There is some secret message hidden in this graph Let’s decode it Resulting in Wishing everyone a Happy New Year 2014, cheers! [Read more...]

In finance and investing the term portfolio refers to the collection of assets one owns. Compared to just holding a single asset at a time a portfolio has a number of potential benefits. A universe of asset holdings within the … Continue reading → [Read more...]

  In this post I like to illustrate the R package “ape” for phylogenetic trees for the purpose of assembling trees. The function read.tree creates a tree from a text description. For example the following code creates and displays two … Continue reading → [Read more...]

Machine Learning and Kernels A common application of machine learning (ML) is the learning and classification of a set of raw data features by a ML algorithm or technique. In this context a ML kernel acts to the ML algorithm … Continue reading → [Read more...]

The implied option volatility reflects the price premium an option commands. A trader’s profit and loss ‘P&L’ from hedging option positions is driven to a large extend by the actual historical volatility of the underlying assets. Thus as option premiums … Continue reading → [Read more...]

There is a long standing debate if financial systems are truly random or contain some structure. From the study of non-linear dynamical systems and chaos one finds it is possible that even perfectly deterministic systems can appear to be random. … Continue reading → [Read more...]

In financial applications one frequently comes across the need to draw samples according to an assumed distribution. This could be because one wants to simulate stock prices for a Monte Carlo simulation, to price an option payout or to generate … Continue reading → [Read more...]