Quantitative Finance
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Dave Harris
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122 Answers

Votes Activity Newest
13
What mathematical theory is required for high frequency trading?
Jun 17 '19 at 5:19
12
Current industry standard for (active/passive) portfolio optimizations
Apr 3 '18 at 4:46
11
Why quants think that the risk-neutral measure should not be used for financial forecasting?
Nov 14 '17 at 0:21
9
Why is Markowitz portfolio optimisation so popular considering it is worse than an equal weighted portfolio?
Jun 12 '17 at 17:40
7
Suppose that we are wrong about the relevant class of distributions for financial economics and econometrics. Now what?
Apr 1 at 1:08
5
Why does Kelly maximise $E[\log\space G]$ rather than simply $E[G]$?
Jan 8 '19 at 18:21
5
Insoluble Enigma
Dec 12 '18 at 10:51
5
Implying risk-free rates using Put/Call parity
Nov 23 '17 at 22:33
5
Predict probability of returns: How does changing volatility affect the return pdf?
Jun 18 '17 at 6:51
5
What are some classical papers to read for a mathematician looking to get into quant finance?
May 31 '17 at 22:52
4
Why would Basel III prevent price discovery at credit markets?
Oct 21 '19 at 11:33
4
Determining if a time series is random
Oct 11 '19 at 2:12
4
Is this realized “efficient” frontier reasonable?
Nov 26 '16 at 1:35
3
Any portfolio theories not based on asset return moments?
May 25 at 17:31
3
Is a 'bad' trading algorithm useful?
Nov 10 '19 at 2:01
3
What is the intuition behind “jumps” causing volatility skew?
Oct 22 '19 at 14:52
3
Condition expectation calculation examples and theory
May 28 '19 at 15:17
3
What Process Does the Market Follow in the CAPM?
May 1 '18 at 1:01
3
Rate of convergence between price and value
Mar 1 '18 at 7:02
3
Portfolio returns with unequal asset return histories
Nov 12 '17 at 23:00
3
Backtest Results needed to Model Validate my Modern Portfolio Theory model
Mar 24 '17 at 19:52
3
Covariance estimation: shrinkage, random matrix theory, what else?
Feb 17 '17 at 11:56
3
Consensus on Cauchy distribution for stock prices
Jan 22 '17 at 1:14
2
How to deal with intermittent NA values in a price series when calculating returns
Sep 22 '19 at 22:15
2
How to estimate the probability of Clustering illusion in our backtest result?
Sep 20 '19 at 4:05
2
Probability of default
Sep 10 '19 at 17:21
2
Why does risk aversion use variance instead of standard deviation?
Jun 28 '19 at 4:03
2
Transforming non-normally distributed interest rates for OLS regression
Jun 1 '19 at 17:58
2
Why can we assume that asset return rates are normally (or lognormally) distributed?
May 21 '19 at 20:50
2
Reducing pricing errors (Alpha) in the CAPM with Bitcoin
May 17 '19 at 14:19
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