Financial Noob

Statistical arbitrage with lead-lag detection

Revealing market leaders and followers through linear and non-linear relationships.

Dec 10, 2024 • 

Alexander Pavlov

29

1

October 2024

Statistical arbitrage with graph clustering algorithms

Applying network theory to statistical arbitrage strategies.

Oct 30, 2024 • 

Alexander Pavlov

8

Portfolio optimization with factor models

Using factor models for improving covariance matrix estimation.

Oct 21, 2024 • 

Alexander Pavlov

1

September 2024

Simple Strategies. Rotation strategy in SPY and TLT

Implementing and analyzing a simple swing trading strategy.

Sep 26, 2024 • 

Alexander Pavlov

3

August 2024

Portfolio Optimization. Random Matrix Approach to Estimating Covariance Matrix

Attempting to filter noise from empirical correlation matrices.

Aug 29, 2024 • 

Alexander Pavlov

Portfolio Optimization with Weighted Mean and Covariance Estimators

Optimizing asset allocation with improved parameter estimates.

Aug 28, 2024 • 

Alexander Pavlov

Introduction to Portfolio Optimization and Modern Portfolio Theory

Portfolio optimization is an important area of quantitative finance.

Aug 26, 2024 • 

Alexander Pavlov

Modeling stock prices with ARMA model

In this article I will investigate the idea of using autoregressive-moving-average (ARMA) models to predict stock prices.

Aug 25, 2024 • 

Alexander Pavlov

Pairs trading with wavelet transform

Enhancing pairs selection and trading with wavelet-based techniques.

Aug 24, 2024 • 

Alexander Pavlov

Pairs trading with partial cointegration

This article is based on the paper ‘Pairs trading with partial cointegration’ (Clegg & Krauss, 2016). I am going to describe Partial Cointegration (PCI…

Aug 22, 2024 • 

Alexander Pavlov

Introduction to partial autoregressive (PAR) model

This article is based on the paper ‘Modeling Time Series with both Permanent and Transient Components using the Partially Autoregressive Model’ (Clegg…

Aug 21, 2024 • 

Alexander Pavlov

Pairs trading with cointegrated Logistic Mixture Autoregressive (LMAR) model

Integrating non-linear dynamics into statistical arbitrage strategies.

Aug 19, 2024 • 

Alexander Pavlov