Abhay DodiyaStatistical Arbitrage in Trading and its drawback.The basic premise on which statistical arbitrage works is Cointegration. Cointegration analysis is a technique where price or return series…May 5, 2023May 5, 2023
Abhay DodiyaShort Rate Interest Models — Vasicek and CIR.When we deal with interest-rate products, quite often we come across a term called the Short Rate model. These models are primarily to…Apr 19, 2023Apr 19, 2023
Abhay DodiyaStochastic Differential Equation in Finance.It’s a widely popular topic in finance and we will build up as we move further. It starts with the concept of Brownian Motion.Apr 14, 2023Apr 14, 2023
Abhay DodiyaImplied, Local and Heston Volatility and its calibration in Python.The very intuitive definition of Volatility is nothing but standard deviation. In the financial world, different products need different…Apr 3, 2023Apr 3, 2023
Abhay DodiyaStochastic Calculus and Geometric Brownian Motion.We often come across this confusing term and wonder what it is. I would give here a short summary without much maths and I hope you guys…Mar 23, 2023Mar 23, 2023
Abhay DodiyaHow Order Flow Analysis can help for Trading Decision.It’s an important indicator to help you understand to make buying or selling decisions, particularly when you are doing high-frequency…Mar 17, 20231Mar 17, 20231
Abhay DodiyaWhat is Volatility Clustering? and how it behaves?Volatility clustering indicates the response given to news arrival in asymmetrical. The impact of good news and bad news is not equal in…Mar 12, 2023Mar 12, 2023
Abhay DodiyaPractical Application of K-Means Clustering to Stock Data.Clustering is the task of grouping a set of objects with similar characteristics into one bucket and differentiating them from the rest of…Mar 4, 2023Mar 4, 2023
Abhay DodiyaWhat is Volatility Index (VIX)? How it’s Computed?We often hear this term in the market, people say VIX is too high or too low, but hang on what exactly this VIX they are talking about?Feb 23, 2023Feb 23, 2023
Abhay DodiyaLocal Volatility v/s Implied Volatility with Practical Example of SPXThe famous Black Scholes formula helps us to get volatility from observed market data of call and put. The way we back out volatility from…Feb 19, 2023Feb 19, 2023