OptionsQuant tradingRThink like a trader
Intuitive Options Pricing
In this article, we’ll use simulation and simple visualisations to build intuition around how different variables drive the price of
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Data analysisRRevisiting Overnight vs Intraday Equity Returns
Back in May 2020, in the eye of the Covid storm, we looked at overnight vs intraday returns in US
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DataRTime series modellingA Simple Trick for Dealing with Overlapping Data
Last week, we looked at simple data analysis techniques to test for persistence. But we only looked at a feature
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Quant tradingRNavigating Tradeoffs with Convex Optimisation
Navigating Tradeoffs with Convex Optimisation This is the final article in our recent stat arb series. The previous articles are
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Quant tradingRTrading strategiesBuilding Intuition for Trading with Convex Optimisation with CVXR
This article continues our recent stat arb series. The previous articles are linked below: A short take on stat arb
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FactorsQuant tradingRTime series modellingTrading strategiesHow to Model Features as Expected Returns
Modeling features as expected returns can be a useful way to develop trading strategies, but it requires some care. The
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BacktestingFactorsQuant tradingRTrading strategiesA Simple, Effective Way to Manage Turnover and Not Get Killed by Costs
Every time we trade, we incur a cost. We pay a commission to the exchange or broker, we cross spreads,
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FactorsQuant tradingR
Quantifying and Combining Crypto Alphas
In this article, I’ll take some crypto stat arb features from our recent brainstorming article and show you how you
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How Much Damage Can I Do Turbo-Punting Shitcoins?
Here in Australia, we’re right in the depths of the silly season. We indulge in long lunches, take days off
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Quant tradingRTrading strategies
Exponentially weighted covariance in an Equal Risk Contribution portfolio optimisation problem
The Equal Risk Contribution (ERC) portfolio seeks to maximally diversify portfolio risk by equalising the risk contribution of each component.
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RTime series modellingAn Exponentially Weighted Covariance Matrix in R
Exponential weighting schemes can help navigate the trade-off between responsiveness and stability of the inherently noisy estimates we make from
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Quant tradingRTime series modellingUsing Exponentially Weighted Moving Averages to navigate trade-offs in systematic trading
A big part of the job of the indie trader is data analysis. We’re always looking in the past data