XRP-based Crypto Investment Portfolio Inspired by Ripple vs SEC Lawsuit
Dr. Pawel Lachowicz
Crypto-market price actions often revolves around the news. Good or bad? It does not matter. However, the recent…
Browsing Tag
python
44 posts
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…
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…
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…
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…
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…
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 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,…
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…
Cryptocurrency Portfolios: Identifying Highly Correlated Cryptocurrencies using PCA
IMHO, there is nothing more exciting these days than researching, analysing, and a good understanding of cryptocurrencies. Powered…
Cryptocurrency Time Series for N-CryptoAsset Portfolio Analysis in Python
Welcome to a brand new era of “financial assets” – the crypto-assets. The impossible became possible. Yes, now…
Hacking True Random Numbers in Python: Blockchain Miners
The magnitude and importance of random numbers in finance does not have to be explained. We need them.…
Conditional Value-at-Risk for Normal and Student t Linear VaR Model
Conditional Value-at-Risk (CVaR), also referred to as the Expected Shortfall (ES) or the Expected Tail Loss (ETL), has…
Non-Linear Cross-Bicorrelations between the Oil Prices and Stock Fundamentals
When we talk about correlations in finance, by default, we assume linear relationships between two time-series “co-moving”. In…
Computation of the Loss Distribution in Python
In the Operational Risk Management, given a number/type of risks or/and business line combinations, the quest is all…
Probability of Black Swan Events at NYSE
The prediction of extreme rare events (EREs) in the financial markets remains one of the toughest problems. Firstly…
Detecting Human Fear in Electronic Trading: Emotional Quantum Entanglement
This post presents an appealing proof for the progressing domination of algorithmic trading over human trading. By analysing…
Predicting Heavy and Extreme Losses in Real-Time for Portfolio Holders (2)
This part is awesome. Trust me! Previously, in Part 1, we examined two independent methods in order to…
Conversion of Financial Time Series based on Daily Returns Matrix in Python
As a financial analyst or algo trader, you are so often faced with information on, inter alia, daily…
Predicting Heavy and Extreme Losses in Real-Time for Portfolio Holders (1)
The probability of improbable events. The simplicity amongst complexity. The purity in its best form. The ultimate cure…
Fast Walsh–Hadamard Transform in Python
I felt myself a bit unsatisfied after my last post on Walsh–Hadamard Transform and Tests for Randomness of…
Walsh–Hadamard Transform and Tests for Randomness of Financial Return-Series
Randomness. A magic that happens behind the scene. An incomprehensible little blackbox that does the job for us.…
GARCH(1,1) Model in Python
In my previous article GARCH(p,q) Model and Exit Strategy for Intraday Algorithmic Traders we described the essentials of…