This is a summary of links featured on Quantocracy on Sunday, 12/10/2023. To see our most recent links, visit the Quant Mashup. Read on readers!
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Brownian Motion Simulation with Python [Quant Start]In this article we will explore simulation of Brownian Motions, one of the most fundamental concepts in derivatives pricing. Brownian Motion is a mathematical model used to simulate the behaviour of asset prices for the purposes of pricing options contracts. A typical means of pricing such options on an asset, is to simulate a large number of stochastic asset paths throughout the lifetime of the
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Simulation of Gary Antonacci s Dual Momentum Sector Rotation Strategy [NLX Finance]Heres a backtest of Gary Antonaccis DMSR (Dual Momentum Sector Rotation) strategy. The author is best known for his GEM (Global Equity Momentum) strategy, which he popularised in 2014, in his book Dual Momentum Investing: An Innovative Strategy for Higher Returns with Lower Risk , McGraw-Hill Education. As a reminder, GEM (Global Equity Momentum) is a strategy that is well known to