The Nelson-Siegel-[Svensson] Model is a common approach to fit a yield curve. Its popularity might be explained with economic interpretability of its parameters but most likely it is because the European Central Bank uses it. However, what may do for ECB will not necessarily work in all cases...
What is the most fair reward system for a wealth manager?
In theory it is hardly possible to answer this question without oversimplifications.
But in [best] practice?
Feedback is very welcome!
The Fairest Reward System for a Wealth Manager — letYourMoneyGrow.com - Serving Retail Investors
The Open Source Risk Engine is an opensource software project for risk analytics and xVA. It is written (mostly) in C++ and based on QuantLib. In this post we explain how the ORE can be built from source in Visual Studio 2017.
Building Open Source Risk Engine (Quaternion ORE) in VS2017 without Git
I always considered FX for a tough market: I mean in Stocks and Bonds one has [besides TA] company fundamentals, but FX... well, some macroeconomics, which is hard to integrate into a trading system.
That's why it is interesting to see that some traders consitently do make money in Forex:
How to get and visualize the stock data from Alpha Vantage.
Visualizing the Data on 6356 American Stocks - with R source code
And what one may need them for.
Does Stock Picking Still Make Sense? Yes, it does!
Hi guys, I Germany there are very few quants that try to actively manage (or even passively invest) their own money. But this may be a German bias, for whatever reason the Aktienkultur (Investment Culture) is underdeveloped in Germany.
And what about you?
My research from 2012, which shows that #volatility #regimeswitching on major stock indices took place sufficiently long before the financial crisis broke out. Both technical report and ostensive charts.
Volatility Clustering and Piecewise Homoscedasticity - Part I - Indices
In Germany private investors tended to life insurances and deposits but since the Supermario killed interest rate in EU-Zone, there are lot of ETF providers and robo-advisors that repeat the mantra: in the long term your investment in stocks or an index ETF will grow.
Though for a one-time...
Currently the stocks are expensive and the commodities are cheap (though not all of them). We conduct a lite analysis of investment opportunities and construct a mid-term commodity portfolio for a retail investor with €10000+ capital.
Market Spotlight: Pick up Commodities but be picky —...
Even if you are not a Forex trader, it is often necessarily to get currency exchange rates, e.g. if you trade [the options on] foreign stocks. Fixer.io provides daily FX-rates from European Central Bank for 31 currencies via JSON API. We present a script to get data in R.
R-script for Fixer.io...
Remarkably, many market players in energy market still cannot calculate the fair value of a gas storage. In particular, many of them rely on perfect foresight. We put online a simple but correct model from QuantLib. Confidence intervals are estimated as well.
Gas Storage Fair Price | online...
On 17.04.2017 Yahoo.Finance changed its API, so ichart.finance.yahoo.com is (temporarily?!) unavailable. In particular it means that many R-scripts that rely on quantmod/getSymbols() will not function anymore. We discuss the ways to circumvent the API change of Yahoo.Finance and alternatives to...
Intended for retail investors but IMO is also very useful for quant-students in order to understand the option price dependence on the price of underlying and (implied) volatility.
Option Calculator - estimate the future value of an option — letYourMoneyGrow.com - Serving Retail Investors
Our portfolio simulator allows you to simulate 100 future scenarios of your portfolios, estimate the expected risk, return and correlations, helping you to improve the diversification of your portfolios. The simulator projects the historical returns in future and is completely model-free (in...
Manhattan was bought for 60 Gulden in 1626, which is often considered to be a one of unfairest deals in the history. However, had Native Americans invested this money under 6% p.a., they could have bought the Manhattan back with all current real estate four times!
Numeracy for Traders -...
Quantopian - why I don't take part
Quantopian is a very interesting FinTech project for virtually everybody, who wants to try the algorithmic trading. Yet I explain why I myself - a successful trader, experienced quant and good programmer - don't take part (and what Quantopian should undertake...
recently I have implemented a pension calculator according to German mortality* table and compared which pension I would have got, if not contributed to the state pension system but saved by myself.
The result was very sad: the father state (Vater Staat) robs me! What it promises to...
My Fund Somewhat better than DUCKS is 1 year old: a festive but fair review
My wikifolio (“Somewhat better than DUCKS”, ISIN: DE000LS9HDK3) is investable from 28.10.2016. It surely beats the DAX (main German stock index) both on absolute and risk-adjusted performance. Though I am very proud of...
My (non-technical) essay.
*BigData and DeepLearning are popular buzz words nowadays. But the number of the genuine success stories is relatively small.
*In trading the BigData technology is mostly associated with automatic analysis of the news and sentiment in social networks. But...
I often hear (even from financial professionals) that a track record may be a pure luck and in either case one needs at least 10 years of track record to "boast" with it. I show that (given a sufficient number of trades and independence of the market regime) 2 or 3 years are enough to make a...
As an exception, a post in my blog in "liberal arts" (rather than quantitative) style.
Five lessons to learn from The Big Short (film).
By the way, I expect (sooner or later) a Medium Short in Germany.
Medium, because (contrary to US) giving your house back to a bank does not make you...
have a look at my critical review of robo-advisors.
Robo-advisors promise the risk profiling in a few easy steps, which is unrealistic both from mathematical and behavioral points of view.
The “optimal” portfolios are usually based on Markowitz-like models, which are...
I want to share my experience, have a look at my post at LinkedIn
To be a portfolio manager you need a PROVEN track record - and it is YOUR task to prove
Discussion and feedback is very welcome!
I have (from my point of view) a promising start up idea: ultimately I would create a "financial supermarket", so that a user can manage all his financial issues (from controlling his household expenses to advanced mortgage and investment decisions) on a single webportal.
Hi guys, after a year on wikifolio I have yielded about 30%, have a look:
Somewhat better than DUCKS
I call my strategy semipassive (or semiactive, it depends on what one wants to hear :)).
On the one hand I try to stay invested in DAX (thus passiv), on the other hand I use (irregular) market...
I wonder, whether anyone has experience with deep learning in application to time series?
Not necessarily financial time series, I, for one, have an interest in (short-term) prediction of gas and energy consumption.
There are some papers on subject, for example this one...
I am thinking about writing an introductory book on QuantLib.
I am going to assume only the basic knowledge of financial math and C++ (or even C, without OOP).
I am not a core developer of QuantLib but I have a long experience with it.
In particular, in this thread I am the...
Based on my Ph.D. research I have written a book for retail investors that want to engage quantitative portfolio management. It is also intended for students as a familiarization with real market [data].
The book contains my original results (first of all on multivariate Kelly...
Have a look at my tutorial: http://www.yetanotherquant.de/libor/tutorial.pdf
It covers Black-76 and Vasicek models (both closely following original papers but with "modern style" explanations), change of numeraire with edifying examples and a readable(!) introduction to the...
I would like to introduce my notes on measure theory and its interplay with stochastic processes: Yet another, yet very reader-friendly, introduction to the measure theory
I try to make subject as clear as possible, first I consider the simplest case: measure on (0,1) – as...