Quantitative Finance Weekly Newsletter - Thursday, August 27, 2015

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 4 votes answered by madilyn 2 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 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 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   asked by tn240 1 vote answered by noob2 0 votes 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 1 vote 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: Worked examples of applying Ito's lemma In most textbooks Ito's lemma is derived (on different levels of technicality depending on the intended audience) and then only the classic examples of Geometric Brownian motion and the Black-Scholes ... stochastic-calculus reference-request itos-lemma   asked by vonjd 9 votes answered by emcor 10 votes How useful is the genetic algorithm for financial market forecasting? There is a large body of literature on the "success" of the application of evolutionary algorithms in general, and the genetic algorithm in particular, to the financial markets. However, I feel ... quant-trading-strategies forecasting algorithm   asked by Graviton 36 votes answered by chrisaycock 27 votes

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