Quant Mashup - Kevin Pei
Optimal Alphadraft Bankroll Management with Beta-Beta Model and Kelly Criterion [Kevin Pei]
For context, you can read my previous post on alphadraft betting for CS:GO here. After we have developed a concrete model for drafting our line-ups, we want to focus more on the bettor's bankroll management over time to minimize risk, maximize return and reduce our probability of ruin. In this
- 8 years ago, 11 Mar 2016, 02:24am -
PDF: The PCA Model in the FX Market: Economic Factors and Volatility Modelling [Kevin Pei]
The PCA Model in the FX Market: Economic Factors and Volatility Modelling
- 8 years ago, 26 Nov 2015, 03:32pm -
Guns, Bombs and eSports: Applying Data and Portfolio Analytics to Counter-Strike Gambling [Kevin Pei]
Since the publication of Bill James' seminal work, Baseball Abstract, and the rise to stardom for the Oakland A's, Sports Analytics - the application of statistics to competitive sports - has been (and still is) a prominent topic within the industry. Thus, it is only reasonable for
- 8 years ago, 15 Oct 2015, 01:09am -
Volatility Models and Backtests on Quantopian [Kevin Pei]
In this blog post, I will present some backtest results on volatility models. The list I present here are not exhaustive and there are still a gargantuan set of papers focusing on this issue (a good place to start is on vlab [s.o to @neighbourlybear for showing me this]). In the next section, I
- 8 years ago, 10 Sep 2015, 09:19pm -
Creating Algorithmic Trading Portfolios with Quantopian (Part II) [Kevin Pei]
In this post, I will be documenting a few of my strategies. The Two Divide in Universe Selection From my personal experience of hacking up strategies and browsing the forums for interesting topics/ideas, I found that there are often two divides in setting up the universe of stocks to trade. The
- 8 years ago, 16 Jun 2015, 01:36pm -