Read More 185 views6 minute read Lognormal Distribution: Neither Thin- nor Fat-TailedByDr. Pawel Lachowicz In probability and statistics, distributions are often classified as either “thin-tailed” or “fat-tailed,” a distinction that reflects the…
Read More 212 views7 minute read Understanding the Invisible Tail of a Power LawByDr. Pawel Lachowicz Understanding the “invisible tail” of a power law distribution is crucial for accurate extreme value analysis, especially in…
Read More 320 views17 minute read How to Launch Your Career as a Risk Quant?ByDr. Pawel Lachowicz Launching a career as a risk quant requires a well-thought-out strategy that combines a strong educational foundation, technical…
Read More 315 views8 minute read Design Crypto-Asset to Avoid Structural Failures Due to Random VibrationsByDr. Pawel Lachowicz Although the relationship is not immediately clear and obvious, the structural engineering has a lot in common with…
Read More 347 views12 minute read Mining Monero (XMR): Earning Passive Income from your MacByDr. Pawel Lachowicz Every fan of cryptocurrencies heard of Bitcoin mining as a process in which new coins are brought to…
Read More 327 views14 minute read XRP-based Crypto Investment Portfolio Inspired by Ripple vs SEC LawsuitByDr. Pawel Lachowicz Crypto-market price actions often revolves around the news. Good or bad? It does not matter. However, the recent…
Read More 343 views4 minute read Structure Function: Forgotten Detection Tool for Periodic Signals in Non-Stationary ProcessesByDr. Pawel Lachowicz In time-series analysis we often examine signals for specific volatility patterns. The simplest one is a periodic or…
Read More 329 views5 minute read In Search for Stablecoin’s Perfect Peg: Application of Negative Hypergeometric DistributionByDr. Pawel Lachowicz In crypto market, stablecoins are meant to maintain their constant value with respect to the underlying currency. At…
Read More 331 views10 minute read Step-by-Step Guide to Matching Pursuit Algorithm with Stochastic DictionariesByDr. Pawel Lachowicz There is a huge number of ways how one can transform financial times-series in order to discover new…
Read More 331 views11 minute read Comprehensive Book Review: Python for Finance Cookbook, 2nd Ed. by Eryk LewinsonByDr. Pawel Lachowicz Thanks to the courtesy of Packt Publishing, I had the pleasure of receiving, reading, and studying the new…
Read More 346 views7 minute read Can ChatGPT Self-Improve Self-Written Python Code for Cholesky Decomposition?ByDr. Pawel Lachowicz It is needless to say about next big thing in the field of artificial intelligence (AI) known as…
Read More 337 views4 minute read Volatile Vol-of-Vol: How is Volatility of Volatility calculated?ByDr. Pawel Lachowicz In quantitative finance, the Volatility of Volatility (also referred to as Vol-of-Vol or VoV) is an important parameter…
Read More 326 views5 minute read Hacking 1-Minute Cryptocurrency Candlesticks: (3) Making Asynchronous 5-Sec Crypto Price-Series AlignedByDr. Pawel Lachowicz Previously, in Part 1, we described the method using websockets to “listen” to the most recent update of…
Read More 320 views5 minute read Hacking 1-Minute Cryptocurrency Candlesticks: (2) Custom Candlestick Charts in PlotlyByDr. Pawel Lachowicz In today’s Part 2, as the first step towards crypto-series analysis, we will present the Python code allowing…
Read More 328 views2 minute read How To Check Crypto Market Cap using Python?ByDr. Pawel Lachowicz A quantitative research over the construction of a perfect crypto-portfolio can be based on a number of top…
Read More 307 views4 minute read Hacking 1-Minute Cryptocurrency Candlesticks: (1) Capturing Binance Exchange Live Data StreamByDr. Pawel Lachowicz There is no question about how profitable the trading of any cryptocurrency can be. If you create an…
Read More 318 views9 minute read Quantitative Analysis of a Sample Drawn from the Unknown Continuous PopulationByDr. Pawel Lachowicz In quantitative finance, we very often deal with a sample mean and sample standard deviation being derived given…
Read More 313 views4 minute read Best Crypto to Invest In: The RulesByDr. Pawel Lachowicz Many times you ask me not only what is the best crypto to invest in but also what…
Read More 332 views6 minute read The Longest Winning Bitcoin StrategyByDr. Pawel Lachowicz What is the best winning Bitcoin strategy? A tough one! However, one can verify some numbers leading to…
Read More 333 views8 minute read Estimating Probability of Bitcoin Pullback in its Bullish Market for Traders and Algo-TradersByDr. Pawel Lachowicz Since mid-July 2021 Bitcoin seems to be in its another bullish swing started at the U\$30k level, reaching…
Read More 328 views17 minute read Czekanowski Index-Based Similarity as Alternative Correlation Measure in N-Asset Portfolio AnalysisByDr. Pawel Lachowicz In quantitative finance we are used to measuring direct linear correlations or non-linear cross-bicorrelations among various time-series. For…
