Efficient Frontier made on Streamlit App

The efficient frontier is one of the earliest portfolio management models, and brings in the idea of portfolio optimization. It is used to optimize portfolios by offering the highest expected return for a set level of risk, or in other scenarios a lower risk for a set level of return.

It also one of the first “quant” programming projects that are undertaken by people who want to get into the field so I feel like its a rite of passage to write about this topic. The model is relatively simple in programming terms but it is a bit harder to…


US Dollar Forward Rate under multiple tenors (created using Bloomberg Terminal)

Introduction:

The goal of this is to outline some of the mathematical concepts that are used in fixed income models. Future articles will cover topics such as the Heath-Jarrow-Morton (HJM) model, LIBOR market model, and other short rate models. You can also find the accompanying whitepaper for this math at either of the links (LinkedIn, GitHub).

Definitions:

Throughout this paper there will be a series of different interest rate terms being thrown around. For ease of use and to avoid confusion the terms will be defined below.

  • coupon — when a bond is issued it has coupons that are interest payments, they…

example of an orderbook (source: Kjerish)

The year of 2021 will be one filled with market anomalies, but the one that took the market by surprise was the Gamestop short squeeze that was driven by a rally to take on short sellers from the WallStreetBets subreddit. Although short squeezes may seem simple, they are a bit complex when you look under the hood. This publication is meant to graphically show how short squeezes happen as well providing the mechanics on why they occur.

This article also generalizes aspects of longs, shorts, orderbook analysis, and price discovery. The processes behind these phenomenas and positions are much more…


Order flow example with payment for order flow (PFOF)

Payment for order flow has gone from a term that was glossed over in a standard user agreements to the most debated topic in retail trading. There are a lot of misconceptions about how this transaction works, and the topic is quite polarizing depending on your perspective. This article will try to provide the market of payment for order flow transaction with as little bias as possible. There are ultimately benefits and drawbacks for implementing payment for order flow.

This article also generalizes aspects of market-making and market microstructure, the processes behind these transactions are much more complex then how…


example of 2Y breakeven rate

This post provides a quick look at a forward-looking economic indicator that isn’t often talked about in common financial news outlet but one that’s predicting a quicker rise in inflation than what the federal reserve is anticipating. As a market-driven curve, the fed would be wise to heed the market’s collective judgement by acting sooner rather than later to tame inflation to the fed’s 2 percentage point comfort zone. On the other hand the federal reserve could change their comfort zone by breaking their standard of keeping inflation below 2%.

But before we start, just a quick disclaimer on how…


On October 10th in The Economist, Buttonwood a prominent financial writer talked about the possibility of a merger between asset managers Janus Henderson and Invesco. There was a sign that there could be a possible merger because activist investor Nelson Peltz of Trian Partners had built up a sizable position in both of the companies. We will go over finding the position that Trian Partners had in both companies. At the time of this publication there has been more news relating to this possible deal. On November 20th, the CEO of Invesco said that Trian Partners would not pursue a…


On February 10th, 2021 some people on financial social media community, particularly Twitter started to notice an usual amount of activity on TSLA put options. On February 10th there were around 276,000 Tesla put options with a strike of $20 with an expiration of March 19th. That was an unusual amount and worth looking into. This article will go into finding those options on Bloomberg Terminal.

Some of the statements listed below generalize the idea about options. The statements are accurate, but they may give the idea that options can be simplified while they are very complex financial products. …

Diego Alvarez

CU Boulder undergraduate studying math. Interested in machine learning, algorithmic trading, and cyber security. @dial0663

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