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QMath
  • Member for 1 year, 1 month
  • Last seen more than a month ago
3 votes
1 answer
268 views

Effect of back-transforming forecasted mean of log returns to get forecasted mean of price

3 votes
1 answer
365 views

Target variables in high frequency trading [closed]

2 votes
0 answers
126 views

Is there daily SPX level data going back to 1927?

2 votes
2 answers
261 views

Is there a commonly accepted way to leverage the granularity of high frequency data while working within the constraints of lower frequencies?

2 votes
1 answer
276 views

Is there a general approach to predicting future (vanilla) option prices in practice?

1 vote
1 answer
111 views

Is the impact of "small" orders on market dynamics more than is commonly assumed?

1 vote
0 answers
52 views

Am I overcomplicating this approach to optimal actions based on a forecast?

0 votes
0 answers
52 views

In what "time" should we work in when handling high frequency data with latency?

0 votes
0 answers
99 views

Potential problems with trying to apply reinforcement learning to algorithmic trading

0 votes
0 answers
96 views

Input/References on Generating Exit Signals for Positions that Profit Very Highly from Extreme and "Unpredictable" Events?

0 votes
0 answers
72 views

Is the self-financing condition necessary/"useful" in practice outside of replication/valuation?

0 votes
0 answers
35 views

References/Direction on what functional of wealth to optimize for a given goal?

0 votes
1 answer
363 views

How are order book and trade data consolidated/distilled into a more(?) tractable form for modeling?

0 votes
0 answers
271 views

Is there a common way that level 2 and time & sales data are analyzed together?