Making Use of Information Embedded in VIX Futures Term StructuresDeveloping trading systems for VIX futures using machine learning and AI2d ago2d ago
The Weekend Effect in The Market IndicesThe weekend (or Monday) effect in the stock market refers to the phenomenon where stock returns exhibit different patterns on Mondays compar5d ago5d ago
Rethinking Pairs Trading: Can Traditional Methods Still Deliver Returns?Is pairs trading still profitable, and is it worth investing time, money, and resources to find profitable pairs trading strategies?6d ago6d ago
Trend-Following Trading System, Quantitative Trading in PythonIn a previous post, we demonstrated the mean-reverting and trending properties of SP500. We subsequently developed a trading system based…May 5, 20212May 5, 20212
Mean-Reverting Trading System-Quantitative Trading in PythonIn a previous post, we demonstrated the mean-reverting and trending properties of SP500. In this follow-up post, we will develop a simple…Apr 27, 20211Apr 27, 20211
Autocorrelation Properties of SP500-Quantitative Trading in PythonA technical or quantitative trading system on a linear (i.e. delta 1) instrument is basically a bet on the autocorrelation of the…Mar 31, 20211Mar 31, 20211
How to Determine Implied Dividend Yield-Derivative Valuation in ExcelDividend yield is an input into the option valuation model that often receives little attention from the practitioners. This is probably…Mar 6, 2021Mar 6, 2021
Exponentially Weighted Historical Volatility in Excel-Volatility Analysis in ExcelHistorical volatility (HV) is a useful measure to gauge market uncertainty. Recall that,Feb 22, 2021Feb 22, 2021
Modern Portfolio Theory-Effect of Diversification on the Optimal Portfolio-Portfolio Management in…In the previous installments, we presented the concept of Modern Portfolio Theory. We also provided an optimization algorithm, written in…Feb 1, 2021Feb 1, 2021
Modern Portfolio Theory-Searching For the Optimal Portfolio-Portfolio Management in PythonIn the previous installment, we presented a description of the Model Portfolio Theory and provided a concrete example in Python. We also…Jan 25, 2021Jan 25, 2021