Quantitative Finance Stack Exchange

1

vote

1

answer

57

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Do you optimise models on boostrapped time series?

time-series optimization bootstrapping

modified 5 hours ago Community♦ 1

1

vote

0

answers

98

views

What is the best source to get 10 milliseconds time-series data for numerical computation?

time-series numerical-methods tick-data

modified yesterday Emma 58

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vote

1

answer

58

views

Calculate New Portfolio Weights Given Today's Returns

time-series programming portfolio-management returns

modified yesterday Emma 58

6

votes

1

answer

87

views

How to perform cross-sectional asset pricing regression?

time-series asset-pricing expected-return

modified 2 days ago Emma 58

2

votes

1

answer

61

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Detecting leading stocks using lag correlation

equities time-series programming correlation

modified Feb 13 at 9:28 Emma 58

1

vote

0

answers

26

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General to specific approach to modelling

equities time-series returns

asked Feb 13 at 8:09 Zarina Akhtar 172

12

votes

4

answers

817

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Why (most) quants think that the risk-neutral measure should not be used for financial forecasting?

time-series historical-data risk-neutral-measure forecasting stochastic-discount

modified Feb 8 at 11:54 sets 622

2

votes

2

answers

148

views

remove seasonality in future contracts

time-series futures derivatives commodities

answered Feb 3 at 17:33 ZRH 446

1

vote

0

answers

51

views

How does the FED calculate SAAR for GDP?

time-series

asked Feb 1 at 21:50 dner 6

2

votes

1

answer

56

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Monte Carlo simulations of stock price percentage change rather than stock price

time-series monte-carlo

answered Jan 30 at 22:30 ZRH 446

4

votes

1

answer

340

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Application of ACD models

time-series modeling

modified Jan 26 at 18:26 user13444 158

0

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0

answers

36

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Rolling forecast using GARCH model

volatility time-series garch python forecasting

modified Jan 26 at 10:42 KOB 123

2

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0

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25

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Can you use GARCH-MIDAS for intraday data?

equities time-series garch high-frequency

modified Jan 24 at 14:16 skoestlmeier 1,367

2

votes

0

answers

218

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RiskMetrics VAR calculations and conditional distribution of sum of log returns

time-series garch var normal-distribution

modified Jan 18 at 6:29 Slade 68

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Do you optimise models on boostrapped time series?

What is the best source to get 10 milliseconds time-series data for numerical computation?

Calculate New Portfolio Weights Given Today's Returns

How to perform cross-sectional asset pricing regression?

Detecting leading stocks using lag correlation

General to specific approach to modelling

Why (most) quants think that the risk-neutral measure should not be used for financial forecasting?

remove seasonality in future contracts

How does the FED calculate SAAR for GDP?

Monte Carlo simulations of stock price percentage change rather than stock price

Application of ACD models

Rolling forecast using GARCH model

Can you use GARCH-MIDAS for intraday data?

RiskMetrics VAR calculations and conditional distribution of sum of log returns

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