Ethan Johnson-Skinner, MSc – Medium

Ethan Johnson-Skinner, MSc

Published in
DataDrivenInvestor

Creating a New Stochastic Volatility Model from Scratch (Part 3 of 3)

Creation of a new stochastic volatility model for volatility clustering using Bitcoin Price data

Oct 19, 2022

Creating a New Stochastic Volatility Model from Scratch (Part 3 of 3)

Oct 19, 2022

Published in
DataDrivenInvestor

Creating a New Stochastic Volatility Model from Scratch (Part 2 of 3)

Introduction to stochastic volatility models (Heston) and the creation of a new stochastic volatility model for volatility clustering using…

Oct 10, 2022

Creating a New Stochastic Volatility Model from Scratch (Part 2 of 3)

Oct 10, 2022

Published in
DataDrivenInvestor

Creating a New Stochastic Volatility Model from Scratch (Part 1 of 3)

Introduction to stochastic volatility models (GARCH) and the creation of a new stochastic volatility model for volatility clustering using…

Sep 30, 2022

Creating a New Stochastic Volatility Model from Scratch (Part 1 of 3)

Sep 30, 2022

Published in
DataDrivenInvestor

Mathematical Guide to Modelling the Distribution of Asset Returns

I will be introducing how to model the distribution of the S&P500 returns. I will be exploring the parameterized models normal, student-t…

Jan 3, 2022

Mathematical Guide to Modelling the Distribution of Asset Returns

Jan 3, 2022

Published in
DataDrivenInvestor

Creating and Implementing a Pairs Trading Strategy from scratch

I introduce the mathematics involved for a pairs strategy and using python I will demonstrate how to implement it

Dec 1, 2021

Creating and Implementing a Pairs Trading Strategy from scratch

Dec 1, 2021

Published in
DataDrivenInvestor

Comprehensive Guide to Modelling the Volatility of Top Cryptocurrency Coins

I will be using a new Data Driven Exponentially Weighted Moving Average along with the ARCH & GARCH models to predict the forward…

Nov 23, 2021

Comprehensive Guide to Modelling the Volatility of Top Cryptocurrency Coins

Nov 23, 2021

Published in
DataDrivenInvestor

Using an unsupervised machine learning algorithm to detect different stock market regimes

The Gaussian Mixture model (GMM) will be used to detect different moods in the stock market. The GMM model will be applied twice: first…

Nov 16, 2021

Using an unsupervised machine learning algorithm to detect different stock market regimes

Nov 16, 2021

Published in
DataDrivenInvestor

Using the Hidden Markov Model to Classify the S&P500

I will be using a HMM to classify the market into three volatility regimes.

Oct 5, 2021

Using the Hidden Markov Model to Classify the S&P500

Oct 5, 2021

Published in
TDS Archive

Can LSTM be used to Forecast the Number of Sunspots?

I will be predicting the number of monthly Sunspots using time series analysis. The models that will be explored in-depth are the ARMA and…

Sep 9, 2021

Can LSTM be used to Forecast the Number of Sunspots?

Sep 9, 2021

Predicting S&P500 volatility to classify the market in Python

I will model the volatility of the S&P500 to classify the market into three different segments to enhance algorithmic trading strategies.

Aug 25, 2021

Predicting S&P500 volatility to classify the market in Python

Aug 25, 2021

Ethan Johnson-Skinner, MSc

Ethan Johnson-Skinner, MSc

MSc of Applied Mathematics specializing in statistics | Machine Learning | Data science | Algorithmic Trading | Time series forecasting | Data-Driven Investing

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