Quantitative Finance
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Qbik

Apparently, this user prefers to keep an air of mystery about them.

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  • Member for 8 years, 11 months
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  • Last seen Jan 14 at 13:26

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14 Is a linear combination of GARCH processes also a GARCH process? Jun 19 '12
12 What is a commonly accepted econometric model for volume? May 22 '12
8 How to model time series of illiquid stocks - 400 observations (transactions) per 8 hours? May 21 '12
8 Problems with dealing with GARCH models and intra-day data Feb 15 '13
7 Filtering out AR(1) effects before using stochastic volatility model Nov 12 '14
6 What kind of errors arise when I fit ARMA(1,1) to data generated from ARMA(1,1)-GARCH(1,1) process? Feb 5 '15
5 What tools exist for order book analysis and visualization? Jun 16 '12
4 Why in general is the variance of volume changes higher than variance of price changes? Apr 24 '12
4 Does the correlation amongst stocks rise when stock values decline? Apr 24 '12
2 Are there any derivatives which pay amount $a(p-b)^{2}-c$ where $p$ is the price of underling asset? Jan 23 '13
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