# Tag Info

Accepted

### Is R being replaced by Python at quant desks?

My deal is HFT so what I care about is read/load data from file or DB quickly in memory perform very efficient data-munging operations (group,transform) visualize easily the data I think is is ...
• 1,238

### Is R being replaced by Python at quant desks?

Instead of wild guesses about R's/python's future in the community, here some facts: The following query on StackExchange Data Explorer counts the number of questions that have ...
• 481

### Is R being replaced by Python at quant desks?

This is interesting because I see another trend: Matlab is being replaced by R, but I guess this is another story. I use R for my academic (I am also teaching this stuff) as well as my consulting ...
• 26.7k

### Is R being replaced by Python at quant desks?

I've used both R and Python with Pandas in a professional quantitative financial work to do both large and small scale projects. I would strongly recommend Python with Pandas over R for most new ...
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### How did James Simons clinch that security prices didn't look random?

I'm sure Simons, as a first-rate pure and applied mathematician, had sufficient understanding of statistics to detect market inefficiencies and anomalies. As far as I know, the development and ...
• 3,240
Accepted

• 26.7k

### Is R being replaced by Python at quant desks?

For data analysis, particularly for large data analysis project, pretty much most of the top quant hedge funds and a lot of the banks are using Python (over R) for a couple of reasons but many still ...
• 782
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### What is the total correlation between assets in a portfolio?

This is indeed an interesting question. According to this website, a paper by Goldman Sachs [Tierens and Anadu (2004)] proposes three alternative methods for estimating average stock correlations: ...
• 26.7k

### How did James Simons clinch that security prices didn't look random?

Jim Simons' initial intuitions about nonrandomness were probably driven by the very psychological/evolutionary predispositions to want to find the hidden meaning within noise that affect humanity in ...
• 2,825

### Should I use an arithmetic or a geometric calculation for the Sharpe Ratio?

I think this is a no-brainer. Only log-returns make sense. The average return can only be computed by averaging the sum of individual log returns. Taking the average of standard (relative) returns ...

### Book recommendation for time series analysis

I would suggest Time Series Analysis by James Douglas Hamilton
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### Correlation between stock prices given correlation between returns

We can obtain a closed-form expression for price correlation given (log) return correlation when the two stocks follow geometric Brownian motion: S_1(t) = S_1(0)e^{(\mu_1- \frac{1}{2} \sigma_1^2)t}...
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### Interpreting Eigenvalues of Co-variance Matrix

What you basically do here is a Principal Component Analysis (PCA). A good starting point in the financial sphere is Managing Diversification by Attilio Meucci (2010) Page 3: "The most natural ...
• 26.7k

### How did James Simons clinch that security prices didn't look random?

I will disagree with RPL's answer - Simons is not particularly known as an applied mathematician, but he did work for some time at the Institute for Defense Analysis [IDA] (he was fired for ...
• 341
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### Shrinkage of the Sample Covariance matrix, theory

Yes. It comes from a core theorem of statics, Stein's Lemma. It shook the foundations of the field of statistics when it came out. It blew up an entire way of viewing mathematical statistics. ...
• 3,976