Last week, we looked at simple data analysis techniques to test for persistence. But we only looked at a feature that is measured over a single day – the absolute range. Such a feature makes it easy to test persistence because you don’t have the problem of overlapping data. Each data point is entirely self-contained …
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I’ve previously discussed the Volatility Risk Premium (VRP) and how it differs from the Equity Risk Premium (ERP). Probably the most interesting difference, from the perspective of the trader, is that the VRP may be somewhat amenable to timing – more than the ERP at any rate. In this article, I’ll use some of the …
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 …
Traders typically have many ideas for trading strategies – more than they can ever implement in practice! Therefore it’s useful to be able to move quickly in the early research phase. You want to disprove things as quickly as possible so that you can move onto the next thing. Obviously there is immense value in …
In this blog post, I will demonstrate how to work with stock price data using the DuckDB database management system in R. DuckDB is a fast and lightweight analytical database engine that is designed to work with various programming languages, including R. You can use Duck DB from the command line or from a client …
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 …
