MultipleRegression_SP500_Prediction Multiple Regression for sp500 Prediction Using Sector ETFs¶ By Maxim Shen … Jul 12th 2016 In this example, we want to illustrate how we can predict SP500 index, given different sector ETF historical daily market data. We try to…

# How to evaluate portfolio performance of systematic trading (under construction)

With the help of Quantopian high level API, let’s first implement a 5 day mean reversion buy & sell strategy on stock market. (strategy written in Python) Hypothesis: based on previous 5 day returns, bottom 10% stocks will likely go…

# Better way to find all prime numbers less than N & time complexity O(log(log(N)))

Normally, when we need to find all prime numbers upto or less than user input N, we need total time complexity of O(N*sqrt(N)), because we use “trial division” to verify primality. Code as below in Java. public int countPrimes(int N){…

# Option Pricing Models Basics

Whaley – American Analytic Approximation model for the price of an American option on an underlying that follows a lognormal price distribution. (American Price) = (Black Scholes Price) + (Early Exercise Premium) Ju-Zhong – American Based on the original approach…

# Option Greek Basics

Delta For CALL, it’s range is from 0 to 100, in definition, it is the ratio of call option value over underlying value. ATM call option’s delta = 50. (or 0.5). It means that call option value will rise half…

# Volatility & Distribution Basics

the following content is partially extracted by Option Volatility & Pricing by Sheldon Natenberg, and it has been recompiled by myself from my understanding First, we use the concept of random walk to explain DISTRIBUTION. And one good example of…