Today will be a quick post that is part of a series on FX volatility skew in G10. To do that we will have a look at implied versus realised skew. To decompose realised and implied skew we will use the following definitions. Implied Skew is the change in implied volatility that is priced into … More FX Skew ~ PART I
I am back after a two week trip to the land of twisted melodramatic tv series, androgynous boy bands, delicious food, and perennial jingoistic posturing by a divided people. I am obviously talking about Korea. Was such a pleasure to visit with family and bounce around Seoul. Now it’s time to catch up with the … More Akima Spline Interpolation in Excel
Today we wanted to add a short follow up on our previous post on artificial neural networks. The example which we gave of training an ANN on XOR function probably appears to be very trivial for the readers. Today we want to show another example that may highlight how neural networks can be used to … More Pattern Recognition with Neural Network in Excel (a toy example)
In this post we will discuss a popular class of neural networks, Artificial Feedforward Neural Network (ANN) which consists of input data, one or more hidden layers consisting of processing units and an output layer which returns the value of an estimated target value. An example of a processing unit is shown below. The processing … More Artificial Neural Network with Backpropagation Training in VBA
In this post we would like to expand on previous PCA post and show you how to build a very useful tool for scenario analysis of a yield curve. The method presented is an implementation of the main results of a paper by Leonardo M. Nogueira “Updating the Yield Curve to Analyst’s Views”. The SSRN … More Principal Component Analysis in Excel ~ PART III
Today we wanted to show a quick and easy implementation of event analysis in excel. The literature on this topic is large with most of the research concentrating on the stock market. Event analysis research attempts to test for excess returns on stocks which announce stock split, surprise on their earnings announcement, or stock response … More Event Analysis in Excel/VBA
A very useful approach to analyzing price action of a particular security is to search historical instances where price exhibited similar behaviour. This type of analysis has often been called historical analogs by some writers. Below we will show a simple example that is easy to implement in excel. The aim is to select a … More Historical Analogs/ Time Series Clustering in Excel
