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

Book Reviews and Reading List 3 Sep, 2024
Joel On Software 8 Dec, 2020

Algo Trading

Hidden Dangers of Writing an OMS 22 Jun, 2024
Building Candlesticks in Rust 29 Oct, 2022
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

Building Candlesticks in Rust 29 Oct, 2022
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

Even Faster Logging in Rust! 12 Aug, 2024
Hidden Dangers of Writing an OMS 22 Jun, 2024
Message Arrival Rates and Latency 13 May, 2024
Building Candlesticks in Rust 29 Oct, 2022
Fast Logging for HFT In Rust 23 Oct, 2022
The Rust Programming Language 12 May, 2021

Programming

Even Faster Logging in Rust! 12 Aug, 2024
Rust for the Rustless 26 Apr, 2024
Building Candlesticks in Rust 29 Oct, 2022
Fast Logging for HFT In Rust 23 Oct, 2022
The Rust Programming Language 12 May, 2021

Rust

Even Faster Logging in Rust! 12 Aug, 2024
Rust for the Rustless 26 Apr, 2024
Building Candlesticks in Rust 29 Oct, 2022
Fast Logging for HFT In Rust 23 Oct, 2022
The Rust Programming Language 12 May, 2021

Latency

Message Arrival Rates and Latency 13 May, 2024