Category: Literature

Reading A First Course in Quantitative Finance by Thomas Mazzoni

A First Course in Quantitative Finance by Thomas Mazzoni was published a year ago. It provides a thorough analysis of such topics as Local Volatility, derivative pricing via PDEs (and solution of theses PDEs) as well as a good insight of Levy processes. Although it might be too big and too general for the 1st course, it is definitely worth reading as the 1.5* course in quantitative finance. Continue reading "Reading A First Course in Quantitative Finance by Thomas Mazzoni"

Gallery of TBOT – triangle bottoms according to Lo et al 7/8

We continue publishing the visual results from Vasily Nekrasov's attempt to reproduce the results from "Foundations of Technical Analysis: Computational Algorithms, Statistical Inference, and Empirical Implementation" by Lo, Mamaysky and Wang(2000). Continue reading "Gallery of TBOT – triangle bottoms according to Lo et al 7/8"

Gallery of RTOP – rectangle tops according to Lo et al 6/8

We continue publishing the visual results from Vasily Nekrasov's attempt to reproduce the results from "Foundations of Technical Analysis: Computational Algorithms, Statistical Inference, and Empirical Implementation" by Lo, Mamaysky and Wang(2000). Continue reading "Gallery of RTOP – rectangle tops according to Lo et al 6/8"

Gallery of RBOT – rectangle bottoms according to Lo et al 5/8

We continue publishing the visual results from Vasily Nekrasov's attempt to reproduce the results from "Foundations of Technical Analysis: Computational Algorithms, Statistical Inference, and Empirical Implementation" by Lo, Mamaysky and Wang(2000). Continue reading "Gallery of RBOT – rectangle bottoms according to Lo et al 5/8"

Gallery of IHS – Inverse Head and Shoulders according to Lo et al 4/8

We continue publishing the visual results from Vasily Nekrasov's attempt to reproduce the results from "Foundations of Technical Analysis: Computational Algorithms, Statistical Inference, and Empirical Implementation" by Lo, Mamaysky and Wang(2000). Continue reading "Gallery of IHS – Inverse Head and Shoulders according to Lo et al 4/8"

Gallery of HS – Head and Shoulders according to Lo et al 3/8

We continue publishing the visual results from Vasily Nekrasov's attempt to reproduce the results from "Foundations of Technical Analysis: Computational Algorithms, Statistical Inference, and Empirical Implementation" by Lo, Mamaysky and Wang(2000). Continue reading "Gallery of HS – Head and Shoulders according to Lo et al 3/8"

Gallery of BTOP – Broading Tops according to Lo et al 2/8

We continue publishing the visual results from Vasily Nekrasov's attempt to reproduce the results from "Foundations of Technical Analysis: Computational Algorithms, Statistical Inference, and Empirical Implementation" by Lo, Mamaysky and Wang(2000). Continue reading "Gallery of BTOP – Broading Tops according to Lo et al 2/8"

Patterns of Technical Analysis – Do They Work?

Seven years ago I tried to reproduce the results of "Foundations of Technical Analysis: Computational Algorithms, Statistical Inference, and Empirical Implementation" by Lo, Mamaysky and Wang with more recent data than they used. Lo et al come to the conclusion that the chart patterns are statistically significant (which does not yet mean their practical usability). My results shows that there is no statistical significance (anymore). Continue reading "Patterns of Technical Analysis – Do They Work?"

Book Review: 23 Things They Don’t Tell You About Capitalism

Recently I have read a very interesting book "23 Things They Don't Tell You About Capitalism" by Prof. Ha-Joon Chang. As such it is very interesting and easy going book (no formulas, simple language). But it is much more: in my opinion every investor and trader should read it to better understand the current political and economic trends.

Continue reading "Book Review: 23 Things They Don’t Tell You About Capitalism"