dm13450
A Statistical FX Factor Model
The Joys of Free Cloudflare
A Fundamental FX Factor Model
Making Sense of the DXY
Premier League Survival – How Many Points Are Enough?
Fitting Price Impact Models
Importance Sampling, Reinforcement Learning, Getting More from the Data You Have
Alpha Capture and Acquired
Solving the Almgren Chris Model
Currency Hedging and Principal Component Analysis
A Quants Approach to Running
Re:Ask HN: What is your “I don't care if this succeeds” project?
on Friday February 11, 2022 @03:54AM (#30298947)
https://cryptoliquiditymetrics.com/
Started as a way for me to learn some Javascript and get an overview of execution metrics for myself. Found it easy enough to host with Netlify, so might as well make it public!
A tour of high-frequency finance via the Julia language and QuestDB
Crypto Liquidity Metrics
Re:Ask HN: What is your “I don't care if this succeeds” project?
on Tuesday February 02, 2021 @04:39AM (#25998978)
https://www.stocksheriff.io/
Do retail traders really care about the small differences between the stock price and where their broker filled them? Probably not.
But it might help educate people, especially after the latest $GME frenzy.
Re:Building a personal data warehouse in Snowflake for fun and no profit
on Sunday January 31, 2021 @03:13PM (#25982112)
Minor point, but when calculating the avg_diff_price for $GME you should be calculating a return (close-open)/open otherwise days where the stock went from 100 to 105 (5% increase) look the same as days when it went from 5 to 10 (100% increase).
Likewise, when calculating the correlations, that should be done on returns and not prices.
Show HN: Stocksheriff.io Make sure your broker is getting a good price
Alphavantage.jl – Getting Market Data into Julia
State of the Market – Infinite State Hidden Markov Models
Re:Ask HN: What is your blog and why should I read it?
on Tuesday April 07, 2020 @06:23AM (#22801948)
http://dm13450.github.io/ If you like stats, finance, sports stats and random programming snippets you should hopefully find one of my posts interesting at some point!