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NBF's user avatar
NBF's user avatar
NBF's user avatar
NBF
  • Member for 9 years, 3 months
  • Last seen this week
14 votes
Accepted

Why are there so few published research papers that apply Deep Learning to Algorithmic Trading?

11 votes
Accepted

Conceptual explanation of the relationship between gamma and vega plotted against delta for a European call option

7 votes
Accepted

Vasicek short rate: Risk-neutral measure into real-world measure

5 votes
Accepted

Do you optimise models on bootstrapped time series?

5 votes
Accepted

Measuring bond fair value (richness/cheapness) using basic regression models?

4 votes

What are the main differences between discrete and continuous time models when modeling asset price dynamics?

4 votes

What is the reference python library for portfolio optimization?

4 votes

Are there any papers about cointegration consisting of time series of more than two assets?

2 votes

Inverted Yield Curve

2 votes

Why use par-value weighted average when valuing portfolio of bonds?

2 votes

Finding MBS OAS in practice

2 votes
Accepted

What is the hedging underlying of MBS

1 vote

How turnover rate is dependent on mortgage rate?

1 vote

cointegration applied to Portfolio Construction & Risk management

1 vote

Bootstrapping Sharpe Ratios

1 vote

Dou you have an example of implementing Engle-Granger 2-step cointegration?

1 vote

What are pros and cons of mean absolute deviation portfolio optimization?

1 vote

Sharpe Ratio vs Net Profit vs max drawdown

0 votes

Significance Of Missing Data for RMSE Estimation

0 votes

Risk-neutral vs. physical measures: Real-world example

0 votes

Are two identical time series cointegrated?

0 votes
Accepted

Minimizing variance when searching for Cointegration

0 votes

Does mean-variance portfolio optimization provide a real edge to those who use it?