Finance & Economics

Transitioning my academic research work from Matlab to Python.

I'll cover a variety of topics from my academic research and as an industry practitioner. These areas include portfolio management, efficient frontier, mean-variance optimization, full-scale optimization, tail risk, volatility modelling, economic scenario generation/forecasting, copulas and systemic risk.

Sometimes you might see blank or unfinished posts. I'll come back to them in time.

If you're keen to learn more about a topic , contact me or make a comment on the relevant post.

2020-Feb-26What is consensus?
2020-Feb-17What is the scalability trilemma?
2020-Feb-15What are smart contracts?
2020-Feb-14What's the difference between coins and tokens?
2019-May-15Informed trading and market microstructure
2019-May-07Dai Stablecoin
2019-Mar-04Model validation for logistic regression models
2019-Mar-01Basel Market Risk notes
2019-Mar-01Model validation for classification trees
2019-Mar-01Model validation for linear regression models
2019-Mar-01Model validation for time series regression models
2019-Jan-05Capital charge modelling for securitized products (SFA)
2019-Jan-05Estimating systemic risk on the equities market
2019-Jan-05Fitting a volatility model on indices
2019-Jan-05Portfolio optimization & backtesting
2018-Dec-30Fitting a volatility model on stocks
2018-Dec-14Exploring the efficient frontier
2018-Oct-08Asset pricing & factor regressions
2018-Oct-05Reading data from Ken French's website using Python