Portfolio Management Software
This tutorial written and reproduced with permission from Peter Ponzo In a neat article in the Journal of Financial Planning, Gobind Daryanani has a very interesting application of sensitivity analysis to problems in finance. We consider a variable z which depends upon two random variables x and y, like so: […]
By J L Kelly March 1956 Abstract / Introduction: If the input symbols to a communication channel represent the outcomes of a chance event on which bets are available at odds consistent with their probabilities (i.e., “fair” odds), a gambler can use the knowledge given him by the received symbols […]
This tutorial written and reproduced with permission from Peter Ponzo Here’s the scenario: We have no shares of stock, but $10,030 in our pocket. We buy 1000 shares of stock at $10.00 per share + $30 transaction costs. Total cost = $10,030. Now we have 1000 shares of stock and […]
Overview Standard Deviation is a statistical measure of volatility. Standard Deviation is typically used as a component of other indicators, rather than as a stand-alone indicator. For example, Bollinger Bands are calculated by adding a security’s Standard Deviation to a moving average. Interpretation High Standard Deviation values occur when the […]
Overview Chaikin’s Volatility indicator compares the spread between a security’s high and low prices. It quantifies volatility as a widening of the range between the high and the low price. Interpretation There are two ways to interpret this measure of volatility. One method assumes that market tops are generally accompanied […]