R
Probability Density Function for Prices from a GBM Process in R
We’ve been working on visualisation tools to make option pricing models intuitive to the non-mathematician. Fundamental to such an exercise
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Cointegrationk-means clusteringRTrading strategiesPairs Trading Literature Review
This post summarises the key lessons of the academic literature that has been published on pairs trading. The key themes
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RTrading strategiesOvernight and Intraday SPX returns
One of the things I’ve noticed from staring at the screen all day for the last few months is that
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PythonQuant tradingTrading infrastructure
Using Apache Airflow to Extract CoT Data
In today’s post we are going to be extracting CoT (Commitment of Traders) reports from the CFTC website using a
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RTrading strategies
The VIX Futures Basis
In the eye of the recent storm, with VIX up over 50, many traders were looking to “short the VIX”
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BacktestingQuant tradingZorro
Parameter Optimisation for Systematic Trading
Optimisation tools have a knack for seducing systematic traders. And what’s not to love? Find me the unique set of
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BacktestingQuant tradingTrading as a businessTrading infrastructureZorro
A Review of Zorro for Systematic Trading
One of the keys to running a successful systematic trading business is a relentless focus on high return-on-investment activities. High
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BacktestingFactorsQuant tradingRTrading strategies
Revenge of the Stock Pickers
To say we’re living through extraordinary times would be an understatement. We saw the best part of 40% wiped off
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Quant tradingTime series modellingTrading strategies
A Vector Autoregression Trading Model
What is Vector Autoregression The vector autoregression (VAR) framework is common in econometrics for modelling correlated variables with bi-directional relationships
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Machine learningRTools of the trade
The Graphical Lasso and its Financial Applications
Way back in November 2007, literally weeks after SPX put in its pre-GFC all-time high, Friedman, Hastie and Tibshirani published
