OptionsQuant tradingR
How to Hedge a Portfolio with Put Options
There are 2 good reasons to buy put options: because you think they are cheap because you want downside protection.
R
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RProbability 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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RTrading strategiesThe 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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OptionsQuant tradingR
Efficiently Simulating Geometric Brownian Motion in R
For simulating stock prices, Geometric Brownian Motion (GBM) is the de-facto go-to model. It has some nice properties which are
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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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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
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BacktestingQuant tradingRTrading strategiesZorro
Kalman Filter Pairs Trading with Zorro and R
In the first three posts of this mini-series on pairs trading with Zorro and R, we: Implemented a Kalman filter
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BacktestingQuant tradingRZorro
Integrating R with the Zorro Backtesting and Execution Platform
In the last two posts, we implemented a Kalman filter in R for calculating a dynamic hedge ratio, and presented
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BacktestingCointegrationQuant tradingRTime series modellingTrading strategies
Kalman Filter Example:
Pairs Trading in RThis Kalman Filter Example post is the first in a series where we deploy the Kalman Filter in pairs trading.
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BacktestingFactorsQuant tradingRZorro
Can you apply factors to
trade performance?When tinkering with trading ideas, have you ever wondered whether a certain variable might be correlated with the success of