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Digital Signal Processing in Trading

Awarded May 18, 2021 at 14:31

Felipe Gutierrez

1012 bronze badges

Finding optimal calendar spreads and diagonals

Awarded Apr 30, 2021 at 13:38

vonjd

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Debunking risk premium via "hedging" argument? (or why even in the real world $\mu$ should equal $r$)

Awarded Apr 27, 2021 at 11:14

vonjd

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Where can I find some examples of high frequency or stat arb trading algorithms beyond basic textbook pairs trading?

Awarded Apr 14, 2021 at 15:47

pyCthon

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Handling IQFeed events in Matlab

Awarded Apr 5, 2021 at 17:26

Theodore

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How does logging effect Quickfix performance?

Awarded Mar 15, 2021 at 16:27

chollida

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Question about Fama Macbeth Regression (Confusion about paper)

Awarded Mar 10, 2021 at 1:25

skoestlmeier

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Calculating the pricing error in Fama-Macbeth Regression for Fama/French 5 Factor model

Awarded Mar 3, 2021 at 14:48

skoestlmeier

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Calculating alpha and its meaning

Awarded Feb 28, 2021 at 16:25

skoestlmeier

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What are the recent quantitative finance papers we should all read?

Awarded Feb 16, 2021 at 12:16

Bob Jansen♦

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How are limit orders selected from the order book?

Awarded Feb 5, 2021 at 14:05

chrisaycock

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Two prices pass the cointegration test but there is a trend. How to check stationarity?

Awarded Dec 15, 2020 at 23:05

chrisaycock

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MATLAB or Python as starting language?

Awarded Dec 4, 2020 at 1:43

vonjd

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Fama Mac-Beth (1973) vs Fixed effect

Awarded Nov 21, 2020 at 23:16

skoestlmeier

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Fama MacBeth cross-sectional Regression

Awarded Nov 6, 2020 at 8:05

skoestlmeier

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Replicate a Portfolio with Given Payoff

Awarded Nov 5, 2020 at 23:01

vonjd

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Downward sloping smile in normal model

Awarded Sep 30, 2020 at 12:36

jChoi

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

Awarded Sep 13, 2020 at 14:11

Tal Fishman

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What are some useful approximations to the Black-Scholes formula?

Awarded Aug 12, 2020 at 12:47

jChoi

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Is this a common variation of sharpe ratio?

Awarded Jul 30, 2020 at 1:20

Darren Cook

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Why aren't econometric models used more in Quant Finance?

Awarded Jul 12, 2020 at 14:40

vonjd

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Option pricing before Black-Scholes

Awarded Jul 12, 2020 at 7:58

chrisaycock

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How did you become a quant?

Awarded Jun 27, 2020 at 16:11

chrisaycock

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Central Index Key (CIK) of all traded stocks

Awarded Jun 8, 2020 at 17:16

Bob Jansen♦

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Can social media be applied to algorithmic trading?

Awarded May 17, 2020 at 21:18

Samik R

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

Awarded Apr 23, 2020 at 6:04

chrisaycock

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Why do we usually use normal distribution and not Laplace distribution to generate stochastic process?

Awarded Apr 3, 2020 at 9:05

Neeraj

2,21813 silver badges32 bronze badges

How to simulate correlated assets for illustrating portfolio diversification?

Awarded Mar 26, 2020 at 21:20

chrisaycock

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How to generate synthetic FX data for backtesting?

Awarded Mar 23, 2020 at 3:35

chrisaycock

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predict next day's close price using hmm

Awarded Mar 1, 2020 at 13:50

mugen

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What are the assumptions in the first-stage of Fama-MacBeth (1973)?

Awarded Feb 24, 2020 at 13:25

skoestlmeier

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Skewness and Kurtosis under aggregation

Awarded Feb 3, 2020 at 22:05

Bob Jansen♦

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Why is the term structure of the implied volatility surface non-monotonic?

Awarded Jan 15, 2020 at 12:40

Quantuple

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What is the mean and the standard deviation for Geometric Ornstein-Uhlenbeck Process?

Awarded Jan 5, 2020 at 5:15

wcampbell

2532 silver badges10 bronze badges

Simple QuantLib Bond Math

Awarded Jan 3, 2020 at 20:55

cpage

2613 silver badges14 bronze badges

Choosing programming language for the next generation of a pricing library [closed]

Awarded Dec 13, 2019 at 17:20

Theodore

1,1721 gold badge18 silver badges35 bronze badges

How to build a cross currency swap pricer?

Awarded Dec 13, 2019 at 1:35

Marcino

5075 silver badges12 bronze badges

Market Making Strategy to Interact with IB API

Awarded Dec 12, 2019 at 22:15

Theodore

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Earnings and valuation data sources online

Awarded Dec 12, 2019 at 22:15

chrisaycock

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How should I store tick data?

Awarded Dec 12, 2019 at 22:15

Jeff R

3512 silver badges4 bronze badges

Exercising an American call option early

Awarded Dec 12, 2019 at 22:15

LocalVolatility

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Is Scala used in trading systems

Awarded Dec 12, 2019 at 22:15

chollida

1,3591 gold badge12 silver badges28 bronze badges

Choosing the right statistical test for Mutual Fund Performance Evaluation

Awarded Dec 12, 2019 at 22:15

Matthew Gunn

6,9241 gold badge21 silver badges32 bronze badges

Markov-Switching E-GARCH with R

Awarded Dec 12, 2019 at 22:15

vonjd

27.3k11 gold badges101 silver badges164 bronze badges

Trading Strategy adapting to my trading frequency

Awarded Dec 12, 2019 at 22:15

Theodore

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Tools/R-code to create gain/loss-asymmetry plots

Awarded Dec 12, 2019 at 22:15

vonjd

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Is there anyone still using Markowitz modern portfolio theory?

Awarded Dec 12, 2019 at 22:15

Ellie Kesselman

2744 silver badges19 bronze badges

What concepts are the most dangerous ones in quantitative finance work?

Awarded Dec 12, 2019 at 22:15

Artem Kaznatcheev

1815 bronze badges

A simple formula for calculating implied volatility?

Awarded Dec 12, 2019 at 22:15

SRKX

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Choosing programming language for the next generation of a pricing library

Awarded Dec 12, 2019 at 22:15

Theodore

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How to make the final Interpretation of PCA?

Awarded Dec 12, 2019 at 22:15

SRKX

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Consensus on Cauchy distribution for stock prices

Awarded Dec 12, 2019 at 22:15

Quartz

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What are some useful approximations to the Black-Scholes formula?

Awarded Dec 12, 2019 at 22:15

Graviton

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Tools in R for estimating time-varying copulas?

Awarded Dec 12, 2019 at 22:15

vonjd

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Why does the adjusted closing price take into account dividends?

Awarded Dec 12, 2019 at 22:15

SRKX

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What data sources are available online?

Awarded Dec 12, 2019 at 22:15

skoestlmeier

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Best Online Course for Learning Quant Trading?

Awarded Dec 12, 2019 at 22:15

vonjd

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Local volatility surface corresponding to the implied volatility surface

Awarded Dec 12, 2019 at 22:15

will

2,53111 silver badges19 bronze badges

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

Awarded Dec 12, 2019 at 22:15

Darren Cook

1,4271 gold badge17 silver badges26 bronze badges

Why aren't econometric models used more in Quant Finance?

Awarded Dec 12, 2019 at 22:15

vonjd

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