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Webinar: Ernest Chan on Factor Models In Practice
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Webinar: Ernest Chan on Factor Models In Practice

  #31 (permalink)
Trading for Fun
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Very cool video.

Here is some more on implied skew
http://www.ise.com/assets/files/FX%20Options/ExpiringMonthly_-_Trading_With_or_Against_the_Skew_0410.pdf

Actual code examples though I think would suffer from a data problem. Historic option and short interest data just isn't as available to give such an example.

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  #32 (permalink)
Trading for Fun
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Platform: Python, Excel, R, Ninjatrader
Broker/Data: IB quandl
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Actually, I'm not sure that paper above is exactly what is being talked about in the video.
This one is for sure though:
Implied Volatility Skews in the Foreign Exchange Market
Empirical Evidence from JPY and GBP: 1997-2002
https://www.stern.nyu.edu/sites/default/files/assets/documents/uat_024336.pdf

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  #33 (permalink)
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not a coder,
not a quant,

and yet learned a lot from the webinar.
TY

PS.:
love Kahneman


Last edited by puma; September 28th, 2014 at 08:47 AM.
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