Read More 310 views11 minute read Built on ETH Blockchain: Inspecting Profitability of New Crypto Coin since its InceptionByDr. Pawel Lachowicz An open-source, public, blockchain-based distributed ledger featuring smart contract functionality — Ethereum — no doubt today can be…
Read More 332 views3 minute read Cryptocurrency Exchanges: Where Can You Trade Crypto using Fiat?ByDr. Pawel Lachowicz With a myriad of new cryptocurrency exchanges popping up every quarter, lots of newcomers to this field can…
Read More 341 views8 minute read Modelling Slippage for Limit Orders Trading: Adaptive KDE-based Loss Severity Distribution (1)ByDr. Pawel Lachowicz Placing limit orders for trade execution is both quite popular and handy method in (algo)trading. A trader expects…
Read More 325 views6 minute read Introduction to Sell-Off Analysis for Crypto Coins: Triggered by Bitcoin?ByDr. Pawel Lachowicz They say that small fishes buy and sell driven by unstable waters but only big whales make the…
Read More 314 views5 minute read Does Bitcoin Always Co-Move at All Crypto Exchanges?ByDr. Pawel Lachowicz Nearly every quarter the number of crypto-exchanges offering Bitcoin trading increases. At the moment there is at least…
Read More 322 views4 minute read Piecewise Linear Price Model: Probing Price Momentum of Bitcoin during its Bull RunsByGuest by Mertcan Coskun In 2020 Bitcoin delivered us another spectacular bull run. It was as impressive as the…
Read More 316 views3 minute read Where Can You Buy Cryptocurrency?ByDr. Pawel Lachowicz The progress in cryptocurrency trading is way too fast! The overall global interest in crypto-markets is skyrocketing! Investing…
Read More 308 views11 minute read Revolut as a Cryptocurrency Trading App: Earning or Losing Money?ByDr. Pawel Lachowicz The unbelievable bull run of the Bitcoin in 2020 (+160.40% gain p.a.) truly dominated investments in S&P500 index…
Read More 325 views4 minute read Does It Make Sense to Use 1-Hour 1% VaR and ES for Bitcoin?ByDr. Pawel Lachowicz Another day, another record. Today, at 17:35 GST+1, Bitcoin crossed U\$33,000 in trading at Coinbase Pro exchange and…
Read More 328 views5 minute read Scanning Exchanges for Available Crypto Market Prices DataByDr. Pawel Lachowicz One of the most common problem encountered by all novice researches of the crypto-markets and (algo-)traders is knowing…
Read More 332 views4 minute read Cryptocurrency Price Tracking of Bitcoin Gains since its 3rd HalvingByDr. Pawel Lachowicz The Bitcoin’s 3rd halving was the most anticipated event this year. This a moment when a reward for…
Read More 310 views7 minute read How to Design Intraday Cryptocurrency Trading Model using Bitcoin-based Signals?ByDr. Pawel Lachowicz With a growing popularity of cryptocurrencies and their increasing year-over-year traded volumes, crypto algo-trading is a next big…
Read More 345 views10 minute read How to Predict Bitcoin Price with Deep Learning LSTM NetworkByDr. Pawel Lachowicz You can’t predict the future unless you have a crystal ball but you can predict Bitcoin price in…
Read More 323 views5 minute read How to Setup in Python TensorFlow 2.1+ for Deep LearningByDr. Pawel Lachowicz It would be too easy to kick off the series of lectures supplementing my Python for Quants ebooks…
Read More 325 views1 minute read Employing Human Order in pandas DataFrame Sorting: Risk Factors and TenorsByDr. Pawel Lachowicz There are various Python projects which require sorting but not the ones that employ a default alphanumeric functionality.…
Read More 308 views1 minute read Predicting Next Fatal Airline Crash using PythonByDr. Pawel Lachowicz Welcome in 2019! Happy New Year, All! Before the upcoming premiere of my new book Cryptocurrencies with Python,…
Read More 332 views10 minute read Shapley Value Allocation of Operational Risk Capital Charges using Airport Problem SolutionByDr. Pawel Lachowicz In Financial Risk Management the most challenging part for quantitative modeling is, beyond any doubt, the Operational Risk…
Read More 324 views2 minute read Logistic Regression Analysis of Work Resume during Job InterviewByDr. Pawel Lachowicz There are not too many creative opportunities to leave a person applying for a quant role dumbfounded with…
Read More 307 views3 minute read Recalibrating Expected Shortfall to Match Value-at-Risk for Discrete DistributionsByDr. Pawel Lachowicz By considering the same Value at Risk measure, $\varrho$, applied to two or more portfolios (credit loss distributions,…
Read More 332 views4 minute read Earning Money in Cryptocurrency Markets by Spotting Statistical Arbitrage OpportunitiesByDr. Pawel Lachowicz When you come in contact with cryptocurrencies, e.g. Bitcoin (BTC), you quickly realise that there is no single…