Tag: Quantitative Integrity (Page 1 of 2)
Data drives the field of quantitative finance. Getting reliable data is often difficult, but Quandl has made that task much easier.
Static lookback windows for momentum may not work well for all asset classes in all market environments. Using a dynamic momentum window can be more robust.
The financial engineering field has many similarities to more traditional engineering disciplines. This list covers some of the important shared aspects.
If detecting jumps is not hard enough, we have to deal with them afterwards. Models must handle jumps in a way that does not introduce excess whipsaw.
Detecting jumps in asset prices is important for robust parameter estimation, especially when estimating volatility.
