2018-07-01 Index Funds and ETFs
2017-09-11 Incorporating Implied volatility in Portfolio Risk Estimation
2015-09-12 Minimum Resting Time – A terrible idea
2015-07-22 100 crores fraud at NSE
2015-05-10 Trade Classification : A Bayesian Approach
2015-05-09 Inferring Trade Direction Revisited
2015-05-03 Bitcoin Trade Arrival Modeling
2015-05-03 Mini Projects on Hawkes processes
2015-05-03 Modeling Trades-Through in a Limit Order Book
2015-04-28 ACD–Modeling Irregular Spaced Transaction Data
2015-04-26 FBI report on “Flash crash” Fraudster
2015-04-19 Virtu goes Public
2015-04-15 Order Flow, Transaction Clock, and Normality of Asset Returns
2015-04-12 Quantitative Trading with R : Book Review
2015-04-08 The Big Reset : Book Review
2015-01-10 Flash Boys : Not So Fast – Summary
2015-01-06 Charlie Rose with Michael Lewis
2015-01-05 Flash Boys : Book Review
2015-01-05 Ronan Ryan on IEX
2015-01-04 Securities Trading Primer
2015-01-03 Scaling of the distribution of fluctuations
2015-01-01 The Complete Guide to Capital Markets for Quantitative Professionals : Summary
2014-12-28 Open Secret : Review
2014-12-22 Luck versus Skill
2014-12-20 The causal impact of algorithmic trading on market quality
2014-09-13 The imprecision of volatility indexes
2014-09-12 What’s wrong with VIX
2014-09-09 Derman’s Berkeley MFE Commencement Speech
2014-09-09 More than you ever wanted to know about Volatility Swaps
2014-09-08 The Log Contract
2014-09-07 A Simple Long Memory Model of Realized Volatility
2014-09-07 Choosing the Best Volatility Models
2014-09-07 Liquidity considerations in estimating implied volatility
2014-09-06 Efficient Estimation of Volatility using High Frequency Data
2014-09-05 Consistent High-Precision Volatility from High Frequency Data
2014-08-31 Mathematical Techniques in Finance : Review
2014-08-31 Quants: The new risk takers of finance
2014-08-29 Zhou’s estimate
2014-08-25 Goldman’s desperate attempt
2014-08-25 High Frequency Manipulation at Futures Expiry
2014-07-13 Optimal Liquidation
2014-06-21 Temporal Aggregation of GARCH Processes
2014-06-14 Intraday periodicity and volatility persistence in financial markets
2014-06-14 Stylized Facts
2014-06-13 Security Bid/Ask Dynamics with Discreteness and Clustering
2014-06-05 Standard Volatility models do work!
2014-06-05 The Misbehavior of Markets : Summary
2014-06-05 Variance Ratio plots are not enough!
2014-05-29 NonSynchronous trading
2014-05-28 Returns standardized by Realized Volatility