Forecasting Volatility

Volatility forecasting has great applications in financial markets – from feeding in assumptions in models to risk management to derivatives pricing and trading. People have different methods in predicting volatility, and have developed different models…

Market Microstructure

According to Wikipedia, Market microstructure is a branch of finance concerned with the details of how exchange occurs in markets… The major thrust of market microstructure research examines the ways in which the working processes of a market affects determinants…

Six Impossible Things Before Breakfast

From GMP’s recent White Paper: In order to make sense of today’s pricing, you need to believe in six impossible things: Secular stagnation is permanent and rates will stay low forever. As we have argued…

Open Source Market Guide Project

Today we started a project on developing an open-source programmable guide to the financial markets. It is an open-source interactive and programmable guide to financial markets written in Python. It is presented in the format of iPython Notebook,…