Quant Guy

New York

top accounts reputation activity favorites subscriptions

In a competitive market, why is movie theater popcorn expensive?

untagged asked Nov 4 '11 at 20:55

money.stackexchange.com

18 votes

Why does is.vector() return TRUE for list?

r asked May 17 '11 at 14:57

stackoverflow.com

17 votes

Tools in R for estimating time-varying copulas?

r estimation covariance distribution joint-probability asked Nov 7 '11 at 16:11

quant.stackexchange.com

14 votes

Portfolio optimization with monte carlo sampling from predictive distribution

risk monte-carlo optimization modern-portfolio-theory portfolio-selection asked Aug 3 '11 at 5:09

quant.stackexchange.com

13 votes

What is the best way to “fix” a covariance matrix that is not positive semi-definite?

risk statistics research correlation covariance asked Oct 1 '11 at 16:06

quant.stackexchange.com

12 votes

Variable Selection in factor models

cointegration factor-models information asked Jun 30 '11 at 0:06

quant.stackexchange.com

12 votes

What are the best sources for equity quantitative research?

quant-trading-strategies equities research asked Aug 9 '11 at 4:47

quant.stackexchange.com

12 votes

statistical arbitrage option overlay strategies / volatility trading

volatility quant-trading-strategies trading option-strategies asked Apr 9 '12 at 16:13

quant.stackexchange.com

11 votes

Empirical or theoretical quant insights that have shaped your thinking?

soft-question theory asked Sep 23 '11 at 20:05

quant.stackexchange.com

11 votes

Cleansing covariance matrices via Random matrix theory

correlation risk-models covariance random-matrix-theory asked Oct 20 '11 at 20:18

quant.stackexchange.com

Top Answers

How do you mix quantitative asset allocation with qualitative views?

quant.stackexchange.com

Which approach dominates? Mathematical modeling or data mining?

quant.stackexchange.com

Why does the minimum variance portfolio provide good returns?

quant.stackexchange.com

How do I graphically represent the evolution of a covariance matrix over time?

quant.stackexchange.com

Why is the first principal component a proxy for the market portfolio, and what other proxies exist?

quant.stackexchange.com

What papers have progressed the field of quantitative finance in recent years (post 2000)?

quant.stackexchange.com

How do I adjust a correlation matrix whose elements are generated from different market regimes?

quant.stackexchange.com

Do weights from portfolio theory contain bias?

quant.stackexchange.com

Why is an inverted yield curve a problem?

quant.stackexchange.com

Empirical or theoretical quant insights that have shaped your thinking?

quant.stackexchange.com

Recommendations for books to understand the math in quantitative finance papers?

quant.stackexchange.com

How to detect regime change when estimating asset correlation from historical time series?

quant.stackexchange.com

What methods do I need to learn in order forecast asset price movements?

quant.stackexchange.com

How to group timeseries showing similar curve

quant.stackexchange.com

How to incorporate technical indicators into neural networks?

quant.stackexchange.com

Switching from C++ to R - limitations/applications

quant.stackexchange.com

What is the precision of standard deviation estimates with small samples?

quant.stackexchange.com

How to test for and how to simulate price rise/fall asymmetry in the stock market

quant.stackexchange.com

One dimensional analog of cleansing a correlation matrix via random matrix theory

quant.stackexchange.com

How to compute performance attribution between daily rebalanced strategies?

quant.stackexchange.com

What are the steps to perform properly a risk factor analysis on a portfolio?

quant.stackexchange.com

How to define the objective function for a custom optimization problem?

quant.stackexchange.com

What is the relationship between risk aversion and preference for skewness and kurtosis in portfolio optimization?

quant.stackexchange.com

How do you distinguish “significant” moves from noise?

quant.stackexchange.com

How to cluster stocks and construct an affinity matrix?

quant.stackexchange.com

How to combine multiple trading algorithms?

quant.stackexchange.com

How to generate a random price series with a specified range and correlation with an actual price?

quant.stackexchange.com

Does random matrix theory (RMT) for returns' correlation matrices apply if there are high correlations?

quant.stackexchange.com

From a high frequency point of view, with a price prediction and assuming infinite leverage, how do you determine optimal trade size?

quant.stackexchange.com

Does a coherent risk measure satisfy the four axioms of von Neumann–Morgenstern?

quant.stackexchange.com