Author: Michelle Lin

AI, Quantitative Analysis and Data Science Solutions for Finance and Manufacturing.

Plotting Volatility Surface for Options

by Mary Lin, Tom Starke and Michelle Lin This blog post is a revised edition of Tom’s original blog post with a newer data set. More information, source code & inspiration can be found here. Code for this blog post is in our Github repository. Options are complex instruments with many moving parts. Specifically, options are contracts…
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January 4, 2018 0

Kdb+ vs. Python

What is kdb+? Kdb+ is a powerful column based time series database. It is commonly used in investment banks and hedge funds around the world for extremely fast time series analysis. Kdb+ uses vector language Q, which itself was built for speed and expressiveness. Q commands can be entered straight into the console, as compilation…
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October 12, 2017 0

Deep Learning for Trading: LSTM Basics for Pairs Trading

We will explore Long Short-Term Memory Networks (LSTM networks) because this deep learning technique can be helpful in sequential data such as time series. As its name suggests, it can ‘remember’ previous observations, which wouldn’t be so necessary in non-sequential data, but especially helpful for time series data like the financial markets. This is the…
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August 27, 2017 2