Richard Herron's user avatar
Richard Herron's user avatar
Richard Herron's user avatar
Richard Herron
  • Member for 13 years, 1 month
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36 votes

How does the "risk-neutral pricing framework" work?

23 votes
Accepted

Has high frequency trading (HFT) been a net benefit or cost to society?

15 votes
Accepted

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

15 votes

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

14 votes
Accepted

Why is there no "meta-model"?

14 votes
Accepted

What is the "delta" option quoting convention about?

14 votes
Accepted

What type of analysis is appropriate for assessing the performance time-series forecasts?

13 votes

Is there any theoretical basis for pattern-recognition strategies?

13 votes
Accepted

data on historical stock price of bankrupt companies

12 votes

How do I reproduce the cross-sectional regression in "Intraday Patterns in the Cross-section of Stock Returns"?

11 votes

Using linear regression on (lagged) returns of one stock to predict returns of another

10 votes
Accepted

What is the unit of the Distance to Default measure?

10 votes
Accepted

Deterministic interpretation of stochastic differential equation

10 votes

How to perform risk factor calculation?

9 votes

Using Black-Scholes equations to "buy" stocks

9 votes

Are two identical time series cointegrated?

9 votes

Is Conditional Value-at-Risk (CVaR) coherent?

8 votes

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

7 votes

What are the popular methodologies to minimize data snooping?

7 votes

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

6 votes

Who has introduced the term 'vega' and why?

6 votes

Do low volatility stocks outperform high volatility stocks over the long run?

6 votes

Predicting price movements on a betting exchange

6 votes

Can the futures market's open interest predict commodity, treasury, and equity returns?

6 votes

Given two portfolios with identical correlation matrices, which one will have a better risk/reward ratio?

5 votes

Mean reverting Indicator

5 votes

How would you test the hypothesis "There are no idiosyncratic returns available in the market"?

5 votes

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

5 votes

Supply and Demand of Oil

5 votes
Accepted

How would one price a "credit event binary option"?