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…
Full Revaluation Approach
Full revaluation serves as an effective risk assessment approach for quantifying the potential risk exposure associated with a portfolio of derivatives. This method involves the comprehensive reassessment of the entire…
Sensitivity Analysis
It is a method used to assess the impact of variations or changes in input parameters, assumptions, or factors on the outcomes of a risk assessment, financial model, or decision-making…
Machine Learning for Portfolio Optimization-NCO
In recent years, machine learning (ML) techniques have gained popularity in the field of portfolio optimization. One ML-based method that has shown promise is the Nested Clustered Optimization Algorithm (NCO).…
Black-Litterman Model
The Black-Litterman asset allocation model provides a methodical way of combining an investor’s subjective views of the future performance of a risky investment asset with the views implied by the…
Modern Portfolio Theory – MPT
MPT - Modern Portfolio Theory (MPT), also known as mean-variance analysis, is a mathematical framework that aims to construct portfolios with maximum expected returns for a given level of risk.…
Portfolio Construction – Definition and Steps
Portfolio construction is the art and science of building a custom investment portfolio that meets your unique needs and goals. It's a process that involves carefully selecting and combining different…