PinnedYuhui WangEquity Convexity and Asset Pricing in Different Volatility RegimesAsset Pricing is one of the primary fields of finance, there are numerous models relating asset return to the market, the most basic one…Aug 28, 2022Aug 28, 2022
PinnedYuhui WangPortfolio Construction with Exponentially-Weighted Mean to outperform S&P500 for yearsNOTE: Not Investing advice. The novel approach adopted here is not backed by substantial research.Jul 5, 20221Jul 5, 20221
PinnedYuhui WangMonetary Transmission Mechanism — Vector Autoregression (VAR) ApproachThe Monetary Transmission Mechanism isn’t something new. It is the primary way how monetary policies deliver their effect and how central…May 26, 20222May 26, 20222
Yuhui WangApplying Extreme Value Theory and Survival Analysis to Trading & HedgingA cliche Introduction:Mar 8, 20231Mar 8, 20231
Yuhui WangVolatility Regime Classification with GARCH(1,1)&Markov ModelsVolatility regime classification is a hot topic. So I will try out two Markov models to classify the regimes and one of them is inspired by…Mar 7, 20221Mar 7, 20221
Yuhui WangRevisiting the market efficiency theory after years of learning & tradingThere are many fundamental concepts in finance but I’m going to focus on Market Efficiency in this article. It’s interesting that people…Dec 4, 2021Dec 4, 2021
