A Random Forest Test For Jumps in Stock Markets Using R

In the previous article we looked at how one can use Neural Networks to detect jumps present in returns of a particular stock. In this blog post, we build on the thinking established in the previous article and use a Continue reading A Random Forest Test For Jumps in Stock Markets Using R

An Interactive Dynamic Delta Hedging Example in R

Delta hedging is a technique used by trades to reduce the directional risk of a position. This delta hedging strategy results in the reduction of the variability of the profit and loss (pnl) of the position. A position that is Continue reading An Interactive Dynamic Delta Hedging Example in R

A Test for the Presence of Jumps in Financial Markets using Neural Networks in R

Modelling of financial markets is usually undertaken using stochastic processes. Stochastic processes are collection of random variables indexed, for our purposes, by time. Examples of stochastic processes used in finance include GBM, OU, Heston Model and Jump Diffusion processes.  For Continue reading A Test for the Presence of Jumps in Financial Markets using Neural Networks in R