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