WELCOME to my personal trading blog
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[In Progress]Trading volatility term structure with ETNs and machine learning.
NOTE: This post is still work in progress and will be continually updated. Introduction: Volatility is often calculated using variance and standard deviation and is used to measure the amount of uncertainty or risk of an asset. To lay the groundwork for this article, there’s a few stylized fact about volatility. First, return-vol correlation: stocks…
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My 100k Paper Portfolio: an introduction
I AM VERY BUSY, MOST OF THE POSTS ARE STILL WORK IN PROGRESS. I’VE HAD THE STRATEGY DEVELOPED, BUT IT’D TAKE A LONG TIME TO WRITE PAPERS ON IT!!! Hello everyone, i’d like to thank you for taking the interest and time to visit this website first of all. This website’s main objective is to…
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AERO.SW (Motana Aerospace) Equity Research
Current price: CHF17 Target Price: CHF 32 Some other things I think is worth noting but not mentioned in the slides is that 1. inflation has significantly decreased in the euro area compared to 2022 and 2023. Expenses such as gasoline and freight costs, raw material that were eating the margin in the past couple…
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Euronet Worldwide, Inc. (EEFT) Equity Research and Options Trade Idea
Target Price: $140 Current Price: $98
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(Work In Progress) Is crypto a good asset class to be added to your portfolio? A digging with quantitative approach
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Upcoming: My view on Bank of Canada’s next move and my trade on rental discount rate.
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A quick look into frictions in finance and economics and a simple analogy to fluid dynamics
On January 31st, the S&P 500 index witnessed a 1.6% sell-off, an event that, when viewed alongside the recent SEC announcement mandating hedge funds to disclose their strategies. This confluence of events triggered a deep dive into the dynamics of market downturns, prompting me to consider not only the underlying mechanisms but also the parties who…
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Black Derman Toy modelling mortgage-backed derivatives on MatLab
You can download the code via this link https://github.com/mypersonaltrading/VXXVXZ Valuation Methodology The model used is binomial tree options pricing model, similar to the one used in pricing an American option. First, we use Nelson Siegel model to extrapolate monthly short rate and volatility of a 30-year mortgage. Next, we calculate the cash flow assuming no…
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A quick overview of Lithium and ETF vol trade idea
Starting from slide 13 fundamental analysis on supply and demand, i’m involved with 40% of the slides work. Starting from slide 21 to the end are my work, among which include my trade ideas which i didn’t put on the slides but were explained briefly during the presentation. you can download the slide here.
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[In Progress]Global Momentum: a quantitative strategy review post 2008
WORK IN PROGRESS The recent increasing divergence between MAG7 and the rest of the S&P500 form a heavy head component in the American index. The intense record sell off in the battered Chinese equity market, prompting government to roll out “bail out” program to stabilize the market, including but not limit to trillions of yuan…
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My opinions on S&P500 going into year end, and my equity index trade idea.
These ideas were initially formulated throughout the second week of November, I will keep updating the posts at the bottom to give you a follow up. https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3760365 read this paper first if you don’t really understand what i’m saying EVERYTHING I WROTE BELOW IS FOR ENTERTAINMENT PURPOSE ONLY, I AM NOT A FINANCIAL ADVISOR. EASTER…
My 100k Simulated Trading Portfolio 