error-handing Programming's Achilles Heal Introduction and summary of error handling in programming languages
Recursion - 016 - Pure, Functional, Financial, Python Katas 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
Timelessness - 015 - Pure, Functional, Financial, Python Katas 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
Neutrality - 014 - Pure, Functional, Financial, Python Katas 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
Tricks of the Trade - 013 - Pure, Functional, Financial, Python Katas 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
Option Calculus - 012 - Pure, Functional, Financial, Python Katas 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
Metaphysical - 011 - Pure, Functional, Financial Python Katas The last kata threw open the meaning of quantitative finance. Ironically, if quant finance is about quantifying, it is rarely if ever about quantifying dollars! It's about quantifying the metaphysical.
Plugs - 010 - Pure, Functional, Financial Python Katas 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
Futures - 009 - Pure, Functional, Financial Python Katas 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
008 -Pure, Functional, Financial Python Katas 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
007 - Pure, Functional, Financial Python Katas 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
006 - Pure, Functional, Financial Python Katas 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,
005 - Pure, Functional, Financial Python Katas Today, let's use Matplotlib only with lambdas. If you have been following along, this will be simple. And, if you haven't tried before, it is an easy entry point. Re-implement
004 - Pure, Functional, Financial Python Katas 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
003 - Pure, Functional, Financial Python Katas 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
002 - Pure, Functional, Financial Python Katas 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
001 - Pure, Functional, Financial Python Katas 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
Headspace / Workspace Setup - Pure, Functional, Financial, Python Katas 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.
Pure, Functional, Financial, Python Katas We live in a world where nightmares exist. Usually there's little need to worry about their existence. We are philosopher kings lounging in small castles of code, protected from the
An Ode to News 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.
My Greatest Hits 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 Update 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
An Intersection between Growth & Momentum? 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
Quant Casual Update 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'
Quant Casual Update Quant Casual is my robotic slightly idiosyncratic news aggregator. It picks news stories from 'Finance Twitter' like value investors pick stocks! The more popular the author of a Tweet, the