Quantitative Finance
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RockScience

Apparently, this user prefers to keep an air of mystery about them.

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  • Member for 10 years, 3 months
  • 356 profile views
  • Last seen Oct 29 '20 at 2:45

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23 Can the concept of entropy be applied to financial time series? Apr 1 '11
21 Portfolio optimisation with VaR or CVaR constraints using linear programming Aug 10 '12
15 Why is the first principal component a proxy for the market portfolio, and what other proxies exist? Dec 30 '11
12 How to compute performance attribution between daily rebalanced strategies? Feb 4 '12
12 How does pair trading work? Feb 2 '11
10 better estimator of volatility for small samples Mar 31 '11
9 Mean reverting strategies Feb 1 '11
8 illiquid american options pricing Mar 1 '11
8 Obtaining characteristics of stochastic model solution Jul 15 '11
8 What .NET library can I use to solve optimization problems? Apr 14 '11
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