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Slow Learner
  • Member for 10 years, 11 months
  • Last seen more than a month ago
  • San Francisco, CA
17 votes
3 answers
32k views

Derivation of the tangency (maximum Sharpe Ratio) portfolio in Markowitz Portfolio Theory?

11 votes
2 answers
15k views

Typical risk aversion parameter value for mean-variance optimization?

10 votes
1 answer
3k views

Is trading mean reversion of small principal components of prices profitable?

7 votes
1 answer
332 views

What are the most common ways that quantitative funds construct industry/style-neutral factor portfolios?

6 votes
0 answers
146 views

How can one quantify the incremental value of better covariance matrix modeling in portfolio optimization?

5 votes
2 answers
719 views

Are there alternatives to the Box-Tiao decomposition in identifying mean reverting portfolios?

5 votes
1 answer
320 views

Why were cross-currency swap basis so close to zero before the financial crisis?

4 votes
1 answer
267 views

Why was CDS-bond basis close to zero before the financial crisis?

4 votes
2 answers
2k views

Does Fama French Three Factor Model Work out of Sample (after 1993)?

4 votes
1 answer
366 views

Why are bonds usually issued at par?

3 votes
0 answers
82 views

Is there evidence that illiquid stocks, held less by institutions, have more price momentum?

2 votes
0 answers
77 views

How to optimize an arbitrage portfolio when taking into account different speeds of mean reversion?

2 votes
2 answers
203 views

What is a good way to detect fund manager's active stock picks from his portfolio holdings?

2 votes
1 answer
94 views

Do single name stock option volatility surfaces exhibit steeper volatility smiles after stock price crash episodes?

2 votes
1 answer
101 views

Are option dealers usually net sellers or buyers of single name stock options?

2 votes
0 answers
55 views

Is there any other impact of securities litigation on firms other than the direct cost of litigation and damages?

2 votes
2 answers
479 views

Is there any source that describes Wall Street quotation conventions for fixed income securities (e.g. corporate bonds)?

2 votes
0 answers
63 views

What are most common Wall Street explanations for why IPOs are underpriced on average? [closed]

1 vote
1 answer
461 views

What is the market share of MSCI Barra Equity Model?

1 vote
0 answers
30 views

What do typical transaction cost models predict about the long-term price impact of buying 1% of a stock’s shares outstanding?

1 vote
0 answers
118 views

Is Hasbrouck's information share measure a good indicator of whether a price leads others, and are there alternative indicators?

1 vote
0 answers
82 views

How can I extract market themes using an algorithm?

0 votes
3 answers
115 views

Suppose I know people in S&P and thus know which stock will be added into the index. Is trading on that classified as insider trading? [closed]

0 votes
0 answers
351 views

Is order flow imbalance more or less correlated with price movements at slower frequency?

0 votes
1 answer
47 views

Do equity mutual funds typically have industry-level diversification constraints? [closed]

0 votes
1 answer
112 views

What kind of stock's prices are most affected by option trading?

0 votes
1 answer
169 views

What are the most commonly used models in capital structure arbitrage?

0 votes
1 answer
96 views

Is there any data sources for historical arbitrage basis (e.g. on-the-run/off-the-run basis)?

0 votes
0 answers
42 views

Generalization of pairs trading to portfolios?