User Branson

58

votes

13

answers

23k

views

Switching from C++ to R - limitations/applications

r development

Dec 3 '16 at 11:30 Community♦ 1

53

votes

7

answers

6k

views

Paradoxes in quantitative finance

black-scholes models

Oct 28 '15 at 22:41 Community♦ 1

43

votes

12

answers

29k

views

Why does the minimum variance portfolio provide good returns?

portfolio-management optimization modern-portfolio-theory covariance

Oct 26 '15 at 16:56 Community♦ 1

35

votes

1

answer

3k

views

Is my trading strategy search methodology sound?

trading automated-trading machine-learning

Oct 12 '11 at 14:17 Tal Fishman 12.8k

34

votes

5

answers

15k

views

Skew arbitrage: How can you realize the skewness of the underlying?

options volatility trading hedging option-strategies

Dec 7 '12 at 19:14 chrisaycock 9,539

32

votes

3

answers

5k

views

How do you mix quantitative asset allocation with qualitative views?

asset-allocation

Dec 14 '12 at 1:06 Community♦ 1

31

votes

1

answer

2k

views

Law of an integrated CIR Process as sum of Independent Random Variables

stochastic-calculus stochastic-volatility

Mar 11 at 8:30 mac 1

31

votes

8

answers

5k

views

Excellent information source on advanced machine learning / data mining based trading?

automated-trading machine-learning

Jul 22 '14 at 19:57 Community♦ 1

26

votes

3

answers

7k

views

What are the best sources for equity quantitative research?

quant-trading-strategies equities research

May 28 '17 at 21:52 Franck Dernoncourt 507

24

votes

2

answers

3k

views

How to quickly estimate a lower bound on correlation for a large number of stocks?

time-series correlation numerical-methods

Jun 7 '12 at 3:55 David B 1

24

votes

4

answers

4k

views

How do I adjust a correlation matrix whose elements are generated from different market regimes?

market-regimes correlation-matrix

Dec 26 '11 at 1:26 Community♦ 1

24

votes

5

answers

8k

views

Proof that you cannot beat a random walk

quant-trading-strategies random-walk

Dec 12 '15 at 21:28 Community♦ 1

23

votes

4

answers

7k

views

Can the concept of entropy be applied to financial time series?

time-series

Mar 25 '20 at 12:07 Martin Vesely 748

20

votes

3

answers

3k

views

Cleansing covariance matrices via Random matrix theory

correlation risk-models covariance random-matrix-theory

May 27 '20 at 7:12 Community♦ 1

19

votes

5

answers

7k

views

How to cluster stocks and construct an affinity matrix?

equities machine-learning etf

Nov 22 '17 at 0:39 Alex C 8,947

18

votes

2

answers

1k

views

Duality between constant rebalanced portfolio (CRP) and corresponding derivative

option-pricing hedging replication

Sep 16 '11 at 2:56 楊祝昇 1,123

17

votes

3

answers

4k

views

Order submission strategies of a rational market maker?

trading automated-trading high-frequency market-making limit-order-book

Apr 18 '12 at 2:10 lehalle 9,375

13

votes

2

answers

2k

views

Algorithm for the choice of stocks for a equity scalper/market maker to engage in?

high-frequency algorithm market-making

May 21 '11 at 2:43 Ram Ahluwalia 13.1k

12

votes

2

answers

5k

views

Why a self-financing replicating portfolio should always exist?

black-scholes derivatives

Jan 6 '12 at 9:48 楊祝昇 1,123

12

votes

3

answers

719

views

What is a commonly accepted econometric model for volume?

time-series modeling volume econometrics

Nov 21 '13 at 13:45 htrahdis 395

11

votes

1

answer

1k

views

A generic limit order book: What are the most important queries it should be able to answer?

data trading automated-trading trading-systems limit-order-book

May 24 '11 at 9:34 wburzyns 833

11

votes

1

answer

2k

views

How do you estimate the volatility of a sample when points are irregularly spaced?

volatility interpolation

Dec 20 '11 at 20:44 Community♦ 1

9

votes

2

answers

2k

views

Analytical relationship between a covariance matrix and cross-sectional dispersion

volatility covariance correlation-matrix

May 4 '12 at 14:41 Community♦ 1

Stack Exchange Network

current community

your communities

more stack exchange communities

Next privilege

Next badge

23 Bookmarks

Switching from C++ to R - limitations/applications

Paradoxes in quantitative finance

Why does the minimum variance portfolio provide good returns?

Is my trading strategy search methodology sound?

Skew arbitrage: How can you realize the skewness of the underlying?

How do you mix quantitative asset allocation with qualitative views?

Law of an integrated CIR Process as sum of Independent Random Variables

Excellent information source on advanced machine learning / data mining based trading?

What are the best sources for equity quantitative research?

How to quickly estimate a lower bound on correlation for a large number of stocks?

How do I adjust a correlation matrix whose elements are generated from different market regimes?

Proof that you cannot beat a random walk

Can the concept of entropy be applied to financial time series?

Cleansing covariance matrices via Random matrix theory

How to cluster stocks and construct an affinity matrix?

Duality between constant rebalanced portfolio (CRP) and corresponding derivative

Order submission strategies of a rational market maker?

Algorithm for the choice of stocks for a equity scalper/market maker to engage in?

Why a self-financing replicating portfolio should always exist?

What is a commonly accepted econometric model for volume?

A generic limit order book: What are the most important queries it should be able to answer?

How do you estimate the volatility of a sample when points are irregularly spaced?

Analytical relationship between a covariance matrix and cross-sectional dispersion