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An very interesting technical book by Ernmie Chan, ‘Algorithmic Trading : Winning Strategies and Their Rationale’. (Book Notes) Common Pitfall of Backtesting Backtesing of the process of feeding historical data to your trading strategy to see how good it have performed. Look-ahead Bias: Look-ahead bias means that your backtest program is using tommorrow’s prices to…
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Ques 1: What python design patterns have you used? Ans: A design pattern is a proven, reusable solution to common problems that arise in software design. It is not a finished piece of code but a template or blueprint for how to resolve a particular design issue in a flexible and efficient way. Strategy pattern:…
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Long Call: What does it do? It gives you the right (but not the obligation) to purchase a underlying stock at your quoted price within a period (before expiration date). This quoted price is the strike price. If the spot price (i.e.: current market price) goes above the strike price, then you make money by…
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Why do some military regimes consolidate following a military coup, whereas others do not? What classifed as a military regime? Cautious about classification: General trends: the decline of military regimes The military as an institution: comparison with parties Integration with civilian institutions Finer’s five types of military rule (from The Man on Horseback) Finer argued…
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Harrod Domar Model What HD model does? Its purpose is to identify the necessary condition for achieving steady economic growth. It is a post-Keynesian Model, developed in 1930 – 1940s. Formula: g = s / θ – δ (No population growth) g = s / θ – δ – n (With population growth) Assumptions: Dynamics:…
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Ques 1: What methods can be used for computing Greeks given a method for computing prices? What are their advantages and disadvantages? Ans: Three popular methods for computing the Greeks: Finite-difference Approximations: Advantages Disadvantages Simple to implement: Require only the ability to compute option prices with slightly different inputs. Computationally Intensive: Requires multiple price evaluations,…
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ESG: Stands for Environmental, Social and Governance. Governance is process of guiding society toward positive outcome and away from harmful ones. What is Environmental Governance? Governance vs Government Example of Governance Problems: Four Types of Environmental Problems: Where does the demand for governance come from? A interesting Book: Why Politics Failed? (About Climate Risk) They…
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To save or not to save, that is the question. Two-period consumption saving model: Asumptions: An example: Consumption Optimisation using the Euler equation: Euler Equation is about the finding out the optimal allocation of consumption. When the marginal rate of substitution equal to the relative price of consumption -(1+r), you find the optimal consumption allocation…