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.
24 documents
This recap of an Amberdata and Blockworks webinar discusses institutional participation in Bitcoin markets, with attention to derivatives, market structure, and the possible effects of a spot exchange-traded fund. It frames Bitcoin's 2023 performance and…
This research proposes treating convertible bonds differently according to whether they are bond-like, balanced, or equity-like, classified by the premium of parity value over bond value. It explains a valuation decomposition in which a bond floor or…
This stock selection note combines three conditions: a stated price amplitude threshold, a nonempty name for an outstanding convertible bond, and a bullish MACD crossover in which DIFF moves above DEA. The proposed rationale is to combine price movement,…
This introduction explains a one-period binomial model for a call option. The underlying asset starts at 100 and can move to either 110 or 90 by the next day; with a strike of 100 and interest rates set to zero, the call pays 10 in the up state and nothing…
This example shows a live data actor subscribing to a slice of Bitcoin options on Deribit. At startup, it filters cached instruments to find unexpired options, selects the nearest expiry, prefers BTC settlement when available, and constructs a series…
This Chinese stock-selection rule combines a daily high-low range greater than 1%, a reversal or engulfing-style candle condition, and the presence of an outstanding convertible bond name. The document presents these as a way to find reversal candidates…
This article revisits volatility in option pricing, focusing on the constant-volatility assumption in Black–Scholes. It considers time-varying stochastic volatility, represents log volatility through a mean-reverting process, and motivates using a rougher…
This document outlines a stock screen using RSI below 65, bid-side displayed volume greater than ask-side volume, and a nonempty name for an outstanding convertible bond. It interprets the RSI threshold as a way to avoid an overbought reading, the volume…
This review compares passive and active approaches to protecting U.S. equity portfolios during severe drawdowns and recessions. Its sample covers 1985–2018, including eight equity declines greater than 15% and three U.S. recessions. It discusses rolling S&P…
The document explains market making as continuously quoting buy and sell prices and trading against customer orders to provide immediacy and liquidity. A simple futures example illustrates spread capture when both sides fill, while showing that an adverse…
This article explains how to build an options strategy with VeighNa’s template-based OptionStrategy module and evaluate it with historical data. Its example sells one at-the-money call and one at-the-money put on the current month’s China Financial Futures…
This note describes a narrow Chinese stock screen for metaverse-related companies that had at least one limit-up event within the previous 25 days and have an outstanding convertible bond. It frames the combination as a way to identify possible stock-price…
This documentation overview maps backtesting data sources to asset classes, bar intervals, and setup requirements in LumiBot. It suggests Yahoo for uncomplicated daily stock and ETF tests, ThetaData for intraday stock or options history, Polygon for several…
The document introduces Lévy processes as a way to model asset-price behavior with jumps and distributions that can have heavier tails than a normal model. It describes a price process combining drift, Brownian motion, and a Lévy component, then outlines…
The document introduces European call and put options, defining their right to buy or sell an underlying asset at a strike price on a fixed expiry date. It frames fair option valuation through a market containing a risk-free asset, the underlying stock, and…
This tutorial introduces finite difference methods for approximating derivatives in a parabolic partial differential equation, using the heat equation as its example. It motivates the approach for quantitative finance by noting that the Black-Scholes…
This document outlines the risk-neutral argument behind the Black–Scholes partial differential equation for a European option. It starts with a stochastic model of a stock price and applies Itô’s lemma to describe how an option’s value changes with the…
These reading notes survey quantitative investing methods across stock selection, market timing, futures and options arbitrage, statistical arbitrage, algorithmic execution, and asset allocation. They outline factor selection, style and sector rotation,…
These notes introduce derivatives as contracts whose value depends on an underlying asset or other variable, then distinguish exchange-traded markets from over-the-counter trading. They outline forwards, options, futures, and swaps, explaining basic contract…
This stock screen selects shares with an amplitude above 1, ranks them by the day’s auction amount, and keeps the top five if the company has an outstanding convertible bond. The document interprets the bond condition as a way to include financing…
This explanation derives a call option’s no-arbitrage value by constructing a hedge in a one-period, two-state stock model. The stock is assumed to be worth 100 today and either 110 or 90 at expiration, while a call with a strike of 100 pays 10 in the up…
This essay explains how expected value, expected utility, and prospect theory can lead people to make different choices under uncertainty. A button example contrasts a guaranteed smaller payoff with a larger payoff available at a lower probability. It then…
This market recap reviews Bitcoin and Ether options through realized and implied volatility, term structure, skew, option flows, and dealer gamma. It reports that short-dated implied volatility fell, while term structures moved back toward contango. Bitcoin…
This reference explains how a crypto option instrument is represented, including its underlying asset, put-or-call type, strike, activation and expiration times, quote and settlement currencies, and contract sizing. It catalogs required and optional fields…