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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