## Intuitive Options Pricing

In this article, we’ll use simulation and simple visualisations to build intuition around how different variables drive the price of an option. Building this intuition is important because it helps you react quickly and make decisions without relying on complex pricing models. Let’s get to it. The value of a call option at expiration A …

## Building 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 trading in the real world A general approach for exploiting stat arb alphas Ideas for crypto stat arb features Quantifying and combining crypto alphas A simple and effective way to manage turnover and not get …

## 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 work, and generally let our hair down. In that spirit, I thought I might have some fun punting shitcoins. (Maybe my definition of fun differs from yours, but let’s run with it). For the uninitiated, …

Categories R

## 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 generally consistent with stock prices, such as being log-normally distributed (and hence bounded to the downside by zero), and that expected returns don’t depend on the magnitude of price. Of course, GBM is just a …

## The Law of Large Numbers – Part 2

This is Part 2 in our Practical Statistics for Algo Traders blog series—don’t forget to check out Part 1 if you haven’t already. Even if you’ve never heard of it, the Law of Large Numbers is something that you understand intuitively, and probably employ in one form or another on an almost daily basis. But …

## Practical Statistics for Algo Traders

This is the first in a two-part series. Be sure to read part 2 – Practical Statistics for Algo Traders: The Law of Large Numbers  How do you feel when you see the word “statistics”?  Maybe you feel that it’s something you should be really good at but aren’t. Maybe the word gives you a …