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Quantitative Finance
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23 Bookmarks

Votes Activity Newest Views Added
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
42
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 12.6k
33
votes
5
answers
14k
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 9,369
31
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
30
votes
1
answer
2k
views

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

stochastic-calculus stochastic-volatility
Jul 31 at 8:56 TheBridge 4,303
30
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
25
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
3k
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 750
20
votes
3
answers
3k
views

Cleansing covariance matrices via Random matrix theory

correlation risk-models covariance random-matrix-theory
May 27 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 8,766
18
votes
2
answers
993
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 9,042
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 13k
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
708
views

What is a commonly accepted econometric model for volume?

time-series modeling volume econometrics
Nov 21 '13 at 13:45 htrahdis 375
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
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