Did you know that your favorite Powerball number might be everyone else’s favorite too? Discover how the numbers you choose could mean sharing your jackpot with strangers. In German Lotto, this is even more crucial, because the payout of German Lotto depends on the number of winners in each cathegory. Introduction Many people dream of […]
Since I am always looking for new handy tools, I found a cool way scraping data from websites: “Magic” from import.io Ltd.
Last time we looked at implied volatility, we found a close relationship between historical volatility and implied volatility. This time, we want to look at the relative changes of DAX and VDAX and their relationship.
Often you find studies how well a specific fund or trading strategy has performed. You must be aware of the fact that basically all studies based on historical data lie – or at least do not tell the full story. There are two highly underestimated effects: Survivor bias and fat tails. Both effects make poor […]
For data analysts like myself, one of the most useful pages on any blog resides on this website. The comprehensive list of data sites Andreas put together is indispensable because finding numerical data online, even though it is abundant, is so difficult and time consuming.
Looking at financial instruments, one often finds the term implied volatility. In this post, we want to describe what it is and what you can do with it. We start refreshing the term historical volatility and then we explain the implied volatility. An example of German DAX with real data concludes this post. Historical Volatility […]
Model risk is the risk that the market models in investment banking do not properly reflect the reality. This risk is often neglected or simply ignored. But, it is one of the most important risks as we could see in the mispricing of CDO, ABS, MBS etc at the beginning of the financial crisis (early […]
There are many free data sources: In a previous post, I published a list a free market data sources. Now, I would like to point you to an interesting project: WIKIPOSIT. This project aggregates many data sources such that you can access market data and other statistics with a simple API. Or, you can export […]
Before using specialized tools for back-testing I propose that one tries the MS Excel Pivot Table first. The pivot table tool is great for inspection, filtering and analyzing large data sets. In this article, I will present how to create a simple timing-based strategy and how to compute its historical performance.
Sell in May and go away is an old wisdom which is interesting to analyze. And the continuation “Remember to come back in September” completes this wisdom to a real trading strategy. This strategy is quite old. Many sources say that the original saying comes from traders in the City of London and was “Sell in May […]
Modern risk management is a real challenge. Today, I played with my levitation device. I noticed that most people do not believe that levitation is real. In fact there is a formal proof that levitation in a static magnetic field cannot be stable. This situation is similar to common believes in financial markets. In the […]
In option pricing, two technical terms often create confusion. One term is “risk-neutral” and the other “real-word”. You hear these terms in the context of option pricing, backtesting, risk management and hedging. In this article I try to clarify the terminology. Background First, we start with “risk-neutral”. The term risk-neutral refers to option pricing: The […]
In the last decade, gold constantly rose in value. In this post, we will use public data to look into the value relationship of gold and money. Value of gold measured in different currencies Gold is definitely one of the oldest currencies. Until 1971, USD and gold were essentially the same using a fixed conversion rate. […]
In the previous post, we saw how to backtest a quantitative trading strategy. The result was, that we suspected that we should be able to find better constants for the MACD trading signal strategy. Now, we will use Matlab and Theta Suite in order to create an efficient optimization. Furthermore, we create a simple visualization […]
Many popular quantitative trading strategies are public for quite a while. Now, if you like to utilize such a strategy with real money, you must make sure that your strategy performs well. For simple strategies, MS Excel is perfect for this task. But, since we would like to use an optimization and a specific visualization […]
Computer Aided Finance - Money and Math 