HFT – High frequency risk drivers

(Last Updated On: March 24, 2017)
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MathFinance Conference 2017

20-21April 2017, Frankfurt

MathFinance Conference is one of the top quant events of the year. The conference is designed for practitioners in the areas of trading, quantitative and derivatives research, risk and asset management, insurance, as well as academics.

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2. ARPM Pointers
2.1 “Did you know?”

  • AR, MA, ARMA, ARIMA processes and their multivariate counterparts can be reduced to, or approximated as, a VAR(1) process [Comment]
  • Hidden Markov models are the hidden-factor generalization of Markov chains and mixture models  [Comment]
  • Unlike stock prices, bond prices cannot be used as risk drivers, because their convergence to the face value disrupts any econometric analysis [Comment]
  • Minimum Relative Entropy generalizes Maximum Likelihood estimation [Comment]
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The Advanced Risk and Portfolio Management Research Paper Series on SSRN collects rigorous and practical research for buy-side quantitative finance. The series is free, owns no copyright, and your work can be embedded simultaneously in other series/journals. To include your research in the series, please contact us.
Featured white papers:

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View our technical discussions on the Advanced Risk and Portfolio Management Group on LinkedIn. Join to contribute papers, code, or thoughts. We have a no-advertisement policy.
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Advanced Risk and Portfolio Management Bootcamp
6-day intensive course – 14-19 Aug 2017 – New York University 
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  • Gala dinner and other networking opportunities
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Hi i there My name is Bryan Downing. I am part of a company called QuantLabs.Net This is specifically a company with a high profile blog about technology, trading, financial, investment, quant, etc. It posts things on how to do job interviews with large companies like Morgan Stanley, Bloomberg, Citibank, and IBM. It also posts different unique tips and tricks on Java, C++, or C programming. It posts about different techniques in learning about Matlab and building models or strategies. There is a lot here if you are into venturing into the financial world like quant or technical analysis. It also discusses the future generation of trading and programming Specialties: C++, Java, C#, Matlab, quant, models, strategies, technical analysis, linux, windows P.S. I have been known to be the worst typist. Do not be offended by it as I like to bang stuff out and put priorty of what I do over typing. Maybe one day I can get a full time copy editor to help out. Do note I prefer videos as they are much easier to produce so check out my many video at youtube.com/quantlabs