Risk-adjusted performance ratios in investment strategiesLast Wednesday, around afternoon, I was sitting in a coffee shop and programming a strategy. As I was drinking my coffee, two people next…Aug 29, 20211Aug 29, 20211
Optimal mean-reverting portfolio construction using Ornstein-Uhlenbeck process and maximum…The Ornstein-Uhlenbeck process is a stochastic process that has a tendency to drift towards its mean function. In the financial markets…Aug 22, 2021Aug 22, 2021
Jump-diffusion: where Geometric Brownian Motion meets jumpsIn 1976, Robert C. Merton introduced the jump-diffusion model to the world of financial mathematics. Jump diffusion is a mixture model, it…Aug 15, 2021Aug 15, 2021
Options Pricing using Monte Carlo methodWhether you work in the financial markets or not, you have probably heard of option contracts. These are are slightly more complex than…Jul 30, 20211Jul 30, 20211
Pair Selection Framework in Pairs Trading using Unsupervised Machine LearningPioneered by two Morgan Stanley Quants in the 1980s, Gerry Bamberger and Nunzio Tartaglia, “pair trading” is an investment strategy that…Jul 3, 20211Jul 3, 20211
