Quant at Risk resources grew in volume, knowledge, and usefulness since 2012. We sincerely recommend You to explore the library of our Articles as listed below. Join us to learn more on centralised and decentralised finance through our comprehensive writing!
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Cryptocurrencies, Blockchain, and Crypto-Risk Management
- In Search for Stablecoin’s Perfect Peg: Application of Negative Hypergeometric Distribution
- Vol-of-Vol for Crypto-Derivative Products
- Hacking 1-Minute Cryptocurrency Candlesticks: (3) Making Asynchronous 5-Sec Prices-Series Aligned
- Hacking 1-Minute Cryptocurrency Candlesticks: (2) Custom Candlestick Charts in Plotly
- Hacking 1-Minute Cryptocurrency Candlesticks: (1) Capturing Binance Exchange Live Data Stream
- Breaking Altcoins’ Grip to Bitcoin
- Top N Crypto-Assets by MarketCap for Crypto-Portfolio Backtesting Purposes in Python
- The Rules of Investing in Crypto-Assets
- The Longest Winning Streak for Bitcoin
- Czekanowski Index-Based Similarity as Alternative Correlation Measure in N-Asset Portfolio Analysis
- Built on ETH Blockchain: Inspecting Profitability of Emerging Crypto-Coins since their Inception
- Where Can You Trade Cryptocurrencies using Fiat Currencies?
- Introduction to Sell-Off Analysis for Crypto-Assets: Triggered by Bitcoin?
- Crypto vs Fiat Currency: (1) Where is it Traded?
- Crypto vs Fiat Currency: (2) Does Bitcoin Always Co-Move at All Crypto-Exchanges?
- Probing Price Momentum of Bitcoin during its Bull Runs with a Piecewise Linear Model
- Earning or Losing Money in Cryptocurrencies with Revolut: Simulated Trading for Bitcoin
- Does It Make Sense to Use 1-Hour 1% VaR and ES for Bitcoin?
- Scanning Crypto-Exchanges for Available Cryptocurrency Close Price Time-Series
- Tracking Bitcoin Gains since its 3rd Halving in May 2020 with Python
- How to Design Intraday Algo-Trading Model for Cryptocurrencies using Bitcoin-based Signals?
- How to Predict Bitcoin Price with Deep Learning LSTM Network
- Earning Money in Cryptocurrency Markets by Spotting Statistical Arbitrage Opportunities
- N-CryptoAsset Portfolios: Identifying Highly Correlated Cryptocurrencies using PCA
- Cryptocurrency Time-Series for N-CryptoAsset Portfolio Analysis in Python
- Hacking True Random Numbers in Python: Blockchain Miners
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Classical Digital Signal Processing for Finance
- Structure Function: Forgotten Detection Tool for Periodic Signals in Non-Stationary Processes
- Introduction to Matching Pursuit Algorithm with Stochastic Dictionaries
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Financial Risk Modeling
- Quantitative Analysis of a Sample Drawn from the Unknown Continuous Population
- Modelling Slippage for Limit Orders using Adaptive KDE-based Loss Severity Distribution (1)
- Black Swan and Extreme Loss Modeling
- Probability of Black Swan Events at NYSE
- Extreme VaR for Portfolio Managers
- Predicting Heavy and Extreme Losses in Real-Time for Portfolio Holders (1)
- Predicting Heavy and Extreme Losses in Real-Time for Portfolio Holders (2)
- Non-Linear Cross-Bicorrelations between the Oil Prices and Stock Fundamentals
- Recalibrating Expected Shortfall to Match Value-at-Risk for Discrete Distributions
- Conditional Value-at-Risk in the Normal and Student t Linear VaR Model
- Modern Time Analysis of Black Swans
- VaR and Expected Shortfall vs. Black Swan
- Applied Portfolio VaR Decomposition. (1) Marginal and Component VaR.
- Applied Portfolio VaR Decomposition. (2) Impact vs Moving Elements.
- Applied Portfolio VaR Decomposition. (3) Incremental VaR and Portfolio Revaluation.
