This is a summary of links featured on Quantocracy on Sunday, 01/10/2021. To see our most recent links, visit the Quant Mashup. Read on readers!
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Recovering Accurate Implied Dividend and Interest Rate Term-Structures from Option Prices [Sitmo]In this post we discuss the algorithms we use to accurately recover implied dividend and interest rates from option markets. Implied dividends and interest rates show up in a wide variety of applications: to link future-, call-, and put-prices together in a consistent market view de-noise market (closing) prices of options and futures and stabilize PnLs of option books give tighter true bid-ask
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Calculating FX total returns in Python [Cuemacro]If you want a train, you have to build a train track. It doesnt matter, if its a steam train or bullet train, or any other train. Its a prerequisite. No track kind of implies the train cant run. Obviously, each train needs a different type of track, but ultimately the principle is the same in how the track works (admittedly, if its a maglev train then perhaps not). When it comes to
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Classifying market states [SR SV]Typically, we cannot predict a meaningful portion of daily or higher-frequency market returns. A more realistic approach is classifying the state of the market for a particular day or hour. A powerful tool for this purpose is artificial neural networks. This is a popular machine learning method that consists of layers of data-processing units, connections between them and the application of