Quantitative Finance – Learning Machines

The Big Picture: Technical + Fundamental Analysis = Buy-and-Hold

In this post, let us rise into the air to have a good view of the stock market. From this vantage point, seemingly unrelated things all of a sudden become connected and patterns hidden by all the buzz and noise start to appear!

If you want to understand the big picture of technical and fundamental analysis, its relation to the payoffs of certain option strategies, and what this has to do with buy-and-hold, read on!
Continue reading “The Big Picture: Technical + Fundamental Analysis = Buy-and-Hold”

Building and Backtesting a Volatility-based Trading Strategy with ChatGPT

This post presents a real highlight: We will build and backtest a quantitative trading strategy in R with the help of OpenAI’s ChatGPT-4! If you want to get a glimpse into the future of trading system development, read on!
Continue reading “Building and Backtesting a Volatility-based Trading Strategy with ChatGPT”

World Cup 2022: My Prediction for Germany in the Group Stage (also as a Video)!

Predicting football (a.k.a. soccer) games based on statistical models has been one of my hobbies for many years now.

Here, I will give you my prediction for Germany in the group stage of the World Cup 2022 with full R-code, so read on!
Continue reading “World Cup 2022: My Prediction for Germany in the Group Stage (also as a Video)!”

Please Subscribe to My New (German) Data Science YouTube Channel!

I am in the middle of creating a new German YouTube channel that is centered around data science and R! I put a lot of effort into it to serve the interests of the community.

If you want to be a part of the process, watch interesting videos with data-based analyses and look behind the scenes, please consider subscribing to the channel!

The number of subscriptions is also vital for the YouTube algorithm to recommend the videos to other viewers on the platform!
Continue reading “Please Subscribe to My New (German) Data Science YouTube Channel!”

The Most Dangerous Equation, or Why Small is Not Beautiful!

Over one billion dollars have been spent in the US to split up big schools into smaller ones because small schools regularly show up in rankings as top performers.

In this post, I will show you why that money was wasted because of a widespread (but not so well known) statistical artifact, so read on!
Continue reading “The Most Dangerous Equation, or Why Small is Not Beautiful!”

Is the Stock Market Efficient? Let your ZIP Compression Tool give an Answer!

One of the most fiercely fought debates in quantitative finance is whether the stock market (or financial markets in general) is (are) efficient, i.e. whether you can find patterns in them that can be profitably used.

If you want to learn about an ingenious method (that is already present in anyone’s computer) to approach that question, read on!
Continue reading “Is the Stock Market Efficient? Let your ZIP Compression Tool give an Answer!”

The Pólya Urn Model: A simple Simulation of “The Rich get Richer”

What is the “opposite” of sampling without replacement? In a classical urn model sampling without replacement means that you don’t replace the ball that you have drawn. Therefore the probability of drawing that colour becomes smaller. How about the opposite, i.e. that the probability becomes bigger? Then you have a so-called Pólya urn model!

Many real-world processes have this self-reinforcing property, e.g. leading to the distribution of wealth or the number of followers on social media. If you want to learn how to simulate such a process with R and encounter some surprising results, read on!
Continue reading “The Pólya Urn Model: A simple Simulation of “The Rich get Richer””

New Bundesliga Forecasting Tool: Can Underdog Hertha Berlin beat Bayern Munich?

The Bundesliga is Germany’s primary football league. It is one of the most important football leagues in the world, broadcast on television in over 200 countries.

If you want to get your hands on a tool to forecast the result of any game (and perform some more statistical analyses), read on!
Continue reading “New Bundesliga Forecasting Tool: Can Underdog Hertha Berlin beat Bayern Munich?”

Euro 2020: Will Switzerland kick out Spain too?

One of the big sensations of the UEFA Euro 2020 is that Switzerland kicked out world champion France. We take this as an opportunity to share with you a simple statistical model to predict football (soccer) results with R, so read on!
Continue reading “Euro 2020: Will Switzerland kick out Spain too?”

Financial X-Rays: Dissect any Price Series with a simple Payoff Diagram

Not many people understand the financial alchemy of modern financial investment vehicles, like hedge funds, that often use sophisticated trading strategies. But everybody understands the meaning of rising and falling markets. Why not simply translate one into the other?

If you want to get your hands on a simple R script that creates an easy-to-understand plot (a profit & loss profile or payoff diagram) out of any price series, read on!
Continue reading “Financial X-Rays: Dissect any Price Series with a simple Payoff Diagram”