I week ago I decided to start tracking all the hype around NFT. For this purpose, I start to weekly monitor the top 100 positions on opensea.com. I collected statistics in collectables and art categories from the 5th of March to the 11th of March. …

In this article I try to explain the basics of LPPLS model using Excel and Tesla stock. And show how one may react to all the hype about Tesla (at least, from the model point of view) Theory The model is about exponential growth. In finance exponential growth is most…

This is a practical application of Marcos López de Prado articles (1 and 2) on portfolio optimization process. More specifically, I will overview the hierarchical risk parity approach (HRP), and one of its variations — theory-implied correlation matrcices approach. …

In the previous post, I started to write about my trading RL experiment. Today I decided to complete the description of the trading network (I coded it a year ago). Metrics (or features) Well, prices themselves are not very helpful for NN, returns too, because they are volatile (5 min) and exhibit stochastic…

This article is devoted to the herding mechanism in stocks. I base it on the articles: 1) Estimation of Agent-Based Models: the case of an Asymmetric Herding Model, Alfarano et. al. (2005) 2) Ants, Rationality, and Recruitment, Kirman (1993) In the first part, I present the theoretical model as outlined…

Particle swarm optimization is a kind of natural algorithms like genetic algorithms. In this post I’m going to apply it to portfolio optimization problem. The beauty of the algorithm that it can solve non-convex problems when our optimization goal. …

This year I have come across several pieces of research and insights from investment firms and think-tank with estimates of recession probability. I have noticed that many strategists have developed very complicated models on how to measure it. Allianz, for instance, has at least three models, which gives very different…

This is a brief introduction to making a simple bot for trading using reinforcement learning. Looking at the success of Deepmind robots at various games, it is a trivial idea to build a trading bot. In the end, trading is yet another zero-sum like game. In the beginning, I thought…

The world is occupied by embeddings models. Word2vec, Image to vectors and much more. After recent news about extacting knowledge from science papers, I decided to apply model to the world of finance. Before I start, I must admit: I haven’t extracted much knowledge, but still have learnt a bunch…