Quantitative Finance Weekly Newsletter

Quantitative Finance newsletter

Top new questions this week:

HFT to blame for Flash Crashes?

Some people 1, 2, 3 claim that High Frequency Trading is partly to blame for the extreme volatilities in the markets yesterday (24. August 2015). Is that true? Is the amount HFTs move even enough ...

volatility high-frequency market-making  
asked by joachim 3 votes
answered by madilyn 4 votes

Yahoo finance, interactive chart and historical prices are different

I am very new to the stocks. I checked the TNTE.AS stock on Yahoo Finance website. Here it provides "Interactive Chart" and "Historical Prices". But I found they are showing different values. For ...

programming finance yahoo split csv  
asked by aura 3 votes
answered by volcompt 1 vote

Parametric VaR with Student-t distribution

Im using VaR to estimate parametric VaR. I have been able to do this using a Normal Distribution, however I want to also do this using a Student t-distribution and I'm unsure how to implement that in ...

var value-at-risk  
asked by Josh.V 2 votes
answered by Alex C 0 votes

Up and Down days in GBPUSD and a Filter

I want to study if the odds of an up or down day in a forex pairs is 50-50. I just count the total number of up and down days in X years and compare it with the total days. The results are very ...

time-series trading backtesting  
asked by tn240 2 votes
answered by noob2 0 votes

Relationships between white noise and random walk

I would like to ask 5 questions about relations between these processes. 1) Could white noise be also a random walk? 2) Could random walk be also a white noise? 3) Could white noise be stationary? ...

time-series stochastic-processes random-walk stationarity  
asked by macgivera 2 votes
answered by AFK 6 votes

Hidden/Dark Pool Hedge Funds

Is there a noun for investment funds which do not disclose the assets they are investing in to their customers? Some exchanges are called "Dark Pools" where the orderbook is hidden to traders, so I ...

investing hedge-fund  
asked by emcor 2 votes
answered by chollida 2 votes

How are netting sets determined for CVA calculation?

In his book, Gregory describes a netting set as a set of trades that can be legally netted together in the event of a default Obviously, the netting agreements (as per ISDA master agreement) ...

credit-risk cva  
asked by eddiewould 1 vote
answered by SRKX 0 votes

Greatest hits from previous weeks:

Is R being replaced by Python at quant desks?

I know the title sounds a little extreme but I wonder whether R is phased out by a lot of quant desks at sell side banks as well as hedge funds in favor of Python. I get the impression that with ...

time-series statistics r python quants  
asked by Matt Wolf 23 votes
answered by statquant 12 votes

What is a stationary process?

How do you explain what a stationary process is? In the first place, what is meant by process, and then what does the process have to be like so it can be called stationary?

stochastic-calculus time-series stationarity  
asked by user40 24 votes
answered by Shane 25 votes
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