Systematic trading is a popular and potentially profitable way to trade a variety of markets, including stocks, futures, and foreign exchange. In systematic trading, a trading system generates buy and sell signals using a predefined set of trading rules. In many cases, the trading system can be automated so that […]
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This tutorial written and reproduced with permission from Peter Ponzo You stare raptly at a collection of stock returns and ask: Are they distributed Normally or maybe Lognormally or may something else? Or, you’ve found some strange formula which generates random returns and you ask: Are they distributed Normally or […]
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This tutorial written and reproduced with permission from Peter Ponzo We’re talking about generating joint distributions for two variables, say x and y, with prescribed properties. Just two? Pay attention! Before we run, we walk. For example, we introduced the 1-parameter family of Frank’s Copulas: [F1] where (for […]
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This tutorial written and reproduced with permission from Peter Ponzo We want to consider the possibility of generating random returns with prescribed parameters … such as correlation. When one talks about the correlation between stock A and stock B, one usually means the Pearson correlation which would give, for example: […]
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This tutorial written and reproduced with permission from Peter Ponzo Here, we want to describe the logic behind the Black-Scholes Option Pricing Formula which looks like this: Figure 1 What do all those symbols …? We’re not going to derive the formula … just give some indication of how […]
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