Daring to quantify the markets |

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Unlocking Wealth and Diversification: The Powerful Advantages of Investing in Conglomerate Stocks

13/07/2023

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Linking Impact in Divergence Attribution II

15/06/2023

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Value vs Growth: adversaries or complementary strategies?

07/06/2023

Artificial Intelligence

Financial Machine Learning pitfalls: it’s levioosa, not leviosaa

19/04/2023

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Behavioral Equilibrium Exchange Rate (BEER)

08/02/2023

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Annualizing volatility

25/01/2023

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Building a sector rotation strategy based on Fed’s interest rate policy

11/01/2023

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ESG 2022: «greenwashing» or alpha source?

14/12/2022

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MOIC: Investing Holy Grail

08/11/2022

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Causality: interest rates and fixed income assets

19/10/2022

Asset Management

Sell in May and go away… Just won’t go away

12/10/2022

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Look-through Hedging: Optimising Currency Overlay

28/09/2022

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Valuation Multiples or Multiples Analysis

21/09/2022

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Analyzing U.S. election cycle seasonality in the S&P 500

14/09/2022

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Self-organizing maps for an investment strategy

07/09/2022

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On the origins of some stochastic processes

30/06/2022

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From theory to practice: Challenging the market using MPT-based investment strategy

22/06/2022

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Optimization problems with non-continuous restrictions

15/06/2022

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Forming Inflation expectations

08/06/2022

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Penn effect and its impact on GDP

03/06/2022

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Achieving a well-diversified portfolio based on Graph Theory

05/05/2022

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Mutual Fund Returns vs Investor Returns

31/03/2022

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Hedging cash flows

24/03/2022

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In the pursuit of the Perfect Portfolio: Modern Portfolio Theory

09/03/2022

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Black-Litterman Sector Allocation

23/02/2022

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What is the intrinsic value of a company?

16/02/2022

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What is inflation?

09/02/2022

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Linking Impact in Divergence Attribution

03/02/2022

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What Is The Difference Between Time-Weighted and Money-Weighted Returns?

20/01/2022

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Analyzing S&P 500 Constituents Returns by Sector

12/01/2022

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P/E vs P/B vs P/S

11/11/2021

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On the origins of the normal distribution

04/11/2021

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Will the Fed ruin my S&P500 investments?

27/10/2021

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Markov chain as market predictor

20/10/2021

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What moves the market?

13/10/2021

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Factor contribution

22/09/2021

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Hedged Share Class: from theory to practice

15/09/2021

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Purchasing Power Parity

01/09/2021

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Beyond linear: the Extended Kalman Filter

21/07/2021

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The risk of investing: An exploration on SPDR Sector ETFs

15/07/2021

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What is a Short Squeeze?

07/07/2021

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Improving crypto investing with Reinforcement Learning

23/06/2021

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Automating cryptocurrencies investment

16/06/2021

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Linking Attribution Factors

02/06/2021

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What cannot be hedged

14/04/2021

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4 simple ways to label financial data for Machine Learning

17/03/2021

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Salary factor

17/02/2021

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Second chances with momentum

10/02/2021

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Does low volatility anomaly work in funds?

18/11/2020

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Deflated Sharpe Ratio (how to avoid been fooled by randomness)

05/11/2020

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Dream team: Combining classifiers

29/10/2020

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Currency Hedging Valuation: A Money Weighted Approach

29/09/2020

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Kelly criterion: Part 2

09/09/2020

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Finance Factors Coordination? Cascade Selection

15/07/2020

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Probabilistic Sharpe Ratio

20/05/2020

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Hedging an Option through the Black-Scholes model in discrete time

22/04/2020

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Is robustness an ally?

18/03/2020

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Mitigating overfitting on Trading Strategies

04/12/2019

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Awesome data visualizations

06/11/2019

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Trick or treat. It’s Halloween!

