Perpetuity refers to an infinite amount of time (). In finance, perpetuity is a constant stream of identical cash flows, (), with no end.
Deriving The Perpetuity Formula
Find Cointegrating Pairs To Trade
In this research I am going to search for cointegrating security pairs that can potentially be used in a pair trading strategy. I am going to fetch the data from the NASDAQ official web site.
Warren Buffett’s Intrinsic Value Calculator
In this post I will summarize how one can compute the intrinsic value of a company according to the below quote from Warren Buffet: “Intrinsic value can be defined simply: It is the discounted value of the cash that can be taken out of a business during its remaining life.”
How to Compute the Compound Annual Growth Rate
We know that the compound annual growth rate (CAGR) is the mean annual growth rate of an investment over a specified period of time longer than one year.
Solve for Number of Periods – PV & FV
Often times when you read something like “Annual increases at a 10% rate would lead to the doubling of prices every seven years“, you might be wondering how one would go about calculating the length of time required for a single cash flow(present value) to reach a certain amount(future value) based on the given rate.
Why Use Logarithmic Returns In Time Series Modelling
Yield To Maturity calculation using a Python script
When interested in buying bonds a term that often comes up is the definition of Yield To Maturity (YTM).
Pair Trading S1 and S2
This is a generic Notebook, similar to the one Pair Trading GLD and GDX, where I am going to pair trade two securities. The backtesting also includes broker fees. All I have to do is adjust my input parameters such as ticker symbols and dates. The algorithm then fetches the 10 year historical price data […]
Pair Trading GLD and GDX
When the correlation between the two securities temporarily weakens, i.e. one stock moves up while the other moves down, the pairs trade would be to short the outperforming stock and to long the underperforming one, betting that the “spread” between the two would eventually converge. The divergence within a pair can be caused by temporary […]
Testing for Cointegration of GLD and GDX for use in a Pair Trading Strategy
In this research I am going to test whether the price series of two securities GLD (Gold Price) and GDX (Gold Miners Equity ETF) are cointegrated. This is crucial if we want to develop a pair trading strategy around those two securities. I want to test if the spread between the two series is stationary […]