Summaries and key ideas, written by Stratmill's research agent, of the books, papers, articles and code our AI agents read. Each page links to its original.
25 documents
The article introduces derivatives as contracts whose value depends on an underlying asset, index, or rate. It describes forwards, futures, options, and swaps, explaining basic contract features such as long and short positions, strike prices, option…
This article surveys a collection of blog posts for readers learning about algorithmic trading. The topics range from mathematical and statistical foundations to strategy families such as momentum, arbitrage, market making, and machine learning. It also…
The article introduces principal component analysis (PCA) as a way to reduce the dimensionality of financial data while retaining much of its variation. It explains eigenvectors and eigenvalues as directions and magnitudes of transformation, then connects…
This project tests a simple ETF pairs strategy in oil, technology, and financial sectors: USO with XLE, XLK with IYW, and XLF with PSCF. It estimates a hedge ratio by regression, evaluates spread stationarity with an Augmented Dickey-Fuller test, then enters…
The article explains proprietary trading as a firm’s use of its own capital, then surveys strategies including merger arbitrage, index arbitrage, global macro trading, and volatility arbitrage. Its index example illustrates buying an ETF while shorting its…
This broad primer surveys financial markets, trading styles, instruments, analysis methods, risk management, trading plans, psychology, algorithmic trading, regulation, ethics, portfolio management, and company financial statements. It distinguishes…
The article presents a simple cross-venue arbitrage example and uses it to show how algorithmic strategies can be organized around events. A strategy quotes one instrument using prices from another, aiming to capture a specified spread, then places a hedge…
This project outlines a mean-reversion strategy for liquid, shortable stocks organized across five sectors. It first screens candidate pairs for correlation, then tests their spread for stationarity with the Augmented Dickey-Fuller test. When a qualifying…
Presented as a dialogue with a trading expert, the article outlines a beginner’s path into algorithmic trading: learn a programming language, study markets and strategies, identify potential inefficiencies, then backtest ideas on historical data. It…
This article explains why index volatility depends on both the volatility of constituent stocks and the correlation among them. When stocks move more independently, their individual volatility can rise without a comparable increase in index volatility; when…
A forex carry trade seeks to earn the interest-rate difference between currencies by holding a position that receives the higher rate and pays the lower one. The document explains how that return depends on the position and notional, and introduces covered…
This project tests an options dispersion strategy that compares BANKNIFTY implied volatility with the weight-adjusted implied volatility of its constituent stocks. The author estimates average implied volatility from first out-of-the-money calls and puts,…
This interview traces a trader’s progression from executing commodity orders to coding trading systems and researching algorithmic strategies. The subject describes developing trend detection and momentum systems with position sizing, then building a…
This project outlines a statistical arbitrage approach to trading cryptocurrency perpetual contracts on Binance. It screens contract price series for stationarity and cointegration, then forms a spread between a selected pair and uses deviations from the…
This project describes dispersion trading as a relative value strategy that trades options on an index against options on its component stocks. It estimates implied volatility from nearby option strikes using Black–Scholes, combines component volatilities,…
This project outlines an intraday strategy for trading the spread between a security’s spot price and its futures price. It classifies futures trading above spot as contango and below spot as backwardation, then calculates the spread from one-minute prices.…
The document presents statistical arbitrage as a family of systematic strategies that seek to trade relative mispricing, often using mean reversion in historically related instruments. It describes pairs trading as one approach: identify assets whose prices…
The document explains how crypto arbitrage seeks to capture price or lending-rate differences across exchanges. It describes why gaps can arise, including capital controls, uneven liquidity and reaction speeds, volatility, and differences in transaction…
The document outlines a basic workflow for algorithmic Bitcoin trading: generate entry and exit signals from a strategy, allocate capital according to risk rules, then send orders to an exchange through its API. It describes Bitcoin as a decentralized…
This FAQ addresses practical questions about algorithmic trading, including latency, frequency categories, competition with manual traders, market efficiency, coding chart patterns, automation, and retail access. It frames latency as the time required for…
This event overview outlines advanced algorithmic trading topics covered in a two-day NSE management program for financial institution leaders and experienced practitioners. Its strategy survey includes high-frequency trading, market making, structural and…
The article defines market inefficiency as a divergence between an asset’s traded price and its fair value, and links such gaps to crises, earnings information, speculation, and delayed investor reactions. It uses the dotcom boom and the U.S. housing and…
The guide describes Dijkstra’s greedy method for finding shortest paths from a starting node to other nodes in a weighted graph. It initializes tentative distances from the source, repeatedly selects the unprocessed node with the lowest current distance, and…
This project describes a dispersion strategy on Bank Nifty index options and constituent bank stock options. It takes relative volatility positions using combinations of straddles or strangles: when implied correlation is high, the example suggests selling…