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Announcement – March 2021

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Risk-Neutral Probability Distributions: CLK2020

Colton Smith & Kevin Schneider Risk-neutral probability distributions (RND) are used to compute the fair value of an asset as a discounted conditional expectation of its future payoff. In 1978, Breeden and Litzenberger presented a method to derive this distribution for an underlying asset from observable option prices [1]. The derivation of the relationship is … Continue reading Risk-Neutral…

Combinatorial Purged Cross-Validation Explained

In this tutorial I explain how to adapt the traditional k-fold CV to financial applications with purging, embargoing, and combinatorial backtest paths.

Building a Basic Cross-Sectional Momentum Strategy – Python Tutorial

In this tutorial we utilize the free Alpha Vantage API to pull price data and build a basic momentum strategy that is rebalanced weekly. This approach can be adapted for any feature you’d like to explore. Let me know what you’d like to see in the next video!

Python & Data Science Tutorial – Analyzing a Random Dataset

Using the Dynamic Mode Decomposition (DMD) to Rotate Long-Short Exposure Between Stock Market Sectors

Co-Author: Eric Kammers Part 1 – Theoretical Background The Dynamic Mode Decomposition (DMD) was originally developed for its application in fluid dynamics where it could decompose complex flows into simpler low-rank spatio-temporal features. The power of this method lies in the fact that it does not depend on any principle equations of the dynamic system … Continue reading Using the Dynamic Mode…

Quantifying the Impact of the Number of Decks and Depth of Penetration While Counting Blackjack

Counting Blackjack has become an interest of mine over the past few months. After learning the basics of the Hi-Lo counting strategy I thought it would be beneficial to analyze how much time I should expect to have the advantage during my trips. The Hi-Lo Count is the most used and discussed counting strategy for … Continue reading Quantifying the Impact of the Number of Decks and Depth of…

Constructing Continuous Futures Price Series

Welcome! If you enjoy these posts, please follow this blog via email and check out my Twitter feed located on the sidebar. All of my previous analysis has focused on US equities, but today we begin the journey into another asset class, futures. Futures are traded via contracts where two parties agree to exchange a … Continue reading Constructing Continuous Futures Price Series →

Cointegration, Correlation, and Log Returns

Co-Author: Eric Kammers I recently created a Twitter account for the blog where I will curate and comment on content I find interesting related to finance, data science, and data visualization. Please follow me at @Quantoisseur (see the embedded stream on the sidebar). Enjoy the post! The differences between correlation and cointegration can often be … Continue reading Cointegration, Correlation,…

Redesigning Data Visualization Atrocities #1

Hello all, for a while I’ve been wanting to diversify the content on my blog to include general data science and visualization samples. I finally got a burst of motivation this weekend when I was casually studying for the GRE and came across a figure in a practice test that, in my opinion, is an … Continue reading Redesigning Data Visualization Atrocities #1 →