Tal Fishman's user avatar
Tal Fishman's user avatar
Tal Fishman's user avatar
Tal Fishman
  • Member for 12 years, 7 months
  • Last seen more than a month ago
50 votes
4 answers
8k views

How much data is needed to validate a short-horizon trading strategy?

49 votes
5 answers
10k views

How do I graphically represent the evolution of a covariance matrix over time?

40 votes
9 answers
5k views

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

38 votes
5 answers
22k views

How should I calculate the implied volatility of an American option in a real-time production environment?

36 votes
7 answers
3k views

Why do some anomalies persist while others fade away?

30 votes
4 answers
11k views

Why do high frequency traders use rapidly cancelled limit orders?

22 votes
4 answers
6k views

When should you build your own equity risk model?

18 votes
2 answers
2k views

How to forecast expected volatility from high-frequency equity panel data?

17 votes
2 answers
7k views

How to extrapolate implied volatility for out of the money options?

17 votes
4 answers
4k views

What is the ideal ratio of in-sample length to out-of-sample length?

14 votes
5 answers
6k views

How to interpolate gaps in a time series using closely related time series?

12 votes
4 answers
486 views

How to account for market movement when some exchanges are closed?

12 votes
5 answers
816 views

What benefits are there to employing agile software development methodologies for quants?

9 votes
5 answers
2k views

What are the advantages of switching platforms/languages between strategy development and implementation?

9 votes
1 answer
455 views

Which valuation measures are most useful for equity market timing?

8 votes
1 answer
931 views

Are shorter holding period strategies better?

8 votes
2 answers
787 views

How to shift amongst asset classes in response to relative value views?

8 votes
2 answers
784 views

Should I use currency hedged or unhedged returns for a global equity allocation model?

7 votes
1 answer
2k views

How do I backtest a convertible bond arbitrage strategy in R/Matlab?

7 votes
3 answers
533 views

Should the average investor hold commodities as part of a broadly diversified portfolio?

7 votes
2 answers
688 views

How to reduce variance in a Cox-Ingersoll-Ross Monte Carlo simulation?

6 votes
1 answer
1k views

How to apply quasi-Monte Carlo to path-dependent options?

6 votes
1 answer
931 views

How to value a floor when a loan is callable?

6 votes
2 answers
286 views

How do earnings estimates respond to changes in underlying fundamentals and economic conditions?

6 votes
5 answers
14k views

How many explanatory variables is too many?

6 votes
1 answer
936 views

What research is available on the performance of convertible bond arbitrage models?

5 votes
1 answer
197 views

Are there quantitative models which can guide one's choice of target risk?

4 votes
1 answer
1k views

What is an appropriate hedge ratio for hedging a credit instrument with equity of the same issuer?

4 votes
1 answer
352 views

Which approach is better for modeling option exercise strategies, rational or behavioral?

4 votes
3 answers
3k views

What are some of the major quantitative approaches to tactical asset allocation?