This is a production-quality Market Risk Value-at-Risk (VaR) system implementing industry-standard methodologies used in major investment banks (HSBC, Barclays, JPMC, Standard Chartered). The system ...
This project implements a systematic trading strategy that rotates monthly between the S&P 500 ETF (SPY) and the Nasdaq-100 ETF (QQQ) based on their trailing 3-month performance. The goal is to ...
Abstract: Random feature latent variable models (RFLVMs) are state-of-the-art tools for uncovering structure in high-dimensional, non-Gaussian data. However, their reliance on Monte Carlo sampling ...
Nick Battista and Mikey Butler of Options Trading Concepts Live discuss interacting with viewers about option strategies and trade ideas. They show you how to use the new backtesting feature on the ...
Abstract: Based on fuzzy value-at-risk (VaR), this paper proposes a new portfolio-selection model (PSM) called the VaR-based fuzzy PSM (VaR-FPSM). Compared with the existing FPSMs, the VaR can ...
Technological advancements in recent years have enabled organizations to collect, organize, store and analyze very large amounts of data from variables that are available at different temporal ...
ABSTRACT: This paper aims at providing an in-depth analysis of forecasting ability of different GARCH (Generalized Autoregressive Conditional Heteroskedasticity) models and finding the best GARCH ...
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