User Ryogi

48 votes

How to annualize Sharpe Ratio?

sharpe-ratio

answered Oct 27, 2011 at 17:09

25 votes

How are limit orders selected from the order book?

limit-order-book

answered Oct 29, 2011 at 17:33

19 votes

Accepted

What exactly is meant by "microstructure noise"?

answered Nov 11, 2011 at 20:46

18 votes

Accepted

Why do some anomalies persist while others fade away?

equities research reference-request anomalies

answered Oct 14, 2011 at 20:35

15 votes

Accepted

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

quant-trading-strategies trading-systems market-making sharpe-ratio latency

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?

quant-trading-strategies high-frequency modeling position-sizing

answered Jan 25, 2012 at 23:05

11 votes

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

research reference-request performance sharpe-ratio performance-evaluation

answered Aug 1, 2012 at 6:53

11 votes

Alternative liquidity measures

equities market-microstructure liquidity

answered Oct 21, 2012 at 20:50

10 votes

Accepted

Using variance ratios to test for mean reversion

time-series r

answered Apr 5, 2013 at 15:47

7 votes

Can social media be applied to algorithmic trading?

quant-trading-strategies algorithmic-trading research

answered Nov 3, 2011 at 23:08

7 votes

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

equities forecasting research prediction nlp

answered Oct 16, 2011 at 0:38

7 votes

Accepted

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

volatility time-series equities research forecasting

answered Oct 16, 2011 at 2:07

7 votes

How to execute a large futures order?

futures order-execution

answered Oct 18, 2011 at 1:32

6 votes

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

trading algorithmic-trading high-frequency latency

answered Oct 27, 2011 at 3:17

6 votes

Usefulness of simultaneously buying triangular and multiple arbitrages on the Forex

risk-management fx arbitrage

answered Jun 28, 2012 at 4:43

6 votes

What close price to assume for thinly traded stocks?

equities market-data visualization

answered Nov 12, 2011 at 1:35

6 votes

How to check if a timeseries is stationary?

time-series stationarity

answered Nov 14, 2011 at 3:47

6 votes

Does mean reverting imply mean stationary?

mean-reversion

answered Nov 16, 2012 at 17:43

6 votes

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

quant-trading-strategies algorithmic-trading

answered Nov 18, 2012 at 2:42

5 votes

Are two identical time series cointegrated?

time-series cointegration statistics

answered Apr 13, 2012 at 20:33

4 votes

How significant is slippage in a successful quant fund?

slippage

answered Oct 31, 2011 at 21:26

3 votes

Treasury Bond Yield Curves in R

programming fixed-income

answered Nov 28, 2012 at 21:07

3 votes

Testing for stationarity in large sample sizes

time-series stationarity testing

answered Feb 4, 2013 at 21:57

2 votes

Is there data on market participants at a particular moment?

data trading market-data market

answered Oct 15, 2011 at 2:10

2 votes

Good reference on sample autocorrelation?

time-series auto-correlation

answered May 1, 2012 at 17:16

1 vote

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

credit liquidity

answered Dec 3, 2011 at 21:39

1 vote

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

market-data market theory trade price

answered Jan 25, 2012 at 2:27

1 vote

Volatility models using Rugarch

volatility garch

answered Oct 29, 2012 at 18:56

0 votes

Accepted

Physical Option Implied Distribuition

options black-scholes research probability

answered Oct 13, 2013 at 1:15

Stack Exchange Network

current community

your communities

more stack exchange communities

29 Answers

How to annualize Sharpe Ratio?

How are limit orders selected from the order book?

What exactly is meant by "microstructure noise"?

Why do some anomalies persist while others fade away?

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