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chrisaycock

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quant-trading-strategies

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383 posts edited

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21 Bookmarks

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Market impact, why square root?

May 18 at 22:53 OrangeSherbet 352

votes

answers

35k

views

What are the quantitative finance books that we should all have in our shelves?

books big-list

Jun 30 at 21:04 chrisaycock 9,389

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answer

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Price functions based on order book events

equities pricing market-microstructure

Oct 31 '13 at 13:30 chrisaycock 9,389

votes

answers

593

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Is there a name for, or any research on, a system where you try to predict future price by finding a similar price history in the past?

algorithm algorithmic-trading

Mar 27 '14 at 18:15 cloudviz 141

votes

answers

29k

views

Why does the minimum variance portfolio provide good returns?

portfolio-management optimization modern-portfolio-theory covariance

Oct 26 '15 at 16:56 Community♦ 1

votes

answers

views

Which objective function should I choose to minimize tracking error?

optimization replication tracking-error

Oct 20 '12 at 5:05 Community♦ 1

votes

answers

views

How to quickly estimate a lower bound on correlation for a large number of stocks?

time-series correlation numerical-methods

Jun 7 '12 at 3:55 David B 1

votes

answers

views

How do I adjust a correlation matrix whose elements are generated from different market regimes?

market-regimes correlation-matrix

Dec 26 '11 at 1:26 Community♦ 1

votes

answers

views

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

Mar 29 '13 at 20:32 Ryogi 3,158

votes

answers

19k

views

What is the reference python library for portfolio optimization?

portfolio optimization python

Jun 22 at 8:15 DANY CAJAS 9

votes

answers

views

How to group timeseries showing similar curve

statistics quantization

Dec 20 '13 at 8:19 Quant 209

votes

answers

10k

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Control for bid/ask bounce in high-frequency trade data?

high-frequency limit-order-book

Sep 19 '19 at 19:34 HFFX001 1

votes

answers

views

Is Conditional Value-at-Risk (CVaR) coherent?

risk coherent-risk-measure risk-models

Jul 20 '12 at 20:09 Chang 583

votes

answers

views

Trading a synthetic replication of the VIX index

vix delta-neutral

Mar 14 '14 at 8:18 anonymous 11

100

votes

answers

19k

views

Video lectures and presentations on quantitative finance

research finance education big-list

Jun 22 '19 at 19:43 Magic is in the chain 5,849

votes

answers

views

How to forecast volatility using high-frequency data?

volatility forecasting high-frequency

Jun 28 '14 at 7:20 noah 11

votes

answers

views

How to estimate the probability of drawdown / ruin?

estimation probability drawdown

Feb 21 '11 at 15:54 Ilya 2,571

votes

answers

988

views

How do you correct Max Draw-Down for auto-correlation?

statistics returns auto-correlation performance sharpe-ratio

Sep 25 '11 at 21:08 Tal Fishman 12.6k

votes

answers

19k

views

What is the intuition behind cointegration?

time-series statistics cointegration intuition

Nov 12 '14 at 20:43 Community♦ 1

138

votes

answers

171k

views

How can I go about applying machine learning algorithms to stock markets?

machine-learning prediction mathematics

Nov 25 '19 at 21:00 Community♦ 1

292

votes

answers

222k

views

What data sources are available online?

data finance economics data-source

Apr 8 at 18:31 Tom Wong 51

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21 Bookmarks

Market impact, why square root?

What are the quantitative finance books that we should all have in our shelves?

Price functions based on order book events

Is there a name for, or any research on, a system where you try to predict future price by finding a similar price history in the past?

Why does the minimum variance portfolio provide good returns?

Which objective function should I choose to minimize tracking error?

How to quickly estimate a lower bound on correlation for a large number of stocks?

How do I adjust a correlation matrix whose elements are generated from different market regimes?

From a high frequency point of view, with a price prediction and assuming infinite leverage, how do you determine optimal trade size?

What is the reference python library for portfolio optimization?

How to group timeseries showing similar curve

Control for bid/ask bounce in high-frequency trade data?

Is Conditional Value-at-Risk (CVaR) coherent?

Trading a synthetic replication of the VIX index

Video lectures and presentations on quantitative finance

How to forecast volatility using high-frequency data?

How to estimate the probability of drawdown / ruin?

How do you correct Max Draw-Down for auto-correlation?

What is the intuition behind cointegration?

How can I go about applying machine learning algorithms to stock markets?

What data sources are available online?