## Classifying Time Series with Keras in R : A Step-by-Step Example

We test different kinds of neural network (vanilla feedforward, convolutional-1D and LSTM) to distinguish samples, which are generated from two different time series models. Contrary to a (naive) expectation, conv1D does much better job than the LSTM. Continue reading "Classifying Time Series with Keras in R : A Step-by-Step Example"

## Visualizing the Data on 6356 American Stocks – with R source code

By current artificial intelligence, big data and robo-advisory hype many people believe that computers can do everything for you. I am pretty skeptical about it. Never denying (and actively engaging by myself) a computer-aided trading and investment I always claim "man and machine" rather than "man vs. machine". In this post I show you how to summarize and visualize the data from Alpha Vantage for 6356 American stocks. Continue reading "Visualizing the Data on 6356 American Stocks – with R source code"

## Calculate CAGR of Your Savings Plan | Free Online Calculator

This tool allows you to calculate the compound annual growth rate (CAGR) of your 401(k) savings plan. All you need is to know the size and dates of your installments and the market value of your savings plan on the reference date. Irregular (aperiodic) installment are supported but the (partial) withdrawals are not since it is, in general, impossible to uniquely define the CAGR for a cashflow with several pay-offs Continue reading "Calculate CAGR of Your Savings Plan | Free Online Calculator"

## QuantLibXL – A Curvy Way to fit a Yield Curve

QuantLib is a magnificent library for quantitative finance. But it is also like a gun, heavy enough to shoot your own foot. You might expect that QuantLibXL (a plug-in that provides a subset of QuantLib functionality in Excel) makes your life easier. Unfortunately, it hardly does, as we show in this case study. For an easy and straight way you should better have a look at Deriscope. Continue reading "QuantLibXL – A Curvy Way to fit a Yield Curve"

## Beyond Black Scholes: European Options without Dividends

Options are the simplest non-trivial financial derivatives around. They are part of the curriculum of every university course on Finance for a good reason: They are everywhere! They are traded on regulated exchanges around the world, change hands over the counter between … consenting adults, enhance or "infect" all sorts of contracts as "embedded options", constitute the main ingredient of insurance policies. In their pure form, their annual volume on U.S. Equity Option exchanges alone exceeds 4 billion contracts!
This is the first of a series of articles that will show you how to compute the fair value of options within Excel without using expensive third party software.
Continue reading "Beyond Black Scholes: European Options without Dividends"