Ezy
  • Member for 6 years, 2 months
  • Last seen more than a month ago
4 answers
71 votes
44k views
160 bookmarks
What are the quantitative finance books that we should all have in our shelves?
4 answers
49 votes
6k views
56 bookmarks
How much data is needed to validate a short-horizon trading strategy?
17 answers
27 votes
91k views
66 bookmarks
What programming languages are most commonly used in quantitative finance?
1 answers
23 votes
1k views
11 bookmarks
What is the trickiest thing to get right in Rates Quant recently (2019)?
0 answers
19 votes
765 views
12 bookmarks
Questions on Kelly criterion
5 answers
18 votes
3k views
11 bookmarks
Why does Kelly maximise $E[\log\space G]$ rather than simply $E[G]$?
1 answers
12 votes
772 views
5 bookmarks
Does your Parkinson volatility ratio work as Taleb explained?
3 answers
12 votes
12k views
6 bookmarks
Can the Hurst exponent be greater than one?
1 answers
12 votes
2k views
14 bookmarks
Pricing Treasury futures
1 answers
11 votes
556 views
3 bookmarks
How to de-seasonalize natural gas term structure data?
1 answers
11 votes
315 views
6 bookmarks
From VG and NIG processes to GBM
4 answers
9 votes
1k views
4 bookmarks
What is the fastest tick-to-trade possible time without FPGAs?
5 answers
9 votes
4k views
8 bookmarks
Is there a good closed-form approximation for Black-Scholes implied volatility?
3 answers
8 votes
7k views
9 bookmarks
Variance of time integral of squared Brownian motion
2 answers
8 votes
637 views
2 bookmarks
What is the industry standard pricing model for CME-traded Eurodollar future (American) options?
1 answers
8 votes
1k views
5 bookmarks
Ho and lee derivation for short rates model
2 answers
8 votes
586 views
3 bookmarks
Defining an objective function for machine learning task of trading
1 answers
7 votes
291 views
3 bookmarks
Question about quadratic form of f* in the Continuous Kelly Criterion
3 answers
7 votes
2k views
9 bookmarks
Why is there a convexity adjustment if the payment date differs from Libor end date?
1 answers
7 votes
2k views
2 bookmarks
Is short-gamma inherently a losing strategy?
1 answers
7 votes
340 views
2 bookmarks
Significance testing of average returns from Sharpe ratio
2 answers
5 votes
574 views
2 bookmarks
Local volatility implied by implied vol surface
1 answers
5 votes
768 views
2 bookmarks
Distribution of time integral of Brownian motion squared (where the Brownian motion occurs in square root time)?
2 answers
5 votes
1k views
6 bookmarks
Kelly criterion for normally distributed returns
0 answers
4 votes
99 views
1 bookmarks
Reference request for research on the maximum drawdown **ratio** (NOT value)
0 answers
4 votes
114 views
1 bookmarks
Alternative Method for Determining Option-Implied pdf
2 answers
4 votes
360 views
2 bookmarks
How could Renaissance Technologies have near real-time prices on corporate bonds and other debt?
1 answers
4 votes
381 views
3 bookmarks
Shrink covariance or correlation matrix
1 answers
4 votes
147 views
1 bookmarks
Compute distribution of a stochastic variable
1 answers
4 votes
569 views
8 bookmarks
Why are there so few published research papers that apply Deep Learning to Algorithmic Trading?