This is a summary of links featured on Quantocracy on Saturday, 12/16/2017. To see our most recent links, visit the Quant Mashup. Read on readers!
Podcast: When a quant trader enters the world of sports betting with Andreas Koukorinis [Chat With Traders]Andreas Koukorinis lives in London and in 2013 he co-founded Stratagem Technologiesa tech startup using AI and machine learning to trade sports as a financial product. These sports predominately include; football, tennis and basketball. But for Andreas, his roots are in trading instruments and markets that most of us are more accustomed to. Hes worked for the likes of Morgan Stanley and
Pricing Arithmetic Asian Options using Moment Matching [Top of The Bell Curve]Asian options are path-dependent options whose payoff depends on the average value of the underlying asset during a specific set of dates across the life of the option. Because the payoff of the Asian options depends on the average value of the underlying asset, volatility in the average value is lower than that of the plain vanilla options. Thus Asian options tend are less expensive than the
Are Recent S&P 500 Returns Excessive Relative To History? [Capital Spectator]The US stock market has been on a tear lately. Has the party gone too far? A rising chorus of analysts say that caution is advised, citing several valuation metrics. The Shiller PE Ratio, for instance, is currently at its second-highest level since the late-1800s. Valuations appear stretched, but history reminds that this form of excess can endure. And with the US economy posting ongoing signs of