Quant Mashup - Quanttech
Variance Factors on VIX Futures II – Principal Component Analysis [Quanttech]
In my last post I demonstrated how you can generate synthetic futures prices. In this post I am going to build on this and show how you can apply principal component analysis (PCA) to determine how much of the variability in returns each of the different futures are responsible for. Creating our
- 8 years ago, 14 Jul 2015, 05:41pm -
Variance Factors on VIX Futures I – Synthetic Futures [Quanttech]
In her paper on ETNs on VIX futures, Carol Alexander demonstrates how principal component analysis can be used to identify the main variance factors in the term structure of the VIX. Over the next couple of posts I am going to demonstrate how you can implement this. Principal component analysis
- 8 years ago, 7 Jul 2015, 09:57pm -
Calculating Realistic Strategy Returns [Quanttech]
In researching different trading strategies, you will come across simplified reference implementations, whereby your position in an asset is simply the price at a given point in time. Price returns can then be calculated based these prices, which can then be fed into a further calculation such as
- 9 years ago, 20 Apr 2015, 09:32pm -
Visualising Strategy Drawdowns [Quanttech]
Along with the Sharpe Ratio, the drawdown of a trading strategy is one of the most common indicators you will see used to evaluate its performance. The drawdown is simply the decline in value of a strategy at a point in time since a previous high. It's important as it gives you an indication of
- 9 years ago, 23 Mar 2015, 09:41pm -
Modelling Asset Returns with Brownian Motion [Quanttech]
The geometric Brownian motion model allows you to generate a series of prices for an asset. It is a type of stochastic process that follows a Brownian motion path with a drift. Stochastic processes are a concept from probability theory which are used to model the change in a seemingly random process
- 9 years ago, 9 Feb 2015, 09:40pm -