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Quantpedia Research Review - Issue 19

Issue 19 explores the use of Google Trends data to predict cryptocurrency returns, discusses the influence of business cycles on machine learning stock predictions, and studies an analysis of currency market strategies over a 200-year history.

Tue 11 Jun 2024
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Optimal Trading in the Presence of Economic Events

In this article, the author explores the problem of optimal buy/sell strategies in the presence of economic events.

Alexander Ya. Polishchuk
Tue 14 May 2024
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Calculating Value-at-Risk Using Option Implied Probability Distribution of Asset Price

In this article, the author uses the probability distribution of asset prices extracted from option prices to get the VaR of a portfolio using Monte-Carlo method.

Samit Ahlawat
Fri 10 May 2024
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What Salary Could You Earn Working in Quantitative Finance?

Embark on your quant finance career journey with the 2024 CQF Careers Guide to Quantitative Finance.

Tue 7 May 2024
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Quantpedia Research Review - Issue 18

Issue 18 delves into cryptocurrency hedging strategies, discusses the impact of Bitcoin’s future expiration on prices, and explores the role of art as a portfolio diversifier.

Wed 24 Apr 2024
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The Heston–Hull–White Model Part I: Finance and Analytics

This is the first article in a series of three on financial modeling. The aim of this series is to show the full life cycle of model development. We have chosen an equity model with stochastic volatility and stochastic interest rates.

Holger Kammeyer, Joerg Kienitz
Fri 5 Apr 2024
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Negative Probabilities in Financial Modeling

The article explores the concept of negative probabilities and how they can be used in financial modeling, specifically in the valuation of certain financial options known as Caps and Floors.

Mark Burgin, Gunter Meissner
Wed 3 Apr 2024
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Quantpedia Research Review - Issue 17

Issue 17 delves into stock market concentration in the United States, discusses how to improve portfolios using mutual information, and explores the robust testing of country and asset ETF momentum strategies.

Mon 25 Mar 2024
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American π: Piece of Cake?

Textbooks tell you that pricing an American option in the context of the binomial model is a lot easier than it sounds. Is it really simple and obvious? Yes…and no.

Rolf Poulsen
Wed 21 Feb 2024
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Julia Computing: Automatic for the Greeks

In this article, Dr. Simon Byrne and Dr. Andrew Greenwell discuss fast and accurate price sensitivities using Julia.

Dr. Simon Byrne and Dr. Andrew Greenwell
Wed 21 Feb 2024