Quant Mashup - Koppian Adventures

Famous Theorems In Mathematical Finance [Koppian Adventures]

In this post, I want to explain the intuition behind some famous theorems in mathematical finance. I will not explain any proofs, since you can find these in books, but rather for what the theorems can be used. Girsanov’s theorem Let us start with Girsanov’s theorem. We need a Brownian motion Wt(...)

Identifying Asset Pairs For Pairs Trading [Koppian Adventures]

Last time, we talked about how to identify stationary time series. Today we continue this line of thought by defining cointegration and looking at its usage in trading. In particular, we will discuss how a pairs trading strategy works. Motivation If we remember that stationarity assumes that a mean(...)

Backtesting With Zipline Ii [Koppian Adventures]

In this post, we play again little bit around with python and the pandas-library. You may want to read the first part of this series. There we have backtested a simple crossing moving average strategy in pandas. We had a long/slow moving average over the last 40 days and a fast/short moving average(...)

Practical Ethereum Arbitrage Experiments [Koppian Adventures]

Introduction Inspired by another blogpost I decided to experiment with trading arbitrage between different exchanges. Not so long ago there was a hardfork in the blockchain-based cryptocurrency Ethereum. This means that we now have two Ethereums: Ethereum (ETH) and Ethereum Classic (ETC). The(...)