The Hierarchy of Objective Functions for Traders

The Hierarchy of Objective Functions for Traders

Understanding what solutions are possible and how they behave

What does an analytic solution for asset allocation with the Laplace Distribution teach us?

What does an analytic solution for asset allocation with the Laplace Distribution teach us?

And why is it important?

Financial Data is Non-Stationary. What does that mean and what can we do?

Financial Data is Non-Stationary. What does that mean and what can we do?

One of the themes threaded through my book, Adventures in Financial Data Science, is a search for properties of financial data that are…

Bayesian or Frequentist? What happens when we go to the races?

Bayesian or Frequentist? What happens when we go to the races?

One topic that generally draws vocal commentary on social media or, at least, the kind of social media I read, is regarding what is the…

What are the Laws of Information for Traders and How do they Affect Trading Strategy Design?

What are the Laws of Information for Traders and How do they Affect Trading Strategy Design?

The goal of the mathematical analysis of trading strategy is to discover a policy function. This is a formula, algorithm, or recipe, that…