In God we trust, all others bring data - William Edwards Deming
In this project our aim is to explore and analyse financial instruments (stocks and options in particular) and to develop profitable trading strategies. To that end, we focused on the relation between price time series and factors such as market volatility, interest rates, and various economic indicators.
We started this as a learning tool. As developers, we advocate a hands on approach, we like trying out ideas and tinkering with models. If that sounds at all interesting, you can follow our progress which will be documented in Jupyter notebooks here.
Collaboration is welcome: by all means, if you spot a mistake or just want to add an interesting notebook you've been playing with, please submit a pull request.
- Introduction to Finance - Basic concepts in Finance (stocks, ETFs, options).
- The Holy Grail of Investing - On Ray Dalio's insights into the benefits of diversification.
- Ergodicity Explorations - Based on the research from Professor Ole Peters regarding insurance contracts, expectation values and time averages.
- Evaluating Gambles - Continuing on our explorations on how to evaluate gambles and optimal betting criteria.
- Emergence of Cooperation in Evolutionary Systems - An ergodic explanation for the advantage of cooperation under evolutionary dynamics.
- Python >= 3.5
- pipenv
If you want to view the notebooks locally, simply install the dependencies with:
$ pipenv --three && pipenv installThen start Jupyter Lab
$ cd notebooks && jupyter labFor complete novices in finance and economics, this post gives a comprehensive introduction.
- Dennis Rodman and the Art of Portfolio Optimization
- Doing a Laplace
- What’s a growth rate, really?
- Volatility: A New Return Driver? - Greggory Flinn, Roger J. Schreiner
- Easy Volatility Investing - Tony Cooper (2013)
- Everybody’s Doing It: Short Volatility Strategies and Shadow Financial Insurers - Vineer Bhansali, Lawrence Harris (2018)
- Volatility-of-Volatility Risk- Darien Huang, Christian Schlag, Ivan Shaliastovich, Julian Thimme (2018)
- The Distribution of Returns - David E. Harris (2017)
- Safe Haven Investing Part I - Not all risk mitigation is created equal - Universa Investments (2017)
- Safe Haven Investing Part II - Not all risk is created equal - Universa Investments (2017)
- Safe Haven Investing Part III - Those wonderful tenbaggers - Universa Investments (2017)
- Insurance makes wealth grow faster - Ole Peters, Alexander Adamou (2017)
- Ergodicity economics - Ole Peters (2018)
- The Rate of Return on Everything, 1870–2015 - Oscar Jorda, Katharina Knoll, Dmitry Kuvshinov, Moritz Schularick, Alan M. Taylor (2019)
- Volatility and the Alchemy of Risk - Artemis Capital Management (2017)
- Option Volatility and Pricing 2nd Ed. - Natemberg (2014)
- Options, Futures, and Other Derivatives 10th Ed. - Hull (2017)
- Trading Options Greeks: How Time, Volatility, and Other Pricing Factors Drive Profits 2nd Ed. - Passarelli (2012)
- Trading Volatility - Bennet (2014)
- Volatility Trading 2nd Ed. - Sinclair (2013)
- Dynamic Hedging - Taleb (1997)
- The Volatility Surface: A Practitioner's Guide - Gatheral (2006)
- The Volatility Smile - Derman & Miller (2016)