Articles by quantsignals

Portfolio Trading

November 12, 2012 | quantsignals

In finance and investing the term portfolio refers to the collection of assets one owns. Compared to just holding a single asset at a time a portfolio has a number of potential benefits. A universe of asset holdings within the … Continue reading → [Read more...]

Picturing Trees

November 4, 2012 | quantsignals

  In this post I like to illustrate the R package “ape” for phylogenetic trees for the purpose of assembling trees. The function read.tree creates a tree from a text description. For example the following code creates and displays two … Continue reading → [Read more...]

Learning Kernels SVM

September 25, 2012 | quantsignals

Machine Learning and Kernels A common application of machine learning (ML) is the learning and classification of a set of raw data features by a ML algorithm or technique. In this context a ML kernel acts to the ML algorithm … Continue reading → [Read more...]

Volatility and Correlation

July 19, 2012 | quantsignals

The implied option volatility reflects the price premium an option commands. A trader’s profit and loss ‘P&L’ from hedging option positions is driven to a large extend by the actual historical volatility of the underlying assets. Thus as option premiums … Continue reading → [Read more...]

Nonlinear systems

June 21, 2012 | quantsignals

There is a long standing debate if financial systems are truly random or contain some structure. From the study of non-linear dynamical systems and chaos one finds it is possible that even perfectly deterministic systems can appear to be random. … Continue reading → [Read more...]

Simulation and resampling

June 20, 2012 | quantsignals

In financial applications one frequently comes across the need to draw samples according to an assumed distribution. This could be because one wants to simulate stock prices for a Monte Carlo simulation, to price an option payout or to generate … Continue reading → [Read more...]

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