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Quantitative Finance
Richard Herron
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45 Answers

Newest Activity Votes
27
How does the “risk-neutral pricing framework” work?
Feb 2 '11 at 10:40
22
Has high frequency trading (HFT) been a net benefit or cost to society?
Aug 13 '11 at 22:19
15
Why are GARCH models used to forecast volatility if residuals are often correlated?
Feb 25 '11 at 22:00
14
Control for bid/ask bounce in high-frequency trade data?
Jun 23 '11 at 15:33
14
Why is there no “meta-model”?
Feb 9 '11 at 19:45
14
What type of analysis is appropriate for assessing the performance time-series forecasts?
Feb 1 '11 at 3:59
14
What is the “delta” option quoting convention about?
Jan 31 '11 at 22:41
13
Is there any theoretical basis for pattern-recognition strategies?
Feb 1 '11 at 12:30
12
data on historical stock price of bankrupt companies
Apr 5 '11 at 23:09
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
10
How to perform risk factor calculation?
Mar 23 '11 at 20:49
10
What is the unit of the Distance to Default measure?
Jun 6 '11 at 17:32
10
Using linear regression on (lagged) returns of one stock to predict returns of another
May 6 '11 at 0:37
10
Deterministic interpretation of stochastic differential equation
Feb 7 '11 at 19:23
9
Is Conditional Value-at-Risk (CVaR) coherent?
Jun 24 '11 at 14:41
9
Are two identical time series cointegrated?
Apr 17 '11 at 16:32
9
Using Black-Scholes equations to “buy” stocks
Mar 19 '11 at 15:54
7
What concepts are the most dangerous ones in quantitative finance work?
Feb 4 '11 at 0:30
7
What are the popular methodologies to minimize data snooping?
Feb 3 '11 at 15:01
7
Why does the VIX index have *any* correlation to the market?
Feb 3 '11 at 2:05
6
Mean reverting Indicator
Apr 15 '11 at 10:13
6
Given two portfolios with identical correlation matrices, which one will have a better risk/reward ratio?
Mar 30 '11 at 18:46
6
Can the futures market's open interest predict commodity, treasury, and equity returns?
Mar 20 '11 at 3:33
6
Predicting Price Movements on a Betting Exchange
Mar 16 '11 at 11:46
6
Do low volatility stocks outperform high volatility stocks over the long run?
Mar 14 '11 at 11:10
6
Who has introduced the term 'vega' and why?
Feb 3 '11 at 2:14
5
Garch modelling on Stata
Sep 2 '11 at 10:09
5
Debunking risk premium via “hedging” argument? (or why even in the real world $\mu$ should equal $r$)
Jun 6 '11 at 17:23
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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