Decomposing Volatility: Continuous and Jump Component
Illustrating how realized volatility can decomposed into a continuous and jump component, providing new modelling opportunities.
Exploring the Kelly Criterion: The Multi-Period Problem
Exploring how mean-variance methods and the Kelly Criterion compare in multi-period investments
Exploring the Kelly Criterion: Drawdown
Exploring the Kelly Criterion and its drawdown properties using Monte Carlo
Clustering ETFs for Optimally Diversified Portfolio
Using clustering algorithms for identifying optimal subset of ETFs for portfolio construction.
Stochastic Volatility Models in Stan
Fitting 2 different Stochastic Volatility Models to S&P 500 returns and finding out which is better
Moving my Data to Amazon Web Services
Lessons learned migrating my data to AWS