Gamma Gamma Hey Part Two

27 July 2022

Gamma Gamma Hey (an options analysis) Part Two: Building Basic Options SME Github link Abstract In this post we will use data collected from post one to educate ourselves on the basics behind option valuation as well as some common strategies used in option trading. To accomplish this we will be creating a series of functions as well as visualize some real world trades with Plotly. Single Option Valuation Equity options generally serve as a contract giving the owner the right to sell (a put) or buy (a call) 100 shares of the underlying at a given price. We will...

read more

Gamma Gamma Hey Part One

12 June 2022

/*! Respond.js v1.4.2: min/max-width media query polyfill * Copyright 2013 Scott Jehl * Licensed under https://github.com/scottjehl/Respond/blob/master/LICENSE-MIT * */

read more

HODL-dar: A Cryptocurrency Risk Analysis Tool

05 September 2021

Abstract: In this post we take a look at the risk factors behind four major cryptocurrencies as well as those behind a large cap index and gold. To communicate our message we use R to build a Dash React.js-based app with interactive Plotly.js graphs and daily-updated data. The scripts and dependency environment are then containerized using Docker and deployed via Git to the Heroku cloud hosting service. The app is available at: https://crypto-risk-analysis.herokuapp.com Note: Heroku stopped maintaining free dynamos starting in September of 2022, and it is no longer being maintained. Background: Cryptocurrency. The word is almost incapable of drawing...

read more

Tweet or Honk: Has Trump been Goosing the Markets with Social Media?

08 December 2020

Abstract: In this post we use Trump’s Twitter data to predict whether market volatility (the VIX) will increase that day. To accomplish this we use a Natural Language Processing (NLP) bag-of-words approach with dimensionality reduction through truncated Singular Value Decomposition (SVD) for latent sentiment analysis. The predictions are decided by a weighted voting classifier ensemble consisting of hyperparameter tuned logistic regression, decision tree, random forest, Adaptive Boosting (AdaBoost) of decision trees, and stochastic gradient boosted decision tree models. To handle the large amounts of data we use Dask and sklearn’s joblib for parallel processing as well as sparse matrix data...

read more

But Jerome... what about inflation?

18 September 2020

Background: It is an understatement to say that 2020 has been an unusual year for many. In addition to the loss of life due to COVID-19, the way we live our everyday lives has been affected and we don’t know when it will go back to normal. Add that uncertainty to the unknown time frame for a vaccine and we get some very scared markets. We certainly felt that volatility in March when we experienced the worst stock crash since at least 2008, with some calling this the worst since the Great Depression as the S&P 500 tumbled by nearly...

read more