FX Skew ~ PART I

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

Pattern Recognition with Neural Network in Excel (a toy example)

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)

Artificial Neural Network with Backpropagation Training in VBA

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

Historical Analogs/ Time Series Clustering in Excel

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