PinnedPublished inQuantitative InvestingMultiscale Volatility Analysis for Noisy High-Frequency DataHurst exponent and time-varying intraday volatilityJul 13, 20231Jul 13, 20231
PinnedPublished inQuantitative InvestingA Diversification Framework for Multiple Pairs Trading StrategiesConstruct a trading program that dynamically allocates to multiple pairsJun 27, 2023Jun 27, 2023
PinnedPublished inTowards Data ScienceMultiscale Financial Signal ProcessingEmpirical mode decomposition and Hilbert spectral analysisMay 7, 20213May 7, 20213
PinnedPublished inTowards Data SciencePairs 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, 20202Aug 2, 20202
PinnedPublished inQuantitative InvestingA Python Package for Optimal Mean Reversion TradingFrom portfolio construction to optimal executionSep 18, 20201Sep 18, 20201
Published inQuantitative InvestingStochastic Control Approach to Futures TradingNew Book with Sample ChaptersNov 11Nov 11
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 20Oct 20
Leveraged Exchange-Traded Funds: Price Dynamics and Options ValuationFree book downloadApr 271Apr 271
Published inQuantitative InvestingSimulating Trades Under a Levy-Driven Mean-Reverting FrameworkMonte Carlo simulation for pairs trading with jumps — theory & implementationJan 21Jan 21
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
