Daring to quantify the markets |

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AI case study: Long/Short Strategy

29/09/2023

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Value vs Growth: adversaries or complementary strategies?

07/06/2023

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German Idealism meets Modern Finance: a dialectical approach to understanding risk

11/05/2023

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Gamma Squeeze: How does it affect stock prices?

12/04/2023

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EURUSD impact in 2022

05/04/2023

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Risk contribution in portfolio management

08/03/2023

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Annualizing volatility

25/01/2023

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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What is the difference between Passive Hedging and Active Hedging?

27/07/2022

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Debt/Equity vs Debt/EBITDA

06/07/2022

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Penn effect and its impact on GDP

03/06/2022

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Dali’s Whiskers: How To Improve a Boxplot

11/05/2022

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Achieving a well-diversified portfolio based on Graph Theory

05/05/2022

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Finding the Probability Distribution Implied in Option Prices

12/04/2022

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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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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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FX Hedging – Execution Timing Lags

09/12/2021

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Volatilities and Correlations of Cross Rates, a Geometrical Understanding

01/12/2021

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On the origins of the normal distribution

04/11/2021

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Moving Abroad: Can We Optimize FX Conversions?

29/09/2021

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Factor contribution

22/09/2021

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Are FX Swaps Mispriced?

28/07/2021

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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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Linking Attribution Factors

02/06/2021

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What cannot be hedged

14/04/2021

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In Search of Lost Covered Interest Parity

24/03/2021

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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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FX Swap pricing and the mystery of Covered Interest Parity

07/10/2020

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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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A primer on embedded currency risk

15/04/2020

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The other way around: from correlations to returns

08/04/2020

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

30/10/2019

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An intuition behind currency risk

18/07/2019

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A Matter of Scale: Returns and Volatility

20/06/2019

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Portfolio weightlifting (II)

07/02/2019

Asset Management

Factor investing in the currency market

16/01/2019

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Omega ratio, the ultimate risk-reward ratio?

09/01/2019

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More examples in Financial Visualisation

12/12/2018

Artificial Intelligence

Estimating the probability of something that never happened

21/11/2018

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Value at Risk or Expected Shortfall

26/09/2018

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Hierarchical Risk Parity

11/07/2018

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To be or not to be (correlated)

05/07/2018

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Survivorship bias: an investment decision trap

21/02/2018

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Cointegration in Economy: a long-term relationship

17/01/2018

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Copulas: an alternative in risk measurement

15/11/2017

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Risk Parity in Python

08/11/2017

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Portfolio risk control: risk parity vs. inverse volatility

19/10/2017

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Playing with Prophet on financial time series (again)

28/06/2017

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Seeing the market through the trees

25/05/2017

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Lévy Flights. Foraging in a finance blog. Part II

06/04/2017

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Playing with Prophet on financial time series

09/03/2017

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Principal component analysis

04/11/2016

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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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Returns clustering with k-Means algorithm

14/10/2015

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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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Efecto herding

20/11/2014

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Cointegración: seguimiento sobre cruces cointegrados

28/10/2014

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Using decomposition to improve time series prediction

26/09/2014

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Clasificando el mercado mediante árboles de decisión

05/09/2014

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In less of a Bayes haze…

16/07/2014

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Teoría de valores extremos II

08/07/2014

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Cointegración

27/06/2014

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Cópulas: una alternativa en la medición de riesgos

30/05/2014

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¿Por qué usar rendimientos logarítmicos?

31/03/2014

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In a Bayes haze…

28/03/2014

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Teoría de valores extremos

28/03/2014