Unsupervised Learning for Stock Selection: K-Means clustering
Traditional methods of stock selection often rely on fundamental and technical analyses, which can be time-consuming...
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Jun 813 min read
Exploiting the leverage effect when trading options
In the fast-paced world of finance, traders are constantly seeking innovative strategies to cap italize on market opportunities and...
Jan 297 min read
Monte Carlo Analysis in Finance: Modeling and Managing Risk
The Monte Carlo simulation is a computational algorithm that relies on repeated random sampling to obtain numerical results...
Jan 2910 min read
CLIMAFIN - Quantify Climate Transition Risk
The growing interest of European insurers and policymakers in green finance is a direct result of increased awareness...
Jan 187 min read
Trading Strategies
Within the expansive domain of quantitative trading, Kakushadze and Serur’s ”151 Trading Strategies” present a panorama of diverse...
Dec 14, 202318 min read
Exotic Options Valuation
Asset Pricing Models are sophisticated theoretical frameworks employed to ascertain the value of an asset predicated on its anticipated...
Dec 2, 202314 min read
Applications of Levy Processes in Modern Finance
A Levy process is a stochastic process that follows a random walk with an infinitely divisible one-step distribution...
Nov 22, 202312 min read
Implications of Alternative Trading systems on Price Discovery: Dark Pools
In the recent past there has been a growth in alternative equity trading platforms, with dark pools...
Nov 18, 20235 min read
Understanding Risk-Aversion through Utility Theory
Risk aversion, a fundamental concept in economics and finance, revolves around the preferences individuals exhibit...
Oct 13, 20238 min read
Phillips curve 2.0: a dynamic approach
The concept behind the Phillips curve suggests that changes in the unemployment rate in the economy have a predictable impact on price...
Sep 28, 20236 min read
Applying Kalman filter to pairs trading
Based on Gatev et al. (2006), pairs trading follows a two-period process: in the first period
(training period) the objective is to find...
Sep 20, 20236 min read
Vasicek model for interest rates
In the realm of financial mathematics, understanding the intricate dynamics of interest rates is of paramount importance...
Sep 14, 20237 min read
Econometrics model for volatility - GARCH
In the analysis of macroeconomic data, we often find values in some phenomena for which the variances of the terms of error...
Jul 2, 20235 min read
Vector Autoregression Models
Christopher Sims proposed, in 1980, the Vector Autoregression which is a multivariate linear time series model...
May 21, 20237 min read
Volatility risk premium
The volatility risk premium refers to the compensation that investors require for holding risky assets, such as stocks or options...
Apr 2, 202312 min read
How physics and statistics shaped the financial world
The main objective of the article is how the world of finance was changed by scientific research throughout the last century...
Mar 17, 20236 min read
Market impact of large trades
Institutional investors have portfolios worth hundreds of billions of dollars, this means that every position they need to liquidate will...
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