User Ryogi

48 votes

How to annualize Sharpe Ratio?

answered Oct 27, 2011 at 17:09

25 votes

How are limit orders selected from the order book?

answered Oct 29, 2011 at 17:33

21 votes

Accepted

Why do some anomalies persist while others fade away?

answered Oct 14, 2011 at 20:35

19 votes

Accepted

What exactly is meant by "microstructure noise"?

answered Nov 11, 2011 at 20:46

15 votes

Accepted

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

answered Jul 22, 2012 at 19:59

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?

answered Jan 25, 2012 at 23:05

11 votes

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

answered Aug 1, 2012 at 6:53

11 votes

Alternative liquidity measures

answered Oct 21, 2012 at 20:50

10 votes

Accepted

Using variance ratios to test for mean reversion

answered Apr 5, 2013 at 15:47

7 votes

Can social media be applied to algorithmic trading?

answered Nov 3, 2011 at 23:08

7 votes

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

answered Oct 16, 2011 at 0:38

7 votes

Accepted

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

answered Oct 16, 2011 at 2:07

7 votes

How to execute a large futures order?

answered Oct 18, 2011 at 1:32

6 votes

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

answered Oct 27, 2011 at 3:17

6 votes

Usefulness of simultaneously buying triangular and multiple arbitrages on the Forex

answered Jun 28, 2012 at 4:43

6 votes

What close price to assume for thinly traded stocks?

answered Nov 12, 2011 at 1:35

6 votes

How to check if a timeseries is stationary?

answered Nov 14, 2011 at 3:47

6 votes

Does mean reverting imply mean stationary?

answered Nov 16, 2012 at 17:43

6 votes

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

answered Nov 18, 2012 at 2:42

5 votes

Are two identical time series cointegrated?

answered Apr 13, 2012 at 20:33

4 votes

How significant is slippage in a successful quant fund?

answered Oct 31, 2011 at 21:26

3 votes

Treasury Bond Yield Curves in R

answered Nov 28, 2012 at 21:07

3 votes

Testing for stationarity in large sample sizes

answered Feb 4, 2013 at 21:57

2 votes

Is there data on market participants at a particular moment?

answered Oct 15, 2011 at 2:10

2 votes

Good reference on sample autocorrelation?

answered May 1, 2012 at 17:16

1 vote

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

answered Dec 3, 2011 at 21:39

1 vote

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

answered Jan 25, 2012 at 2:27

1 vote

Volatility models using Rugarch

answered Oct 29, 2012 at 18:56

0 votes

Accepted

Physical Option Implied Distribuition

answered Oct 13, 2013 at 1:15

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29 Answers

How to annualize Sharpe Ratio?

How are limit orders selected from the order book?

Why do some anomalies persist while others fade away?

What exactly is meant by "microstructure noise"?

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

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

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

Alternative liquidity measures

Using variance ratios to test for mean reversion

Can social media be applied to algorithmic trading?

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

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

How to execute a large futures order?

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

Usefulness of simultaneously buying triangular and multiple arbitrages on the Forex

What close price to assume for thinly traded stocks?

How to check if a timeseries is stationary?

Does mean reverting imply mean stationary?

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

Are two identical time series cointegrated?

How significant is slippage in a successful quant fund?

Treasury Bond Yield Curves in R

Testing for stationarity in large sample sizes

Is there data on market participants at a particular moment?

Good reference on sample autocorrelation?

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

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

Volatility models using Rugarch

Physical Option Implied Distribuition