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develarist
  • Member for 4 years, 10 months
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1 vote
1 answer
390 views

Why do cumulative returns have a bimodal distribution?

1 vote
1 answer
150 views

How to simulate asset prices/returns that display market regimes?

1 vote
0 answers
56 views

How to tell if Level I volume is net bid or ask side?

1 vote
0 answers
301 views

Machine learning for portfolio optimization

1 vote
0 answers
76 views

Algorithmic trading strategies for financial derivatives

1 vote
1 answer
806 views

Textbooks on algorithmic trading

1 vote
1 answer
3k views

Difference between cross-validation, backtesting, historical simulation, Monte Carlo simulation, bootstrap replication?

1 vote
1 answer
193 views

Surface plots of the mean-variance efficient frontier

1 vote
1 answer
491 views

Volume bars, dollar bars from low-frequency data?

1 vote
3 answers
545 views

Any portfolio theories not based on asset returns?

1 vote
0 answers
173 views

Multivariate combinatorial purged cross-validation

1 vote
2 answers
401 views

Meaning of an identity matrix for the covariance in portfolio optimization

1 vote
1 answer
131 views

Does Value-at-Risk have any mathematical equivalence to copulas?

1 vote
2 answers
221 views

Mean-EVaR efficient frontier

1 vote
2 answers
297 views

Which is more ill-conditioned, the asset correlation matrix or covariance matrix?

1 vote
1 answer
515 views

Do EWMA weights remove autocorrelation in asset returns?

1 vote
3 answers
188 views

Do portfolio mean and portfolio variance have probability distributions?

1 vote
0 answers
752 views

Source on multivariate correlated geometric Brownian motion returns, not prices

1 vote
2 answers
341 views

Simulating artificial asset prices: Random walk vs Brownian motion?

1 vote
0 answers
69 views

Can the covariance matrix be represented as a scalar or something similarly small, instead of a large pair-wise grid?

1 vote
1 answer
786 views

If $W_t$ is standard Brownian motion, what is $\int_0^T W_t \ln(W_t) dW_t$?

1 vote
1 answer
114 views

Clustering the observations in a price or returns series [closed]

1 vote
2 answers
291 views

Spectral clustering in finance

1 vote
2 answers
436 views

Reinforcement learning in finance

1 vote
0 answers
117 views

Concentration of measure phenomena in financial mathematics

1 vote
1 answer
91 views

Alternative low-moment measure of skewness

1 vote
0 answers
124 views

Prove norm $\frac{1}{p}\sum_{i=1}^n |w_i|^p$ of min-variance portfolio $\leq$ max-Sharpe portfolio

1 vote
0 answers
103 views

Mathematical proof of out-of-sample disappointment in portfolio performance being a function of a portfolio's variance

0 votes
2 answers
263 views

Why is a smaller portfolio norm better?

0 votes
1 answer
196 views

Should a stock with high return autocorrelation be weighted more heavily in a portfolio?