by AdamHGrimes | Aug 11, 2017 | Market Math
We’ve had a very large decline in stocks this week. Depending on what index you use and how you measure, it’s the biggest or one of the biggest in the past few years. The world is also tense with geopolitical concerns: economic numbers from major economies...
by AdamHGrimes | Feb 10, 2017 | Market Math, Quantitative analysis
This post will be a bit more technical than most, but it’s an important subject to understand. Today, let’s talk about rolling and back-adjusting futures prices: why we did it. How we do it, and what it means when we look at historical charts. Futures pricing First, a...
by AdamHGrimes | Sep 12, 2016 | Market Math, Volatility
I ran a quick study this morning to look at what happens to stock market volatility following large single day volatile events. Note that we are looking at market volatility here, not direction, because the directional message is simpler and clear: historically, large...
by AdamHGrimes | Sep 8, 2016 | General Comments, Market Math
This will be the last post in a short series in which we have looked at ways to quantify and to understand a trading edge. This series was motivated by a reader’s question, so here’s Anthony’s question again: First, I was messing with the SPY up/down...
by AdamHGrimes | Aug 30, 2016 | Market Math
Yesterday I wrote a post that looked at asset returns and how to compound them. That post was in response to a reader’s (Anthony’s) question, and I want to continue answering more of the question today. Here’s the question in its entirety, with the...
by AdamHGrimes | Aug 29, 2016 | Market Math
One of my readers, Anthony, sent me a good question about doing some statistical analysis on stock indexes. I think there are some important lessons here. Here’s the question First, I was messing with the SPY up/down N-days and the returns N-days after. It was...
