Series

Time-series

A series of posts related to the analysis of time-series.

  • introduce the 4 statistical moments
  • develop concepts on auto-correlation, stationarity and random-walk
  • time-series decomposition
  • ARIMA and families

Probability

A series of posts centered on basic probability concepts essentials for the study of quantitative finance.

Risk and Portfolio

A series of posts related to risk-management in portfolio construction.

Quant - Part 1

A series of posts when starting quant finance. Basic mathematical concepts and related code in R and Python when starting quantitative finance.

Quant - Part 2

A series of posts on some introductory concepts of stochastic calculus.

Quant - Part 3

A series of posts on the Black-Schole Equation and derivative pricing.

Machine Learning - Part 1

A series of posts on machine learning algorithms with a quant finance lens.

  • KNN
  • linear regression
  • Kmeans

Machine Learning - Part 2

A series of posts on machine learning algorithms that focuses on trees, bagging and boosting.

Posts

PCA

ML
PCA
Covariance
Understanding Principal Component Analysis
Oct 6, 2024
4 min

05 - AR, MA and ARIMA models

Time-Series
ARIMA
Decomposition
Introducing Arima - Autoregressive Integrated Moving Average.
Jan 9, 2024
7 min

Logistic Regression

logistic-regression
A dive into Logistic Regression.
May 15, 2024
2 min

Regularized Regressions

Regression
Lasso
Ridge
Linear models obtained with minimizing the SSR (Sum of Square Residuals) are great and easy to grasp. However, rarely all conditions are met and/or as the number of…
Apr 22, 2024
4 min

Gradient Descent

Gradient Descent
Regression
Gradient Descent is an optimization technique used in many Machine Learning algorithms to find the minimum of a function. It does require a convex and differentiable…
Apr 26, 2024
5 min

Linear Regression

R-code
linear-regression
A dive into the math behind the linear regression algorithm.
Apr 14, 2023
6 min

KNN - K Nearest Neighbor

Supervised ML
KNN
Classification
Confusion Matrix
F1 Measure
Using KNN in both python and R
Nov 14, 2023
18 min

Defining Success

sklearn
tidymodel
When evaluating models for a given ML algorithm, we need to define in advance what would be our metric to measure success. How would we decide if this model performs well or…
Apr 16, 2024
5 min

Xgboost

xgboost
tidymodel
Using Xgboost from a quant perspective. We do a whole cycle of model building on a financial time-series. We’ll again show how to do it with both framework Sklearn for…
Apr 15, 2024
6 min

quantitative Methods

graph
code
Starting here a few examples on how to graph functions, how to solve equations and differential equations with computational methods.
Jan 21, 2024
3 min

Probability For Quant 01

Probability Distribution
I am storing here a few nuggets of probability I encountered in my quantitative finance and machine learning journey. I have a similar page on Algebra. This first series is…
Sep 30, 2022
2 min

03 - Autocorrelation, Stationarity and Random-Walk - Part 1

Time series
Autocorrelation
Stationarity
Random Walk
A dive into the concepts of autocorrelation and stationarity of time series. We also get into how to plot correlogram using R and Python, random-walk, white-noise.
Sep 29, 2022
7 min

Value at Risk using Python

statistics
code
analysis
Computing Value at Risk (VaR) using Python.
Feb 14, 2024
1 min

Hotel forecasting

time-series
forecasting
Forceasting hotel demands from medium post Data from Kaggle
Dec 29, 2023
2 min

04 - Binomials models for Quantitative Finance

Binomial Model
Options Pricing
Delta Hedging
Risk Neutrality
Arbitrage
Creating a basic or binomial model on pricing an option.
Apr 6, 2023
8 min

02 - Statistical Moments

Statistics
Mean
Skewness
Kurtosis
Log-transformation
Box-Cox
Introducing the first 4 moments of statistical analysis: mean, standard deviation, skewness and kurtosis. Showing how to use R and Python on these concepts. We then provide 2 methods to transform data in order to bring it closer to a normal distribution.
Nov 2, 2022
9 min

02 - Normality of asset returns

Normal Distribution
QQ-plot
Kurtosis
Skewness
Histogram
Checking the normality of asset returns visually and quantitatively.
Apr 19, 2023
8 min

