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.
12,303 documents
This introduction explains why financial prices are modeled as stochastic processes rather than deterministic functions. It reviews the calculus chain rule, distinguishes deterministic and random processes, and introduces Brownian motion through the analogy…
The article explains why implied volatility can vary across option strike prices instead of remaining flat as in the Black-Scholes-Merton model. It attributes the smile partly to real asset returns having more extreme moves than a lognormal model predicts,…
This project describes a long-only strategy that seeks to capture overnight price gaps in Indian equities. It enters at the close after a session with a larger true range than the previous session, a positive close-to-open move, and a daily change within a…
The article introduces Bitcoin’s public blockchain, mining, capped issuance, and wallet transactions, then connects these features to ransomware payments and Bitcoin’s appeal as a tradable asset. It frames price as primarily demand-driven and names…
The article explains the triple-barrier method as a way to create supervised learning labels using an upper profit-taking threshold, a lower stop threshold, and a time limit. It frames these barriers as a risk-aware alternative to fixed thresholds and…
The document explains how to use a spreadsheet model to price calls and puts with the Black–Scholes formulas and chart the payoff of a portfolio across underlying prices. Users enter each option’s expiry, type, strike, premium, contract count, volatility,…
This article introduces seven indicators commonly used in chart analysis and describes what each measures: moving averages smooth price changes; Bollinger Bands reflect volatility around a moving average; RSI and MFI assess momentum and possible overbought…
The article explains Value at Risk (VaR) as a loss threshold for a portfolio over a specified horizon and confidence level. It distinguishes losses measured relative to the expected value from absolute losses, then describes historical or non-parametric…
This overview explains why intraday options trading differs from trading the underlying asset: premiums respond to price, implied volatility, and time decay, while liquidity varies across strikes and expirations. It introduces delta, gamma, implied…
Bollinger Bands pair a simple moving average with upper and lower envelopes set at a chosen number of standard deviations from that average. The guide explains how look-back periods and deviation settings shape the bands, and how band width can track…
The article explains Itô’s lemma as the stochastic counterpart to the ordinary chain rule and applies it to a stock price modeled by geometric Brownian motion. It derives the dynamics of log price, showing how the drift is adjusted by half the variance, and…
This overview explains how different crises can affect markets and industries in different ways. It distinguishes natural disasters, technological failures, rumors, and man-made events, and reviews historical episodes in which markets fell sharply before…
This article explains a long butterfly spread as a defined-risk options position for an underlying expected to remain near a target price at expiration. The call version combines one lower-strike long call, two short calls at a middle strike, and one…
The document explains how to size positions so instruments with different price volatility make more balanced contributions to portfolio risk. It first distinguishes account capital from notional exposure, including how margin and contract multipliers can…
This article explains the stochastic oscillator as a momentum measure comparing the latest close with a recent high-low range. It describes %K and its moving-average signal line %D, along with fast, slow, and full variants that differ in smoothing or…
This compiled overview summarizes webinars on machine learning, factor investing, algorithmic day trading, language models, options, volatility, medium-frequency trading, and alternative data. It outlines topics rather than teaching one complete strategy, so…
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…
The article introduces the Gaussian, or normal, distribution through its mean, variance, symmetry, and probability density function. It connects the distribution to financial modeling, describing Bachelier’s random-walk view of price changes and the use of…
The article explains how ARTFIMA extends ARFIMA with a tempering parameter that controls how quickly long-memory effects decay, allowing a model to represent both short- and long-term dependence. It outlines the roles of the autoregressive and moving-average…
This article explains how minimum spanning trees (MSTs) represent relationships among assets using a connected graph with minimal total edge weight. It describes visualizing trees with industry colors and market-cap node sizes, and reviews measures such as…
This analysis asks whether futures with more negative return skew earn higher returns, both across assets and when skew changes over time. It estimates skew from percentage returns after filtering extreme volatility-normalized observations, then uses…
This article describes a MetaTrader 5 expert advisor that presents several market analyses through a button-driven panel. The listed views cover recent highs and lows, volume, trend, volatility, moving averages, and support and resistance. The interface is…
The article presents ways to use Average True Range (ATR) in an MQL5 Expert Advisor. One signal looks for ATR and price to rise or fall across successive bars, treating aligned increases in range and direction as a volatility breakout. Another approach uses…
The article develops a mathematical approach to choosing order spacing and volumes in a grid strategy. It starts with one open position and a pending order, deriving the combined breakeven price and relating target profit, position size, volume increments,…