Category Economics

Correlation Analysis of Cryptocurrencies

Cryptocurrency market behavior is being written and talked about by many. From what I’ve seen thus far, the analyses are mostly speculative with biased suggestions which trends will emerge. What is missing is data and statistics to validate these claims, so I propose a data driven analysis. I do not claim to be a cryptocurrency […]

Internet of Money

“The future is here, but not evenly distributed.” William Gibson Bitcoin and blockchain are somewhat of buzzwords, and have been for the last 5 years. A lot of people hold a little bit of Bitcoin, so everyone has a financial incentive and people get emotional about the evolving structural design of this nascent cryptocurrency. I […]

Global Yield Curves

It’s been over a year since I last plotted the yield curve and a lot has happened since then. I updated the code slightly to convey a clearer visual. As expected, short-term rates have risen, as shown on the chart below. We know that the yield curve is, inherently, a forecast for what the economy holds […]

Simulating the Market

I’ve had a lot of friends and family approach me, asking for investment advice. After building and approaching markets in systematic trading programs for some time, I didn’t have the type of instantaneous hot stock tips I’d feel comfortable giving to a close friend or family member; rather I had market trends, sector correlations and trading strategies. […]

The Yield Curve

The yield curve is one of the paramount statistics for investors and policy makers to consider, yet as true with many things, it doesn’t mean all that much to me unless I can visualize it in a compelling format. First, I gathered 15 years of daily treasury data for short-term and long-term government bills to […]