The gush of fresh air from opening the window made Joe sit up with renewed energy. The trading desks were buzzing with phones and people were yelling at prices. Maybe there is something he could do to make himself unpin from his chair. …

Say you have got a great system to trade. It could be a simple logic that is handwritten or it could be a complicated computer algorithm to dig Gold from the mines of the markets. Literally it could be anything; Technical, fundamental or quantitative. How well can you trust this…

An interesting characteristic of time series is autocorrelation — In simple terms, it can be interpreted as memory in markets. Mr. Hurst, a genius British hydrologist came up with the idea when building a dam on river Nile. …

There is a lot (roughly 328 Million search results in google) said and talked about normality, specifically in the returns distributions of the traded assets. …

While generally speaking Aristotelian logic dictates that the whole is greater than the sum of its parts, in the world of finance, generally cannot be spoken that loosely, and that very dictum takes a back-seat when it comes to variance of a pay-off portfolio of two options written on two…

There are many different flavours of the following problem. They all lead to an intriguingly simple answer and we will see how we may be able to access this concept in a trading environment. What I love about such generally frivolous mental excursions is their application to the more serious…

Pricing options have been scientific and had won the Noble prize for Merton and Scholes for their groundbreaking work. But ask any market-maker or an options trader (vanilla or exotic) the perils of running an options book. …

The historical volatility (20-day annualized) in percentages of a few traded agricultural commodities over many years. Some simple statistics tabulated below: The raw data was obtained as continuous second-month futures from quandl. A lot of interesting insights can be gleaned from this and many hypotheses can be tested from such…

It is a well known fact that stock market prices are negatively correlated to the volatility. For those that are sufficiently inclined to learn more, there are ample papers out there in the world wide web to satiate their intellectual hunger. This post does not corroborate facts with statistical tests…