Archive

Moving Average

Savitzky Golay Filter 5 Dec, 2020
The Problem with Moving Averages 30 Nov, 2020

FIR Filters

Savitzky Golay Filter 5 Dec, 2020
The Problem with Moving Averages 30 Nov, 2020

HMM

Classifying returns 1 Dec, 2020

Distribution Forecasting

Classifying returns 1 Dec, 2020

Swing Trading

Savitzky Golay Swing Points 6 Dec, 2020

MCMC

MCMC for Return Distributions 7 Dec, 2020

Books

Joel On Software 8 Dec, 2020

Algo Trading

Slippage Analysis - Part 4 12 Dec, 2020
Slippage Analysis - Part 3 11 Dec, 2020
Slippage Analysis - Part 2 10 Dec, 2020
Paper vs Live Slippage Analysis 9 Dec, 2020

Crypto

Slippage Analysis - Part 4 12 Dec, 2020
Slippage Analysis - Part 3 11 Dec, 2020
Slippage Analysis - Part 2 10 Dec, 2020
Paper vs Live Slippage Analysis 9 Dec, 2020

Microstructure

Bitcoin Elasticity and Volatility 21 May, 2021
Bitcoin Microstructure 14 Dec, 2020

Bitcoin

Bitcoin Elasticity and Volatility 21 May, 2021
Bitcoin Options 8 Feb, 2021
Bitcoin Microstructure 14 Dec, 2020

Volatility

Informational Disadvantage of Market Makers 28 Dec, 2020
Volatility and Time of Day 15 Dec, 2020

Sklearn

Return Classification 16 Dec, 2020

Market Making

Informational Disadvantage of Market Makers 28 Dec, 2020

Strategy Testing

Alpha Decay 29 Dec, 2020

Deprado

Fractional Differencing 1 Jan, 2021

Options

Bitcoin Options 8 Feb, 2021

Betting Markets

Adventures in Horse Racing 9 Feb, 2021

Horse Racing

Adventures in Horse Racing 9 Feb, 2021

Deep Learning

GANs and Synthetic Market Data 22 Mar, 2021

Market Data

GANs and Synthetic Market Data 22 Mar, 2021

HFT

The Rust Programming Language 12 May, 2021

Programming

The Rust Programming Language 12 May, 2021