Key insights: Imbalance in the order book
I summarise key insights from a few papers studying the limit order book. You’l learn how to measure volume imblanace in the limit order book and how well it predicts price moves.
Oct 1, 2023 · 5 min read
Forecasting currency rates with fractional brownian motion
Fractional Brownian motion is a stochastic process that can model mean reversion. Predicting future values turns out to be a simple linear model. This model has significant predictive power when applied to currencies.
Aug 9, 2023 · 5 min read
Square root of a portfolio covariance matrix
The square root of your portfolio’s covariance matrix gives you a powerful way of understanding where your portfolio variance is coming from. Here I show how to calculate the square root and provide an interactive example to explore how it works.
Jul 27, 2023 · 4 min read
Mean reversion in government bonds
Using the Ornstein–Uhlenbeck process, you can calculate the expected spread between bond yields of different maturities. These expected values can then be used to estimated the expected value of treasury ETF spreads.
Apr 8, 2023 · 5 min read
Calculating the mean and variance of bond returns
Bond returns are a function of yields. Calculating the expected value of this function is quite difficult. You can take a Taylor expansion to make calculating the mean and variance of returns much easier.
Apr 5, 2023 · 4 min read
How to get 100 years of bond ETF prices
The price of a bond ETF can be estimated from bond yields. You can use this technique to create a long term performance history of an ETF.
Nov 24, 2022 · 4 min read
Understanding bond ETF returns
The return of a bond ETF can be estimated from bond yields. The distribution of a bond ETF’s returns turns out to be a function of the interest rate, expected change and variance of the interest rate. Bond returns are skewed depending on the interest rate’s level.
Nov 21, 2022 · 7 min read
Invest regularly
Successful investors combine lots of simple things, each one providing a small improvement. One of these simple things is investing regularly.
Dec 22, 2020 · 4 min read
Measuring performance
How can you measure performance when investing? You might think you can simply measure how much money you make. However, this can lead to losing a large portion of your capital. I want to show you why that can happen and how I measure my own investment performance.
Jun 12, 2020 · 8 min read