PinnedPublished inQuantitative InvestingMultiscale Volatility Analysis for Noisy High-Frequency DataHurst exponent and time-varying intraday volatilityJul 13, 2023A response icon1Jul 13, 2023A response icon1
PinnedPublished inTDS ArchiveMultiscale Financial Signal ProcessingEmpirical mode decomposition and Hilbert spectral analysisMay 7, 2021A response icon3May 7, 2021A response icon3
PinnedPublished inTDS ArchivePairs Trading with Optimized Positions & Exit RulesAny serious pairs trading system must include a procedure for optimizing the positions along with timing for entry and exit.Aug 2, 2020A response icon2Aug 2, 2020A response icon2
PinnedPublished inQuantitative InvestingA Python Package for Optimal Mean Reversion TradingFrom portfolio construction to optimal executionSep 18, 2020A response icon1Sep 18, 2020A response icon1
Published inQuantitative InvestingStochastic Control Approach to Futures TradingNew Book with Sample ChaptersNov 11, 2024Nov 11, 2024
Published inQuantitative InvestingLong-Term Growth Rate of Leveraged ETFsExchange-traded funds (ETFs) are popular financial products designed to track the value of a reference asset or index. With trillion…Oct 20, 2024Oct 20, 2024
Leveraged Exchange-Traded Funds: Price Dynamics and Options ValuationThe ETF industry has experienced tremendous growth over the past decade. Within the ETF universe, some funds are designed to replicate a…Apr 27, 2024A response icon1Apr 27, 2024A response icon1
Published inQuantitative InvestingSimulating Trades Under a Levy-Driven Mean-Reverting FrameworkMonte Carlo simulation for pairs trading with jumps — theory & implementationJan 21, 2024Jan 21, 2024
A Model for Drawdown InsuranceMany individual and institutional investors are wary of large market drawdowns as they not only lead to portfolio losses and liquidity…Aug 28, 2023Aug 28, 2023
Published inQuantitative InvestingOptimal Timing to Exercise Options in a Regime-Switching MarketHedging strategies and exercise timing need to be adapted to different market regimes.Aug 24, 2023Aug 24, 2023
