Diving Deep: My Personal Approach to Equity and Volatility Risk Premia

Lately, I’ve been thinking a lot about the Volatility Risk Premium (VRP). The VRP makes much more sense (to me, at least) when I have the Equity Risk Premium (ERP) for context and comparison. So, in this article, I want to discuss the ERP and the VRP, their similarities and differences, and how I seek …

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A Free Interactive IPO Calendar

I felt like doing something a little more lighthearted than usual. I’ve been deep in data engineering land these last couple of weeks, building data pipelines for processing a ton of options data for a trade we’re researching (the straddle-over-earnings trade). So I took some time out to mess around with something fun – building a …

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A Case Study in Finding Edge

In 2021, James, I, and a small team decided to set up a crypto trading venture. We faced several problems, but knowing almost nothing about crypto was the most significant. We sensed that the fractured, developing nature of the crypto market would likely be a good place to seek out inefficiencies, but beyond that, we …

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More Intuitive Joins in dplyr 1.1.0 – how to do an asof join on trades and quotes data

dplyr 1.1.0 was a significant release that makes several common data operations more syntactically intuitive. The most significant changes relate to joins and grouping/aggregating operations. In this post we’ll look at the changes to joins. First, install and load the latest version of dplyr: install.packages(“dplyr”) library(dplyr) A new approach to joins The best way to …

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Exploring the finnhub.io API

The changing face of market data providers Over the last few years, a number of new market data providers have come online. They tend to have modern websites, broad coverage, and well-documented RESTful APIs. Their services are often priced very competitively – especially for personal use – and usually have generous free tiers. One such …

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