Christian Contino

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  • Basic Futures Moving Average Trend Strategy in Python

    Basic Futures Moving Average Trend Strategy in Python

    We are going to code up a simple moving average trend strategy based on the excellent book by Andreas Clenow, “Following the Trend” . Clenow does not provide any code directly, but he is clear enough and the strategy simple enough that it can be coded up in Python pretty quickly.

    January 9, 2018
  • Structural Breaks in Volatility

    Structural Breaks in Volatility

    This was my third PhD project, and it took far less time than my first project, as I had already learned much of the coding and theory, so it was a matter of reading papers on the subject, while trying to find something no one else had done before.  

    April 5, 2016
  • Realised Volatility Copula

    Realised Volatility Copula

    This was my second PhD project, and it took far less time than my first project, as I had already learned much of the coding and theory, so it was a matter of reading papers on the subject, while trying to find something no one else had done before.

    April 10, 2015
  • Bayesian Quantile Forecasting Using Realised Volatility

    Bayesian Quantile Forecasting Using Realised Volatility

    This was my first project when I started my PhD in March 2013. I took me close to a year to complete and put it into a paper.

    March 5, 2014

Christian Contino

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