Trending Filtering using CVXPY
Fitting a Trend Filtering Model Using CVXPY
Posts
Ergodicity Breaking and the Coin Toss Game
Revealing the strangeness of ergodicity breaking with a simple game
Simulation of Stochastic Processes
Simulating Brownian Motion and two common stochastic processes.
Integer Programming for Daily Fantasy Sports
Using Integer Programming to find Daily Fantasy Sports lineups with the highest expected points.
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