Видео

How does the coding change for American options?

best channel

Great job

how to implement this data for mt4 chart? , how to deploy?

This tutorial is so well done. Thank you thank you thank you!!

i am not sure what i did wrogn but i chose four stocks ['MC.PA', 'AI.PA', 'SAN.PA', 'BNP.PA'] and I got the weirdest looking efficient frontier

hello mate, why is it the timedelta(days=300)? where does the 300 come from ? thanks

thanks you a ton , I have been trying my best to learn but none of the videos strategies worked well from RUclips , but you are a gem .....salute to you as your strategy gave me confidence and growing a lot on demo account and soon I will switch to live account

Great Appreciation and Great Respect to you and your channel!

This is all very fluffy info. Nothing here that will make you money. Also Shelly Natenberg is not a trader. He only discusses theory. If you want to experience real pain go buy some upside calls and sell futures delta neutral against them during a trend day up. You’ll be given no chance to scalp. And by the end of the day you will have lost on your calls and lost big on your futures. While the market maker, who had zero idea where the underlying was going, wins and wins. I’m not saying it isn’t possible to make a lot of money. It is. You have to become an expert is managing risk. This is your edge.

but cov matrix is now always invertible (if matrix is not positively defined), so cholesky decomposition does not always work

Hi QuanPy, thanks for the great video! One question do you have any detailed explain or recommended material for the portfolio return at the t, the formula you show up on the right upper corner from 11:35? I know single stock Brownian Motion, but I am not following why portfolio return is in that form and why use timeseries mean return as level. Also should it depend on t as well as BM? Many Thanks!

if you get into Quant trading during a bull market, you will think that you know what you are doing.....till you will find out otherwise......you have greater chances of beating the market if you play old school pacman....(the one with the blue screen) than learning quantitative financial analysis....lol, ..and I kid you not about pacman or space invaders.

Skip the first 7 minutes.

Did he say $300K out of college ? blimey.

Could someone please help me find the website he uses in the video? He says it is free. I am tried a bunch of ways to find it, but I cannot. Does it still exist? Please help

If there is only 1% of a succesful strategy, why there is no 99% of strategies are wining money by only switching the direction of the entry at market?

Thanks for the GREAT video! One question if I may: at 11:42, would you please elaborate, or if you have another link, for this return formula + Cholesky application? Thanks a lot!

What's the point of complicating matters by throwing in abstractions/ indirections such as covariance matrix and cholesky decomposition, when we can just simulate portfolio returns by calculating cumprod of weighted stock returns directly?

So… around #16:37 … the MLE-estimated mean and variance of a normally distributed set of returns R equal… ("someone has done the hard job for you, they've gone through the math")… the mean and variance of samples r_i…?!? 🤨 Guess I'm missing the point of the entire MLE-concept in this context.

Him: All RUclipsrs offer fake advice on algo trading Also Him: Let me tell you how to trade on this RUclips video The assumption that RUclipsrs have some deep seated ulterior motives, well except for you, is silly.

Well i think non normal error distribution caused by non monotonous growth the chart in a real.. You trying to multiply perfect line and perfect sin() and the modeling chart will growths monotonous while the real one - not. And of course You will get some excesses thant moment the real chart will start to grow like parabolic in average.. As for me thats pretty obviously.. I think the real chart should be additionally averaged, thats makes the average error bigger but makes it close to normal... (There is why You started to talk to try ARIMA like model i think..) Or to try the rose noise, i heard someone using to modeling the stock prices.. But the season decomposition with Fourier i think should be awesome to timing the stock market..

I have a question, If i want to forecast next 4 days in a stock price should i set my T value as T = 4 or T = 4/252

When you divide by 365 @ the end of the 17th minute there, do you not need to divide by 255 (1 year trading days)?

А вообще тяжело здесь подниматься? Только скажите честно, без балды

Tried to run the Jupyter Notebook but EOD returned error message: "Only EOD data allowed for free users. Please, contact our support team"

portfolio_sims meaning portfolio of simulations? Tip: Use the typing module to explain types and use descriptive variables to make sense

Nice! but te music is too loud.

lame

The only ones who are really winning: Market makers and brokerage firms. The others are at the mercy of luck, with inconsistent wins and losses.

error: module is not found for pandas_datareader

does someone have the link to 2rd part of video?

