September 8, 2025
Time Series Forecasting Part 2: ARIMA vs SARIMA vs Holt-Winters on Stationary Data
Evaluating ARIMA, SARIMA and Holt-Winter models on stationary data.
September 6, 2025
Time Series Forecasting Part 1: Is Your Data Stationary? A Simple Test That Determines Model Success
The ADF test provides a simple, statistical method to identify whether your data exhibits stationary or non-stationary behavior.
August 31, 2025
HP Filter Parameter Selection: Evaluating Lambda
An evaluation of the key hyperparameter for HP Filter trend and cycling: Lambda.
August 19, 2025
Put-Call Parity: Synthetic Positions for Building Protected Investment Strategies
This analysis demonstrates how put-call parity creates equivalent portfolio protection strategies through different instrument combinations.
August 13, 2025
Monte Carlo Simulation with VaR
A practical demonstration of Monte Carlo simulation for calculating Value-at-Risk (VaR) using S&P 500 data, including model validation and limitations analysis.
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