Derin UsdikenA Fundamental Flaw of the Altman Z-ScorePublished in 1968 by Edward I. Altman, the Altman Z-score is an easy to compute and transparent metric for calculating the likelihood of…Mar 31, 2022Mar 31, 2022
Derin UsdikenKelly Criterion — ConclusionKelly criterion is an acknowledged yet underutilized idea for the financial markets. Changing our perspective on how to utilize it, and…Mar 7, 2022Mar 7, 2022
Derin UsdikenKelly Criterion Performance — Alternative InvestmentsIn this final instalment of the Kelly Criterion Performance essays we will analyze a relatively younger and interesting asset: Bitcoin…Mar 7, 2022Mar 7, 2022
Derin UsdikenKelly Criterion Performance — Distressed EntityThe past two essays allowed us to analyse the performance of the Kelly strategy under different price mechanics, revealing some of the…Mar 7, 2022Mar 7, 2022
Derin UsdikenKelly Criterion Performance — Equity MarketIn the previous essay, we saw how the Kelly framework can be applied to the historical prices of an actual asset. Taking natural gas as an…Mar 5, 2022Mar 5, 2022
Derin UsdikenKelly Criterion Performance — CommoditiesAfter setting up the strategy through a hypothetical scenario in the previous essay, we are now ready to apply it to an actual asset. For…Mar 5, 2022Mar 5, 2022
Derin UsdikenThe Political Macrostructure and Market ReturnsThe return distribution of financial instruments is not strictly governed by the prevalent economic macrostructure. By examining market…Mar 5, 2022Mar 5, 2022
Derin UsdikenMeasurement in Finance — Macro CreditOur aim is now to extend Peter Ponzo’s gNum into credit, capturing both sovereign and corporate debt. Lets start by looking at the source…Mar 5, 2022Mar 5, 2022
Derin UsdikenMeasurement in Finance — The InspirationThe first inspiration for these series of writings came from a book titled Street Fighting Mathematics by Sanjoy Mahajan. The book is…Mar 5, 20221Mar 5, 20221
Derin UsdikenMeasurement in Finance — The BasicsClassical mechanics is the starting point of all physics education at the university level. In this field, ideas about motion take centre…Feb 1, 2022Feb 1, 2022