Historical and Implied Volatility
Historical Volatility Historical volatility is a statistical measure that quantifies the extent to which the price of a financial instrument has varied throughout a specified time interval. It is determined…
Var Approaches
This article provides a detailed exploration of three different approaches for calculating Value at Risk (VaR) – Historical, Variance-Covariance, and Monte Carlo Simulation. The analysis is based on Nifty data…
Systematic risk, Unsystematic risk, and Systemic risk
Systematic risk, unsystematic risk, and systemic risk are essential concepts in quantitative finance and risk management. Here's a detailed explanation of each term in quantitative terminology: Systematic Risk: It is…
Trading Cost
Trading costs encompass the various expenses associated with buying and selling securities in financial markets. These costs can be categorized into two main types: explicit and implicit trading costs. Explicit…
Pair Trading
Pair trading is the strategy that involves buying and selling two related securities, such as stocks, simultaneously to profit from their relative price movements. The strategy capitalizes on temporary divergences…
Denoising and Detoning
Denoising and Detoning represent two methodologies employed to enhance the quality of covariance and correlation matrices, pivotal in applications such as portfolio optimization, risk management, and machine learning. Denoising, the process…
Unlocking Strategic Insights: A Comprehensive Analysis of Key Trading Metrics with Python
This article is beneficial for generating metrics to evaluate and select trading strategies. The parameters encompass a range from profit to losses, risks involved, graphical representation, and more. By executing…
Time Series Analysis
In this article, we will explore the following key areas: 1. Installing necessary libraries 2. Extracting End-of-Day Data for a Single Security - Retrieve daily closing prices for a specific security using…