Quantitative Finance
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Richard Herron
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45 Answers

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1
How to generate a random price series with a specified range and correlation with an actual price?
Nov 28 '11 at 19:43
3
zero-sum active management riddle
Nov 28 '11 at 19:38
3
How to check if a timeseries is stationary?
Nov 14 '11 at 1:55
5
Garch modelling on Stata
Sep 2 '11 at 10:09
22
Has high frequency trading (HFT) been a net benefit or cost to society?
Aug 13 '11 at 22:19
4
How many explanatory variables is too many?
Aug 13 '11 at 21:53
4
Indicators and research for stress-based investment strategies
Aug 8 '11 at 21:30
9
Is Conditional Value-at-Risk (CVaR) coherent?
Jun 24 '11 at 14:41
14
Control for bid/ask bounce in high-frequency trade data?
Jun 23 '11 at 15:33
10
What is the unit of the Distance to Default measure?
Jun 6 '11 at 17:32
5
Debunking risk premium via “hedging” argument? (or why even in the real world $\mu$ should equal $r$)
Jun 6 '11 at 17:23
11
Using linear regression on (lagged) returns of one stock to predict returns of another
May 6 '11 at 0:37
4
Simulating Returns
Apr 21 '11 at 14:11
9
Are two identical time series cointegrated?
Apr 17 '11 at 16:32
5
Mean reverting Indicator
Apr 15 '11 at 10:13
12
data on historical stock price of bankrupt companies
Apr 5 '11 at 23:09
3
An equation for European options
Apr 5 '11 at 9:35
6
Given two portfolios with identical correlation matrices, which one will have a better risk/reward ratio?
Mar 30 '11 at 18:46
4
Is statistical arbitrage on FX possible?
Mar 24 '11 at 2:12
10
How to perform risk factor calculation?
Mar 23 '11 at 20:49
6
Can the futures market's open interest predict commodity, treasury, and equity returns?
Mar 20 '11 at 3:33
9
Using Black-Scholes equations to “buy” stocks
Mar 19 '11 at 15:54
2
Discrete-time model: stock dynamics
Mar 18 '11 at 14:51
2
How to compute the Value-at-Risk of the sum of two dependent lognormal random variables?
Mar 17 '11 at 20:16
6
Predicting Price Movements on a Betting Exchange
Mar 16 '11 at 11:46
3
Data on US bankruptcy rate vs. standard valuation ratios
Mar 16 '11 at 11:32
6
Do low volatility stocks outperform high volatility stocks over the long run?
Mar 14 '11 at 11:10
11
How do I reproduce the cross-sectional regression in “Intraday Patterns in the Cross-section of Stock Returns”?
Mar 12 '11 at 23:47
5
How would one price a “credit event binary option”?
Mar 10 '11 at 17:49
5
Supply and Demand of Oil
Feb 28 '11 at 21:34
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