Jekyll2017-06-04T06:42:12+00:00https://watertruth.github.io/Financial analyst, IT aficionado, Go player2017-04-09T00:00:00+00:002017-04-09T00:00:00+00:00https://watertruth.github.io/Volatility%20Surface%20Modelling%20and%20Option%20Pricing<p>One of the keys for option price calculation is modelling the implied volatility. Below, there is a demonstration of an implied volatility surface. There are 3 axes: moneyness, time to maturity, and implied volatility (z axis). <img src="https://github.com/watertruth/assets/blob/master/implied%20volatility%20surface%20demonstration.png?raw=true" alt="" /></p> <p>We are calculating the option price in the future. To accomplish this, we need to predict the implied volatility.</p> <p>Step1:get historical implied volatility: <img src="https://github.com/watertruth/assets/blob/master/exxon%20mobil.gif?raw=true" alt="" /></p> <p>Step2:use ARIMA model to predict implied volatility in the future.</p>

One of the keys for option price calculation is modelling the implied volatility. Below, there is a demonstration of an implied volatility surface. There are 3 axes: moneyness, time to maturity, and implied volatility (z axis).

2017-04-08T00:00:00+00:002017-04-08T00:00:00+00:00https://watertruth.github.io/Herding%20in%20the%20stock%20market<p><img src="https://raw.githubusercontent.com/watertruth/assets/master/Herd.jpg" alt="" /></p> <p>Above: an illustration of herding in nature. Animals moving towards the same direction. Chinese stock market exhibits a higher degree of herding effect than advanced markets. In Chinese stock market, the majority of the participants are individual traders rather than institutions.</p> <p>So, how does the herding phenomenon affect the stock market? We need an intuitive explaination. The stock market consist of companies of different nature. Aerospace and defense industry, electric and electronics industry, cyclical and non-cyclical consumer goods and service, etc. If one takes a look at these industries, normally during a single trading day, some of the sectors gains, some loses.</p> <p>However, during the 2008 crisis, suddenly all the index, all the industries falled rapidly. The difference diminished. That is exactly the frame of time that we are going to research on.</p> <p>The model:CSAD model. The data: Daily data from Shanghai Stock Exchange and Shenzhen Stock Exchange, 2007-2008</p> <p><img src="https://raw.githubusercontent.com/watertruth/assets/master/CSAD-Rmt.png" alt="" /></p>

2017-04-07T00:00:00+00:002017-04-07T00:00:00+00:00https://watertruth.github.io/Geopolitics<p>I really like studying geopolitics. <img src="https://github.com/watertruth/assets/blob/master/Geography%20of%20the%20US.jpg?raw=true" alt="" /> Although New York and California are the two most prosperous states in the US, it is the vast mid-west that forms the core of the country. The greater mississippi river system, lays the algricultural foundation of US. The desert to the southwest provides a natural barrier and buffer zone for the country, guarding it from potential invasions.</p>

I really like studying geopolitics. Although New York and California are the two most prosperous states in the US, it is the vast mid-west that forms the core of the country. The greater mississippi river system, lays the algricultural foundation of US. The desert to the southwest provides a natural barrier and buffer zone for the country, guarding it from potential invasions.

2017-04-06T00:00:00+00:002017-04-06T00:00:00+00:00https://watertruth.github.io/Utilizing_Github_sites<p>Github sites is really a welfare for everyone. It is free, and rather easy to operate. Now, my site is still under construction, but soon enough more features and contents will come out. Stay tuned!</p>

Github sites is really a welfare for everyone. It is free, and rather easy to operate. Now, my site is still under construction, but soon enough more features and contents will come out. Stay tuned!