Hi PyQuant! May I know is it possible to simulate stock prices using the same technique? In this video you assume the returns follows multivariate normal distribution and then do the Monte Carlo simulation for returns. I am wondering if I can do the same thing for stock prices by assuming certain distribution such as GBM?

It would be interesting to see how time value is determined.

Newbes may become frustrated by this video ... but ... hes telling truth ... Investors gain success only by developping strategies beyond well known infos and models. Total transparency causes no chance for mechanical/software-driven success. First you have to learn all about common tools and strategies ... then you have to select and check ... then make a decision about your own strategy ... then check the markets for chances ... Dont forget - the closer you stay at mechanical workflows, automated ones the more compettitors you get ... and the more you develop your own system the more risk you take until reality fits to it.

Another clown. Stopped watching after hearing "I will show you my 3 strategies that are guaranteed to make money". What a joke 😂😂

This is more relevant to ML strategies. Good video anyway

Doom is coming for the world get ready worst than corona

As an Algorithmic Trading Quant, which is the most exclusive and cryptic type of Quant, I can objectivelly and without any bias that this role is meant only for men who have an eidetic memory, prophetic vision, omniscient sagacity and a coruscant brilliancy to easily master fields which are by nature both recondite and often out of reach for the common genius. Basically, a quant is a person who has a profitable trading algorithm with a track record which has stood the test of time. Also, if you're a lower class of Quant, you're basically a data scientist or wanker. If you think physics and maths is hard, remind yourself that those guys try to be quants and fail so hard they start to teach physics to PhD.

I want discussion on topics not mentioned in books like people on other side of trade and orderflow analysis

Background music that last for two minutes is very noisy

Johnatan how is it possible to transfer cryptocurrency to your account for HFT traiding under your control?

The video is cool and useful but the code don't work, the move of price of the option is not coherent with the strike one

What is with the stupid background music?

I don't get it. Why is the covariance matrix used? This means the stocks are not independent from each other. They are the same industry but apart from that they should not be tied together. What am I missing? Does this portray the sentiment of the market as a whole?

The Black and Scholes equation is wrong: The Black and Scholes (risk-neutral) premium is the first moment of the option expiry for an asset that has all risk and no market return (the risk-neutral measure), that which has been debased of market return (by holding portfolio returns fixed flat at r). This idiotic asset (the risk-neutral measure) is stochastically dominated by bonds in that bonds have the same return (r) but without the risk whilst it is stochastically dominated by stocks since stocks earn market return for the equivalent amount of risk: bonds have LOWER RISK for the SAME RETURN as the debased market asset (the risk-neutral measure) whilst stocks have HIGHER RETURN for the SAME RISK as the debased market asset (the risk-neutral measure) Either way, the 'risk-neutral measure' is totally idiotic and stochastically dominated by all non-redundant asset classes. It is not deep and it is not abstract. All it is is the market asset without return (which is then used to price the derivative and so is wrong and inaccurate). If a trader wants an option, then he must not take an offsetting position that nullifies the option position. There is nothing risk-neutral about that. An option premium must have a mean mu in the drift term, otherwise it is wrong... wrong for derivatives and wrong for efficient and non-communist finance. nb: I had to say 'no risk' when I sat several of the courses in undergraduate (almost two decades ago). It was clear as day to me then that it was inaccurate (and proved by me definitively now more than one decade ago).

THanks, I learned a lot

For those struggling to get the Yahoo data: instead of using "from pandas_datareader import data as pdr", use "import yfinance as yf" then, the function should be "StockData = yf.download(stocks, start, end)['Adj Close']"

Excellent video, Congrats!!...btw, I could not find the website you refered to at the end of the video. I wonder if you could share the URL or link with us. Thx in advance!

im on mac and im not really sure how to get jupyter lab working i have pandas and pandas-datareader downloaded in python but it is not working