In this post I develop a betting strategy for the popular card game Acey Deucey. Favourable situations where the player has a positive expe...

The goal of a classical statistical arbitrage strategy is to extract returns by holding combinations of instruments that follow a mean rever...

Although unlikely to gain a competitive advantage in standard form, the fact that the Naive Bayes  classification algorithm is relatively s...

The prices of crude oil, gasoline, and heating oil are highly correlated for obvious reasons. In this post I present an estimate of the pa...

I implemented a high frequency volatility estimator that takes one second snapshots of the midpoint as input. The following figure shows min...

As a future contract approaches the expiration date, open interest rolls to the back month and volumes in the front month dwindle. Traders h...

Each week (usually Wednesdays) the U.S. Energy Information Administration  publish the number of barrels of crude oil held in inventory by c...