04 - Time series decomposition

Time series
Trend
Seasonality
Decomposition
Introducing time series decomposition. We first show how to compose time-series using linear trend, seasonality and then white noise.
Oct 21, 2022
3 min

Jensen’s Inequality

Probability
Jensen’s inequality
arithmetic mean
geometric mean
Jensen’s inequality from Johan Jensen, Danish Mathematician, has popped up several times through my quantitative finance journey. As I never explicitly dealt with it, I…
Oct 21, 2023
6 min

02 - Stochastic Differential Equation - Part II

quant-finance
ito-integral
stochastic-calculus
Some more examples of ito integrals.
Jul 22, 2023
10 min

01 - Stochastic Differential Equation - Part I

quant-finance
stochastic-integrals
Introducing itô integrals.
Jul 22, 2023
3 min

04 -Martingales

Stochastic Calculus
Martingales
Digging into Martingales. Making connections between martingales and itô integrals.
Jul 20, 2023
3 min

Modeling Option prices using Monte-Carlo simulations

Black-Schole
Risk Neutrality
Exotic Options
Monte-Carlo
Using the BSE and Monte-Carlo Methods to value option prices
Aug 27, 2023
5 min

Black-Schole Equation

Black-Schole
Risk Neutrality
Greeks
Deriving the Black-Schole Equation and finding its solutions. Application with R and Python
Jul 18, 2023
6 min

05 - Trinomials models for Quantitative Finance

Probability
Probability Density Function
Creating a trinomial model and deriving the Forward Kolmogorov Equation.
Apr 8, 2023
8 min

03 - Random-walks & Brownian Motions

Random Walk
Brownian Motion
Weiner Process
Quadratic Variation
RW (discrete) and BM (continuous) constitute the way assets returns are modelled.
Jul 20, 2023
8 min

03 - Stochastic Calculus - Part III

time-series
Let’s consider the stochastic integral of the form \[\int_0^T f(t, X(t)) dX(t)\] where \(X_t\) is a Brownian motion. We’ll shorten this form to \(\int_0^T f(t, X) dX\)
Jul 3, 2023
4 min

Quant Puzzle #01

R-code
quant-finance
This is attempt to start a series of puzzles for quant. The source for these puzzles is this noteworthy substack on quant finance
Jun 13, 2023
4 min

Naive-Bayes - Part 1

ML
Naive-Bayes
sentiment analysis
Making Naive-Bayes work in R
May 16, 2023
1 min

01 - Random Behavior of Financial Assets

R-code
quant-finance
We explore one of the main assumption of quantitative finance: assets returns are random.
Apr 18, 2023
6 min

Linear Algebra for Quantitative Finance

Linear-Algebra
Matrix
Covariance
On this post, I am just sharing some linear algebra tools and tricks useful in quantitative finance. This is mainly a post for myself to have a place where I can remember…
Mar 11, 2023
5 min

Portfolio Optimization Part I (in R)

portfolio
R-code
quant-finance
model
First post on portfolio optimization from a quantitative finance lense.
Feb 27, 2023
8 min

Discrete Probability Simulations in R

Probability
Simulations
The idea behind this post is to collect various numerical methods to simulate discrete probability problems.
Nov 14, 2023
1 min

Stochastic processes - Discrete Time Markov Chain

Markov Chain
This post is an introduction to Markov Chain with a presentation of Discrete Time Markov Chains.
Nov 12, 2022
4 min

Intro to Kmeans

Kmeans
ML
The purpose of this article is to get a deeper dive into Kmeans as an unsupervised machine learning algorithms. To see the algorithm at work on some financial data, you can…
Oct 31, 2022
8 min

Markov Chains

Random Walk
Markov Chain
code
python
Introduction to Markov Chains
Oct 21, 2022
5 min

Kmeans with regime changes

ML unsupervised
Kmeans
Tidymodel
Classification
This post is about how to use Kmeans to classify various market regimes or to use Kmeans to classify financial observations.
Oct 12, 2022
6 min

Algebra For Quant

Algebra
Infinite Series
I am storing here a few nuggets of algebra, I need for quantitative finance and machine learning.
Oct 1, 2022
1 min

Translating Python Part 1 - Xgboost with Time-Series

xgboost
tidymodel
This post is about using xgboost on a time-series using both R with the tidymodel framework and python. It is part of a series of articles aiming at translating python…
Oct 1, 2022
7 min
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