SKF: Inverse Construction and Volatility
I previously explained why market returns should be lognormally distributed with positive daily expectation (not continuous). However, imagine a security…
Probability of Ruin
Catalan Numbers are an interesting way of modeling the probability of ruin.Specifically, Catalan Numbers help find the probability that a…
Conceptualizing Learning Error
When you are trying to find the correct equation to model and predict financial data, you will always have some…
Review: The Poker Face of Wall Street
Yesterday night I finished The Poker Face of Wall Street by Aaron Brown. It's a somewhat disorganized combination of poker…
Preprocessing – Feature Generation
Price and volume data is the easiest to acquire and holds quite a bit of information. Preprocessing is the technique…
Trading System Description
In the next two weeks, IB's Collegiate Olympiad starts. The following describes the system I'm entering. I previously mentioned that…
A Game at Hell’s Gate
Let’s say you lived the life of a gambler and now, dead, you are standing at the gates of hell…
Statistical Learning Papers
I've been lucky with the past few papers I've read which have been interesting and well-written. These first two were…
Interactive Brokers Collegiate Olympiad
I'm applying to enter Interactive Brokers' automated trading contest. The "Strategy Plan" I submitted is below. This document is required…
IB Olympiad System Outline
The first version of the system will be organized as follows:VariablesLoad dataPreprocessForecast each data streamOptional: sensitivity analysisCreate a portfolioCalculate position…
