John Orford

The next kata is the extend the previous day's binary option one period model to a multiperiod one. For example two period's equations will look something like this in pseudo

The truth is, with all these exercises we are trying to build something timeless. Pure functions, or Python's lambdas (for the most part) ensure our programs don't evolve, but remain

Ice pops in the summer are less valuable than in Winter, financial securities are also seasonal. When times are scary, safer assets are more valuable. Assets also differ in value

If I have a stock listed on the Nasdaq which doubles every year and one has had its stock price halving, which one would you invest in? There are 99

We introduced the only two fundamental securities in finance over the last two katas, and now we are going to again tell you we were not being 100% truthful. There

The last kata showed us how financiers sees the future - by closely observing the present. Let's take this one step further. As we saw, in pseudo code, our forward

A simple kata today. A forward contract in finance is analogous to a future in computer science, it doesn't return anything until it's got the delivery price at maturity. A

The previous kata explained that there are very few mathematical concepts used in finance. This series of katas has so far only used one concept in Python, which is the

Perhaps the main way programming diverges from mathematics is state mutability. In maths you can set and forget x's. When programming algorithms we have to carefully shepherd our x's from

In Python for Finance, the author gives an example of three ways in chapter 1 to do a large mathematical calculation using different Python libraries. The moral of the story,

Easy one today. Take a look at downloading data from Google using Pandas Data Reader. import pandas_datareader.data as web import datetime start = datetime.datetime(2010, 1, 1) end

When Paul Wilmott introduces Quantitative Finance, from the very beginning he pastes over reality with mathematical objects. E.g. it is reasonable to assume that "stocks move in a

This code is from here. As with the last kata, rewrite it purely in terms of lambdas. You will find it is not possible to write a for-loop just with

Lets have a look at some garden-variety Python code for the Black Scholes formula. Taken from here, import numpy as np import scipy.stats as ss import time #Black and

Let me share a secret. I do not like Python. It is not a programmer's programming language. It is a getting-things-done language. 60's Brutalist architecture in Moscow in the 90's.

My experiment on algorithmically collecting up odd but insightful pieces of news in one place is maturing nicely. Particularly nice read this morning on Quant Casual.

I collected my personal projects onto one web page. All finance related in one way or another. Long planned, feels good to finally put them in one place. Get in

Quant Casual is a website which finds articles loosely related to finance, specifically a combination of the smart and quirky found over the last 24 hours. I.e. stuff that

Matt wrote me a while back about how thinking about Value and Growth lead you to Mean Reversion and Momentum. I like connections. Here's the line of reasoning. Value stocks

I just added RSS to quantcasual.com at quantcasual.com/rss. There's still a few days of the best quirky idiosyncratic news from Finance Twitter before it gets more, 'educational'