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Quantitative Finance
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JPN
  • Member for 9 years, 11 months
  • Last seen more than a month ago
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Trader/Quant
Building Bonjournal

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22
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22
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22
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Top posts
answer
3
Ledoit-Wolf Shrinkage estimator not giving positive definite covariance matrix
Sep 3, 2015
question
3
Could we estimate a portfolio's volatility using a GARCH on the portfolio returns?
Oct 7, 2015
answer
3
How to find optimal noise covariance matrices Q & R
Aug 30, 2015
answer
2
Full Kelly portfolios having same weights as tangency portfolios
Sep 2, 2015
question
2
Does it make sense to calculate Fama-French betas of a single stock?
Sep 20, 2015
answer
2
Strategies for trading on a forecast
Oct 25, 2021
answer
2
What is the best GARCH model for forecasting daily stock return and why?
Apr 6, 2019
answer
1
Portfolio volatility - Real life application
Apr 18, 2019
answer
0
Hedge performance in times of volatility: Beta changes impacting PnL during market rebound
Apr 10, 2020
Top network posts
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13
Autocorrelation vs Non-stationary
13
What is pm.Potential in PyMC3?
10
Can't create ipyparallel clusters on Jupyter Notebook
9
Scalable Random Forest For Massive Data
9
What is the best way to short the San Francisco real estate market?