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Expect the Unexpected: Risk Management Must Be Creative
Modern risk management is a real challenge. Today, I played with my levitation device. I noticed that most people do not believe that levitation is real. In fact there is a formal proof that levitation...
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Sell in May and Go Away But Remember to Come Back in September. Really?
Sell in May and go away is an old wisdom which is interesting to analyze. And the continuation “Remember to come back in September” completes this wisdom to a real trading strategy. This strategy is...
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The Easiest Back-Testing of Trading Strategies: MS Excel Pivot Table!
Before using specialized tools for back-testing I propose that one tries the MS Excel Pivot Table first. The pivot table tool is great for inspection, filtering and analyzing large data sets. In this...
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Is there an esay way to get public web data into Excel ?
There are many free data sources: In a previous post, I published a list a free market data sources. Now, I would like to point you to an interesting project: WIKIPOSIT. This project aggregates many...
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What is Model Risk and What Can I Do About it?
Model risk is the risk that the market models in investment banking do not properly reflect the reality. This risk is often neglected or simply ignored. But, it is one of the most important risks as we...
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What is Historical Volatility and Why Do We Need Implied Volatilities?
Looking at financial instruments, one often finds the term implied volatility. In this post, we want to describe what it is and what you can do with it. We start refreshing the term historical...
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Quandl: A Wikipedia for Numerical Data
For data analysts like myself, one of the most useful pages on any blog resides on this website. The comprehensive list of data sites Andreas put together is indispensable because finding numerical...
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Historical performance lies! Beware of survivor bias.
Often you find studies how well a specific fund or trading strategy has performed. You must be aware of the fact that basically all studies based on historical data lie – or at least do not tell the...
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VDAX revisited – Implied volatility return vs. Index Return
Last time we looked at implied volatility, we found a close relationship between historical volatility and implied volatility. This time, we want to look at the relative changes of DAX and VDAX and...
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How can I get data from a website in my Excel/Matlab/R etc? Try Magic!
Since I am always looking for new handy tools, I found a cool way scraping data from websites: “Magic” from import.io Ltd. Import.io website One-click data extraction This service provides a simple...
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