- Performance-related Risk Measures
- Quantitative Risk Assessment Model for Investment Options
- Dutch Book: Making a Riskless Profit
- Probability of Financial Ruin
- Walsh–Hadamard Transform and Tests for Randomness of Financial Return-Series
- Fast Walsh–Hadamard Transform in Python
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Machine and Deep Learning in Finance
- Setup of Keras and TensorFlow 2.1+ for Deep Learning in Python
- How to Predict Bitcoin Price with Deep Learning LSTM Network
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Operational Risk Management
- Shapley Value Allocation of Operational Risk Capital Charges using Airport Problem Solution
- Computation of the Loss Distribution not only for Operational Risk Managers
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Portfolio Theory and its Applications
- Extreme VaR for Portfolio Managers
- N-CryptoAsset Portfolios: Identifying Highly Correlated Cryptocurrencies using PCA
- Cryptocurrency Time-Series for N-CryptoAsset Portfolio Analysis in Python
- Asset Allocation for Tangent Portfolio with Risk-Free Asset in Python
- Covariance Matrix for N-Asset Portfolio fed by Quandl in Python
- Pre-Processing of Asset Price Series for Portfolio Optimization
- Roy’s Safety-First Criterion in Portfolio Optimization Problem
- Information Ratio and its Relative Strength for Portfolio Managers
- Riskless Diversification
- 2-Asset Portfolio Construction
- Final Frontier of Efficient Frontier
- Measure of Risk of any Security in Equilibrium
- Coskewness and Cokurtosis Computation for Portfolio Managers
- Simulation of Portfolio Value using Geometric Brownian Motion Model
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Building a Model and Backtesting
- How to Design Intraday Algo-Trading Model for Cryptocurrencies using Bitcoin-based Signals?
- Modelling Slippage for Limit Orders using Adaptive KDE-based Loss Severity Distribution (1)
- Financial Time-Series Segmentation Based On Turning Points in Python
- Gap-on-Open Profitable Trading Strategy
- GARCH(1,1) Model in Python
- GARCH(p,q) Model and Exit Strategy for Intraday Algorithmic Traders
- Ideal Stock Trading Model for the Purpose of Backtesting Only
- Trend Identification for FX Traders
- Trend Identification for FX Traders (Part 2)
- Model for Dividend Backtesting
- Market Fear Detection Model for Stock Traders based on Principal Component Analysis (PCA)
- Slippage in Model Backtesting
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Financial Data Acquisition, Processing, and Handling
- Can ChatGPT Self-Improve Self-Written Python Code for Cholesky Decomposition?
- Employing Human-Order in pandas DataFrame Sorting: Risk Factors and Tenorsn
- Recovery of Financial Price-Series based on Daily Returns Matrix in Python
- Hacking Google Finance in Real-Time for Algorithmic Traders. (1)
- Hacking Google Finance in Real-Time for Algorithmic Traders. (2) Pre-Market Trading.
- How to Get a List of all NASDAQ Securities as a CSV file using Python?
- How to Find a Company Name given a Stock Ticker Symbol utilising Quandl API
- Pre-Processing of Asset Price Series for Portfolio Optimization
- Create a Portfolio of Stocks based on Google Finance Data fed by Quandl
- Get the Data of Fund Performance directly into Excel utilizing VBA and Google
- How to Find a Company Name given a Stock Ticker Symbol utilising Quandl API
- Rebinning Tick-Data for FX Algo Traders
- Rebinning of Financial Time-Series
- Accessing a SQL Server database in Matlab and the use of FTS objects
- Extracting Time-Series from Tick-Data
- Continuous Measure of Time
- Bank Format of Numbers in Matlab
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Reviews and Book Reviews
- Book Review: Python for Finance Cookbook, 2nd Ed. by Eryk Lewinson
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Quant After Hours Articles
- GPU-Accelerated Finance in Python with NumbaPro Library. Really?
- Predicting Next Fatal Airline Crash in Python
- Detecting Human Fear in Electronic Trading: Emotional Quantum Entanglement
- Logistic Regression Analysis of Quant’s Resume during His Job Interview
- 5 Words on How To Write A Quant Blog
- Quants, NumPy, and LOTTO
- Deriving Limits in Python