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RRG
  • Member for 9 years, 4 months
  • Last seen more than a week ago
2 votes

Build autocorrelation matrix in Python

1 vote
Accepted

Simple Compounding vs Continuous Compounding in return series

4 votes

Principal Component Analysis of yield curve change

2 votes

Are there any papers about cointegration consisting of time series of more than two assets?

10 votes
Accepted

Avellaneda -Stoikov market making model

11 votes
Accepted

Trading interview gambling question

1 vote
Accepted

Unsupervised learning and in out of sample

2 votes

Portfolio optimisation - Non brute force solutions to optimisation problems

4 votes
Accepted

What is an accepted method to calculate percent PnL from a short position?

2 votes
Accepted

Portfolio Optimization with maximum number of Trades constraint

3 votes

Calculating the returns of a long/short strategy

1 vote

Risk contribution of part of a portfolio

1 vote

How can I set portfolio weights inverse to volatility, with constraints and target volatility, using nonlinear optimization?

2 votes
Accepted

Why is the Vega positive?

1 vote

Why does Futures contract credit and debit a position daily, if it has "locked" the price?

2 votes

Are Futures exactly Delta One?

8 votes
Accepted

EuroDollar vs FRA

0 votes

How to compute interest rate futures spread ratio?

5 votes
Accepted

VaR Calculation - Covariance matrix is not positive semidefinite

9 votes
Accepted

Am I reading this correctly? probability way too small with BS model