Ryogi's user avatar
Ryogi's user avatar
Ryogi's user avatar
Ryogi
  • Member for 10 years, 11 months
  • Last seen more than a month ago
48 votes

How to annualize Sharpe Ratio?

25 votes

How are limit orders selected from the order book?

21 votes
Accepted

Why do some anomalies persist while others fade away?

19 votes
Accepted

What exactly is meant by "microstructure noise"?

15 votes
Accepted

How does one measure the effect of latency on potential returns?

14 votes
Accepted

From a high frequency point of view, with a price prediction and assuming infinite leverage, how do you determine optimal trade size?

11 votes

How high of a Sharpe ratio is implausibly high for a low-frequency equity strategy?

11 votes

Alternative liquidity measures

10 votes
Accepted

Using variance ratios to test for mean reversion

7 votes

Can social media be applied to algorithmic trading?

7 votes

Any research on how natural language processing can be used to forecast stocks?

7 votes
Accepted

How to forecast expected volatility from high-frequency equity panel data?

7 votes

How to execute a large futures order?

6 votes

What strategy would benefit most from having the fastest connection to the exchange?

6 votes

Usefulness of simultaneously buying triangular and multiple arbitrages on the Forex

6 votes

What close price to assume for thinly traded stocks?

6 votes

How to check if a timeseries is stationary?

6 votes

Does mean reverting imply mean stationary?

6 votes

Why is random trading minus transaction costs not zero expected value?

5 votes

Are two identical time series cointegrated?

4 votes

How significant is slippage in a successful quant fund?

3 votes

Treasury Bond Yield Curves in R

3 votes

Testing for stationarity in large sample sizes

2 votes

Is there data on market participants at a particular moment?

2 votes

Good reference on sample autocorrelation?

1 vote

How to define and measure liquidity or funding premium in credit markets?

1 vote

Has spectrum analysis ever been used successfully to analyse historical price data?

1 vote

Volatility models using Rugarch

0 votes
Accepted

Physical Option Implied Distribuition