Ethan Johnson-Skinner, MSc – Medium

Ethan Johnson-Skinner, MSc

Ethan Johnson-Skinner, MSc
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

6 min readOct 19, 2022

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

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Ethan Johnson-Skinner, MSc
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…

6 min readOct 10, 2022

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

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Ethan Johnson-Skinner, MSc
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…

8 min readSep 30, 2022

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

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Ethan Johnson-Skinner, MSc
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…

11 min readJan 3, 2022

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Mathematical Guide to Modelling the Distribution of Asset Returns

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Ethan Johnson-Skinner, MSc
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

10 min readDec 1, 2021

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Creating and Implementing a Pairs Trading Strategy from scratch

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Ethan Johnson-Skinner, MSc
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…

12 min readNov 23, 2021

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Comprehensive Guide to Modelling the Volatility of Top Cryptocurrency Coins

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Ethan Johnson-Skinner, MSc
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…

8 min readNov 16, 2021

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

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Ethan Johnson-Skinner, MSc
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.

7 min readOct 5, 2021

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Using the Hidden Markov Model to Classify the S&P500

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Ethan Johnson-Skinner, MSc
in
Towards Data Science

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…

10 min readSep 9, 2021

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Can LSTM be used to Forecast the Number of Sunspots?

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Ethan Johnson-Skinner, MSc

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.

11 min readAug 25, 2021

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Predicting S&P500 volatility to classify the market in Python

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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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