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vonjd
  • Member for 13 years, 2 months
  • Last seen more than a month ago
47 votes
13 answers
80k views

Are there any good tools for back testing options strategies?

26 votes
10 answers
70k views

Strategy of Renaissance Technologies Medallion fund: Holy Grail or next Madoff?

29 votes
2 answers
48k views

Worked examples of applying Ito's lemma

28 votes
2 answers
31k views

Transformation from the Black-Scholes differential equation to the diffusion equation - and back

94 votes
14 answers
21k views

Innovative ways of visualizing financial data

28 votes
8 answers
16k views

How are cryptography and speech recognition technology applied to forecasting financial markets?

15 votes
3 answers
12k views

Which algorithms do robo-advisors use?

27 votes
5 answers
11k views

Volatility pumping in practice

26 votes
5 answers
9k views

Proof that you cannot beat a random walk

26 votes
3 answers
8k views

Papers about backtesting option trading strategies

40 votes
5 answers
8k views

Why aren't econometric models used more in Quant Finance?

32 votes
5 answers
8k views

Random matrix theory (RMT) in finance

18 votes
4 answers
6k views

Topological methods in finance

29 votes
11 answers
5k views

Separating the wheat from the chaff: What quant methods separate skillful managers from lucky ones?

12 votes
3 answers
4k views

Optimality of Kelly criterion in non-normal environment

13 votes
1 answer
4k views

Easiest and most accessible derivation of Black-Scholes formula

10 votes
2 answers
3k views

How to calculate the most realistic historical option prices with additional publicly available parameters

19 votes
2 answers
3k views

How to build a regime-switching model which knows its own limits?

7 votes
2 answers
3k views

Constructing an approximation of the S&P 500 volatility smile with publicly available data

12 votes
2 answers
2k views

Tools/R code for predicting Dragon-Kings

2 votes
1 answer
2k views

Why were Fama/French Momentum Factors discontinued in 2016?

9 votes
3 answers
2k views

Demonstration of Ito's correction term/lemma in binomial tree

16 votes
4 answers
2k views

How to encode trading strategies mathematically

18 votes
4 answers
2k views

HFT: What is the big differentiator in comparison to other time scales?

21 votes
2 answers
2k views

Statistical properties of stochastic processes for moving average trading to work

20 votes
1 answer
2k views

What is the most stable, non-trivial dependence structure in finance?

14 votes
3 answers
2k views

Deterministic interpretation of stochastic differential equation

9 votes
4 answers
1k views

Software for decomposing payoff diagrams into plain vanilla products

8 votes
1 answer
1k views

Connections between random walk and heat equation (Material for ~)

18 votes
2 answers
1k views

Duality between constant rebalanced portfolio (CRP) and corresponding derivative