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Turing Finance | June 21, 2024

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Computational Investing

Testing the Random Walk Hypothesis with R, Part One

November 20, 2016 | | 11 Comments

Whilst working on some code for my Masters I kept thinking, "it would be really awesome if there was an R package which just consumed a price series and produced a data.frame of results from multiple randomness tests at multiple frequencies". ... Read More

Stock Market Prices Do Not Follow Random Walks

February 8, 2016 | | 28 Comments

Because volatility seems to cluster in real life as well as the markets, it has been a while since my last article. Sorry about that. Today we will be taking our first giant leap along A Non-Random Walk down Wall Street.

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Hacking the Random Walk Hypothesis

September 15, 2015 | | 40 Comments

Hackers would make great traders. At a meta level, hackers and traders do the same thing: they find and exploit the weaknesses of a system. The difference is that hackers hack computers, networks, and even people for various ... Read More

Random walks down Wall Street, Stochastic Processes in Python

April 7, 2015 | | 33 Comments

James Bond is not a quant, but many famous quantitative fund managers enjoy playing poker in their spare time. Stochastic processes can be used to model the odds of such games. This article discusses some of the popular ... Read More

All Models are Wrong, 7 Sources of Model Risk

September 6, 2014 | | 10 Comments

The 2008 financial crisis revealed to the world (in spectacular fashion) the fragility of financial models. Since the financial crisis two words have come up time and time again: model risk. This article defines model risk and discusses some of the contributors ... Read More

Regression analysis using Python

June 7, 2014 | | 18 Comments

This tutorial covers regression analysis using the Python StatsModels package with Quandl integration. For motivational purposes, here is what we are working towards: a regression analysis program which receives multiple data-set names from, automatically downloads the data, analyses it, and plots the results ... Read More

10 misconceptions about Neural Networks

May 8, 2014 | | 58 Comments

Neural networks are one of the most popular and powerful classes of machine learning algorithms. In quantitative finance neural networks are often used for time-series forecasting, constructing proprietary indicators, algorithmic trading, securities classification and credit risk modelling. They ... Read More

Portfolio Optimization Using Particle Swarm Optimization

December 22, 2013 | | 23 Comments

My research topic for this year was Currency Carry Trade Portfolio Optimization using Particle Swarm Optimization (PSO). In this article I will introduce portfolio optimization and explain why it is important. Secondly, I will demonstrate how particle swarm ... Read More

Measures of Risk-adjusted Return

September 1, 2013 | | 18 Comments

This article is a supplement to some of the topics presented in Dr. Tucker Balch's online MOOC, Computational Investing. Financial markets are complex adaptive systems which are almost always indistinguishable from random processes. That said markets do exhibit quantifiable factors such ... Read More