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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.
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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.
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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.
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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.