23/10/2019

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A Matter of Scale: Returns and Volatility

20/06/2019

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Fundamental Manifoldness

27/03/2019

Artificial Intelligence

Ranking Quality

13/03/2019

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Fixed income from interest rates’ point of view

27/02/2019

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Portfolio weightlifting (II)

07/02/2019

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Portfolio weightlifting (I)

30/01/2019

Asset Management

Factor investing in the currency market

16/01/2019

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Asset Migrations

19/12/2018

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More examples in Financial Visualisation

12/12/2018

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Group Funds with the Sun

05/12/2018

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Creating our own S&P 500 Momentum ETF

24/10/2018

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Erratic correlation: an illustration through Chord diagrams

03/10/2018

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Backtesting algorithms… with Python!

06/09/2018

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To be or not to be (correlated)

05/07/2018

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Monkey quants & sector rotation

26/04/2018

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Survivorship bias: an investment decision trap

21/02/2018

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The Kelly criterion

14/02/2018

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Correlation with prices or returns: that is the question

07/02/2018

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How do stock market prices work?

31/01/2018

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The lazy or intelligent fund manager

10/01/2018

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Forecasting S&P 500 using Machine Learning

20/12/2017

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Asset allocation with constraints using Backtracking

22/11/2017

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Risk Parity in Python

08/11/2017

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Markov chains

24/10/2017

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Portfolio risk control: risk parity vs. inverse volatility

19/10/2017

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The Kalman filter

04/10/2017

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Foreseeing the future: a user’s guide

06/09/2017

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Stochastic portfolio theory, revisited!

26/07/2017

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«Past performance is no guarantee of future results», but helps a bit

12/07/2017

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Playing with Prophet on financial time series (again)

28/06/2017

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Shift or stick? Should we really ‘sell in May’?

18/05/2017

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What to expect when you are the SPX

04/05/2017

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K-Means in investment solutions: fact or fiction

19/04/2017

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How to… use bootstrapping in portfolio management

29/03/2017

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Playing with Prophet on financial time series

09/03/2017

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Dual momentum analysis

23/02/2017

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Random forest: many are better than one

15/02/2017

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Using Multidimensional Scaling on financial time series

12/01/2017

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Comparing ETF sector exposure using Chord Diagrams

13/10/2016

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Euro Stoxx Strategy with Machine Learning

15/07/2016

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Hierarchical clustering, using it to invest

22/06/2016

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Lasso applied in portfolio management

15/06/2016

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Markov switching regimes say… bear or bullish?

09/06/2016

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Exploring extreme asset returns

27/05/2016

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Playing around with future contracts

13/05/2016

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BETA: Upside Downside

14/04/2016

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Approach to dividend adjustment factor calculation

24/02/2016

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Are low-volatility stocks expensive?

18/02/2016

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Predict returns using historical patterns

10/02/2016

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Stock classification with ISOMAP

27/01/2016

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Could the Stochastic Oscillator be a good way to earn money?

13/01/2016

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Central limit theorem: visual demonstration

01/12/2015

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Correlation and cointegration

25/09/2015

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Momentum premium factor (II): dual momentum

11/08/2015

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Dynamic Markowitz Efficient Frontier

28/07/2015

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‘Sell in May and go away’…

08/06/2015

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S&P 500 y relative strength index II

05/06/2015

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Performance and correlated assets

05/06/2015

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Reproducing the S&P500 by clustering

08/05/2015

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Size effect anomaly

26/03/2015

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Predicting gold using currencies

09/03/2015

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Inverse ETFs versus short selling: a misleading equivalence

09/02/2015

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S&P 500 y relative strength index

18/12/2014

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Seasonality systems

20/10/2014

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Una aproximación risk parity

17/10/2014

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Números de Fibonacci

03/10/2014

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Using decomposition to improve time series prediction

26/09/2014

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Las cadenas de Markov

11/09/2014

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Momentum premium factor sobre S&P 500

28/08/2014

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Fractales y series financieras II

31/07/2014

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El gestor vago o inteligente…

16/07/2014

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¿Por qué usar rendimientos logarítmicos?

31/03/2014

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Fuzzy Logic

30/03/2014

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El filtro de Kalman

28/03/2014

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Estimación no paramétrica

28/03/2014

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Fractales y series financieras

28/03/2014

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Volatility of volatility. A new premium factor?

28/03/2014