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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

Votes Activity Newest Views Added

292

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answers

222k

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What data sources are available online?

Apr 8 at 18:31 Tom Wong 51

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

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

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

19k

views

What is the reference python library for portfolio optimization?

portfolio optimization python

Jun 22 at 8:15 DANY CAJAS 9

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

19k

views

What is the intuition behind cointegration?

time-series statistics cointegration intuition

Nov 12 '14 at 20:43 Community♦ 1

votes

answers

10k

views

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

Trading a synthetic replication of the VIX index

vix delta-neutral

Mar 14 '14 at 8:18 anonymous 11

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

How to forecast volatility using high-frequency data?

volatility forecasting high-frequency

Jun 28 '14 at 7:20 noah 11

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

Market impact, why square root?

high-frequency market-microstructure market-making market-impact

May 18 at 22:53 OrangeSherbet 352

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

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 to estimate the probability of drawdown / ruin?

estimation probability drawdown

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

votes

answer

views

Price functions based on order book events

equities pricing market-microstructure

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

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

views

How to group timeseries showing similar curve

statistics quantization

Dec 20 '13 at 8:19 Quant 209

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

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

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What data sources are available online?

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

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

Why does the minimum variance portfolio provide good returns?

What is the reference python library for portfolio optimization?

Video lectures and presentations on quantitative finance

What is the intuition behind cointegration?

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

Trading a synthetic replication of the VIX index

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

How to forecast volatility using high-frequency data?

Which objective function should I choose to minimize tracking error?

Market impact, why square root?

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

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

How to estimate the probability of drawdown / ruin?

Price functions based on order book events

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

How to group timeseries showing similar curve

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

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?