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...
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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...
Aug 28, 202310 min read
How do Hedge Funds make money?
In the dynamic world of finance, hedge funds stand out as enigmatic entities that captivate both investors and curious minds alike. These...
Jul 18, 20233 min read
2H 2023 - Outlook
The season is almost over and we want to leave you with this recap of what we expect from the remaining months of 2023...
Jul 2, 20235 min read
Vector Autoregression Models
Christopher Sims proposed, in 1980, the Vector Autoregression which is a multivariate linear time series model...
Jul 2, 202311 min read
NVIDIA Corp. - Equity Analysis
NVIDIA Corporation is a multinational technology company that specializes in designing and manufacturing advanced graphics processing u...
Jun 27, 202315 min read
Lululemon Athletica Inc. - Equity Analysis
The company's performance is tied to consumer spending patterns. During economic downturns or periods of reduced consumer confidence, con...
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