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Thomas Johnson
  • Member for 9 years, 3 months
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10 votes
2 answers
4k views

What are common methods for modeling intraday trading volume?

8 votes
1 answer
1k views

How do you calibrate a poisson arrival rate process?

8 votes
1 answer
2k views

Why would an exchange choose one matching algorithm over another?

7 votes
1 answer
930 views

How to determine ratios for mean-reverting basket

7 votes
1 answer
1k views

Momentum - skipping the most recent month

4 votes
1 answer
752 views

What's the practical difference between the Johansen vs Engle-Granger tests for cointegration?

3 votes
0 answers
150 views

Adjusting for your own orders in future backtests

2 votes
1 answer
139 views

Exactly what data is available in XBRL, and how far back does it go?

2 votes
1 answer
102 views

Value measures other than P/B

2 votes
0 answers
84 views

What is the state of the art in Capital Growth Theory?

2 votes
1 answer
236 views

Online database of ETF & Mutual Fund Fees?

2 votes
2 answers
179 views

Where can I find a list of market-moving news announcements for different asset classes?

1 vote
1 answer
326 views

How can I forecast future correlation?

1 vote
1 answer
584 views

Online algorithm for selecting smoothing parameter?

1 vote
1 answer
154 views

Why normalize only data for CDSs for PCA?

1 vote
2 answers
9k views

How can I calculate Fama-French betas for a particular stock?

0 votes
0 answers
110 views

Units of Risk: Variance vs Standard Deviation

0 votes
2 answers
81 views

Definitive way of figuring out companies with multiple classes of stocks