Ornstein Uhlenbeck Mean Reversion Process

The Ornstein–Uhlenbeck process is one of several approaches used to model interest…

Understanding the Quadratic Variation of Stochastic Processes

Black-Scholes Derivation — Delta Hedging Argument

Supervised Machine Learning: Classification — K-Nearest Neighbors and Data Pre-Processing

The 7 Reasons Most Machine Learning Funds Fail

The following article is based on Dr Marcos Lopéz de Prado’s research paper…

The Brownian Bridge Process

The Brownian Bridge is a classical brownian motion on the interval [0,1] and it is useful for modelling a…

Black-Scholes Derivation — Portfolio Replication Argument

PCA Regression on ETF Data

Application of PCA to identify the amount of variation shown by the…

Unsupervised Machine Learning: K-Means Clustering with Applications in Finance

This is a comprehensive…

Unsupervised Machine Learning: Dimensionality Reduction and PCA

This is a comprehensive guide to…