricing implied-volatility skew

nov 2 '11 at 15:44 Brian B 5,973

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7

votes

1

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397

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Monte carlo portfolio risk simulation

risk-management monte-carlo models simulations normal-distribution

nov 15 '11 at 16:02 Bill the Lizard 127

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7

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1

answer

558

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Why does the following data fail my cointegration test?

time-series statistics r cointegration

oct 18 '11 at 8:42 m1ndst0rm 76

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4

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1

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Real-time & Fast S&P 500 E-Mini Futures (ES) Data

data automated-trading

aug 2 at 5:19 Ryogi 1,817

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7

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1

answer

2

kviews

Time Series Regression with Overlapping Data

time-series regression auto-correlation

sep 9 '11 at 15:07 Tal Fishman 6,740

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953

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Is there a technique for using xts or zoo objects with options data (i.e., many entries per date) in R?

data analysis options r

feb 19 '11 at 16:31 richardh♦ 3,015

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7

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1

answer

629

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What are some quantitative approaches to value investment?

valuation investing

aug 7 '11 at 12:44 Tal Fishman 6,740

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2

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1

kviews

SPX options vs VIX futures trading

volatility vix arbitrage

apr 8 '11 at 17:04 chrisaycock♦ 5,268

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7

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1

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572

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Optimal execution and reinforcement learning

automated-trading optimization machine-learning

may 30 '12 at 20:36 lehalle 1,703

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3

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412

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Does random matrix theory (RMT) for returns' correlation matrices apply if there are high correlations?

correlation random-matrix-theory

apr 28 '12 at 13:56 Bob Jansen 1,133

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989

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Why is the first principal component a proxy for the market portfolio, and what other proxies exist?

statistics beta modern-portfolio-theory pca

apr 9 '12 at 0:33 Quant Guy 7,521

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287

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Can we use White's reality check to compare two Sharpe ratios?

time-series sharpe-ratio data-mining

may 2 '12 at 4:57 Quant Guy 7,521

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3

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397

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Which greeks do you need to hedge if you want to implement an implied-volatility security?

greeks

may 29 '12 at 2:07 Freddy 5,649

user915

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