Daring to quantify the markets |

Risk Management

Risk contribution in portfolio management

08/03/2023

All

Annualizing volatility

25/01/2023

Asset Management

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

12/10/2022

All

Look-through Hedging: Optimising Currency Overlay

28/09/2022

Risk Management

What is the difference between Passive Hedging and Active Hedging?

27/07/2022

All

Debt/Equity vs Debt/EBITDA

06/07/2022

All

Penn effect and its impact on GDP

03/06/2022

Risk Management

Dali’s Whiskers: How To Improve a Boxplot

11/05/2022

All

Achieving a well-diversified portfolio based on Graph Theory

05/05/2022

All

Finding the Probability Distribution Implied in Option Prices

12/04/2022

All

Mutual Fund Returns vs Investor Returns

31/03/2022

Risk Management

Hedging cash flows

24/03/2022

All

What is the intrinsic value of a company?

16/02/2022

All

What is inflation?

09/02/2022

Risk Management

FX Hedging – Execution Timing Lags

09/12/2021

All

Volatilities and Correlations of Cross Rates, a Geometrical Understanding

01/12/2021

All

On the origins of the normal distribution

04/11/2021

Risk Management

Moving Abroad: Can We Optimize FX Conversions?

29/09/2021

All

Factor contribution

22/09/2021

All

Are FX Swaps Mispriced?

28/07/2021

All

The risk of investing: An exploration on SPDR Sector ETFs

15/07/2021

All

What is a Short Squeeze?

07/07/2021

All

Linking Attribution Factors

02/06/2021

Risk Management

What cannot be hedged

14/04/2021

All

In Search of Lost Covered Interest Parity

24/03/2021

Asset Management

Second chances with momentum

10/02/2021

Asset Management

Does low volatility anomaly work in funds?

18/11/2020

Asset Management

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

05/11/2020

Machine Learning

Dream team: Combining classifiers

29/10/2020

Risk Management

FX Swap pricing and the mystery of Covered Interest Parity

07/10/2020

Asset Management

Kelly criterion: Part 2

09/09/2020

All

Finance Factors Coordination? Cascade Selection

15/07/2020

Asset Management

Probabilistic Sharpe Ratio

20/05/2020

Asset Management

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

22/04/2020

Risk Management

A primer on embedded currency risk

15/04/2020

All

The other way around: from correlations to returns

08/04/2020

Asset Management

Is robustness an ally?

18/03/2020

Risk Management

Mitigating overfitting on Trading Strategies

04/12/2019

All

Towards the Risk-Free Curve: Logarithmic vs. Arithmetic Returns

30/10/2019

Risk Management

An intuition behind currency risk

18/07/2019

Risk Management

A Matter of Scale: Returns and Volatility

20/06/2019

Risk Management

Portfolio weightlifting (II)

07/02/2019

Asset Management

Factor investing in the currency market

16/01/2019

Risk Management

Omega ratio, the ultimate risk-reward ratio?

09/01/2019

R

More examples in Financial Visualisation

12/12/2018

Risk Management

Estimating the probability of something that never happened

21/11/2018

All

Value at Risk or Expected Shortfall

26/09/2018

All

Hierarchical Risk Parity

11/07/2018

Risk Management

To be or not to be (correlated)

05/07/2018

Asset Management

Survivorship bias: an investment decision trap

21/02/2018

All

Cointegration in Economy: a long-term relationship

17/01/2018

All

Copulas: an alternative in risk measurement

15/11/2017

Python

Risk Parity in Python

08/11/2017

All

Portfolio risk control: risk parity vs. inverse volatility

19/10/2017

R

Playing with Prophet on financial time series (again)

28/06/2017

Risk Management

Seeing the market through the trees

25/05/2017

Risk Management

Lévy Flights. Foraging in a finance blog. Part II

06/04/2017

All

Playing with Prophet on financial time series

09/03/2017

Risk Management

Principal component analysis

04/11/2016

All

Exploring extreme asset returns

27/05/2016

All

Playing around with future contracts

13/05/2016

All

BETA: Upside Downside

14/04/2016

Artificial Intelligence

Returns clustering with k-Means algorithm

14/10/2015

Risk Management

Predicting gold using currencies

09/03/2015

All

Inverse ETFs versus short selling: a misleading equivalence

09/02/2015

Risk Management

Efecto herding

20/11/2014

Risk Management

Cointegración: seguimiento sobre cruces cointegrados

28/10/2014

Risk Management

Using decomposition to improve time series prediction

26/09/2014

Artificial Intelligence

Clasificando el mercado mediante árboles de decisión

05/09/2014

All

In less of a Bayes haze…

16/07/2014

Risk Management

Teoría de valores extremos II

08/07/2014

Risk Management

Cointegración

27/06/2014

Risk Management

Cópulas: una alternativa en la medición de riesgos

30/05/2014

Asset Management

¿Por qué usar rendimientos logarítmicos?

31/03/2014

Risk Management

In a Bayes haze…

28/03/2014

Risk Management

Teoría de valores extremos

28/03/2014