QuantWolf

Older Blog Posts

  • Coin Tosser
    Dec 29 2011

    For those occasions when you need to toss a coin, we've added a Coin Tosser.

  • Blog Post
    Dec 29 2011

    Getting Back to Zero II.

  • Blog Post
    Dec 23 2011

    Getting Back to Zero.

  • Binomial Distribution Calculator
    Dec 6 2011

    We've just put up a binomial distribution (coin toss) calculator.

  • Bond Default Probability Formulas
    Nov 22 2011

    We've made the formulas from our QuantWolf Guide to Calculating Bond Default Probabilities available for anyone to access. Just go to the page and click on the Table of Contents link or scroll down to the bottom of the page.

  • Blog Post
    Oct 26 2011

    Here's an interview we did with Emanuel Derman on his new book just released yesterday.

  • Coin Toss Runs Calculator
    Oct 25 2011

    We've just put up a coin toss runs calculator.

  • First 4 Chapters of 'Simple Trading Strategies That Work' Now Available for Free
    Oct 18 2011

    The first 4 chapters, as well as the 2 appendices, of our book Simple Trading Strategies That Work are now available for free. Just click on the table of contents of this book's web page.

  • Blog Post
    Sept 29 2011

    Ebook Upgrade: Simple Trading Strategies That Work.

  • Blog Post
    Aug 30 2011

    Interview with Konrad Hummler, Head of Oldest Swiss Private Bank.

  • Blog Post
    Aug 18 2011

    Report Upgrade: The QuantWolf Guide to Calculating Bond Default Probabilities.

  • Blog Post
    July 7 2011

    Book Review: My Life as a Quant.

  • New Ebook
    June 30 2011

    We've greatly expanded our report Simple Trading Strategies That Work and made it an ebook.

  • Blog Post
    June 3 2011

    Atomic and Economic Paradoxes

  • Blog Post
    May 29 2011

    Money Is Their God

  • Blog Post
    May 18 2011

    Funding a Trading Strategy

  • Improved ETF Trading System
    May 13 2011

    We've improved our ETF trading system, and changed the list of ETF's that we forecast.

  • New Report
    May 10 2011

    We've just finished a report on Simple Trading Strategies That Work.

  • Blog Post
    May 9 2011

    The Myth of Economic Miracles

  • Blog Post
    Mar 28 2011

    Winning Long-Term Depends on How Adaptable You Are

  • New Report
    Mar 24 2011

    We've just finished a report on The Mathematics of Lotteries.

  • Blog Post
    Feb 21 2011

    A Simple Introduction to Option Pricing

  • Blog Post
    Feb 9 2011

    Ideas So Dumb, Only an Economist Could Believe Them

  • Blog Post
    Feb 4 2011

    The Fed Balance Sheet and SPY

  • New Calculator
    Feb 3 2011

    Stock Price Probability Calculator - gives the risk neutral probability that a stock with the specified current price, and volatility, will be within the given price range at the specified date.

  • New Calculators
    Feb 2 2011

    Normal Random Variable Probability Calculator
    Lognormal Random Variable Probability Calculator

  • New Page on ETF Correlations
    Jan 28 2011

    We have a new page on ETF correlations.

  • Blog Post
    Jan 19 2011

    How the Fed Creates Money

  • New Calculator
    Jan 12 2011

    Calendar Day Count Calculator - counts the number of calendar days from the start date to the end date.

  • New Page on Stock Trading Hours
    Jan 6 2011

    We have a new page on stock trading hours.

  • Blog Post
    Dec 29 2010

    12 Metaphors for the Stock and Bond Markets

  • New Page on Quant Books
    Dec 27 2010

    We have a new page on quant books.

  • Blog Post
    Dec 17 2010

    What Makes the Stock Market Tick?

  • Blog Post
    Dec 16 2010

    Book Review: More Money Than God.

  • Blog Post
    Dec 14 2010

    Book Review: The Quants.

  • Blog Post
    Dec 13 2010

    The Maximum Price of a Bond.

  • New Calculator
    Dec 13 2010

    Implied Volatility Calculator - calculates the implied volatility in an option price using the Black-Scholes model.

  • Blog Post
    Dec 10 2010

    A Very Short Explanation of the Monty Hall Problem.

  • New Option Price Calculator
    Nov 30 2010

    We have a new option price calculator that will calculate prices for European style call and put options. The greeks are also calculated.

  • Blog Post
    Nov 11 2010

    Estimating Bond Default Probabilities.

  • Improved ETF forecast, free for now
    Nov 6 2010

    We have improved our daily ETF forecast, and it's free for now.

  • New Blog Post
    Oct 23 2010

    Hedging Dividend Paying Stocks.

  • New Blog
    Oct 8 2010

    Stefan and Richard have a new blog.

  • Daily ETF Forecast Newsletter Archive
    Feb 16 2010

    There is now an archive of the forecasts in our Daily ETF Forecast Newsletter. You can look at forecasts posted with a delay of about 1 day. The archive starts on Feb. 4, 2010.

  • Daily ETF Forecast Newsletter
    Nov 23 2009

    We are starting a daily ETF forecast newsletter.

  • Kelly system spreadsheet
    April 9 2009

    An OpenOffice spreadsheet for doing Kelly fraction calculations and simulations has been posted on our Kelly page.

  • New Kelly system home page and introduction
    Mar 7 2009

    We have a new Kelly system home page that has all our Kelly system links, including a new short introduction to the Kelly system for those who are completely unfamiliar with it.

  • Software for Bet Smart: The Kelly System for Gambling and Investing
    Jan 20 2009

    Software for our Bet Smart book can now be downloaded from the book's web page.

  • Errata list for Bet Smart: The Kelly System for Gambling and Investing
    Jan 9 2009

    Here is an errata list for our book Bet Smart: The Kelly System for Gambling and Investing.

  • Macroeconomic Portfolio Update
    Dec 15 2008

    We have updated our Macroeconomic Portfolio.

  • Our New Book is now Available in Several Countries
    Dec 12 2008

    Our new book Bet Smart: The Kelly System for Gambling and Investing is now available in Australia, Canada, Deutschland, Finland, Japan, the United Kingdom, and the United States.

  • Improved Bond Default Probability Calculator
    Nov 27 2008

    We have improved our bond default probability calculator.

  • Web Page for Our New Book
    Nov 18 2008

    Our new book Bet Smart: The Kelly System for Gambling and Investing has a new web page where you'll find the table of contents, the book's preface, and related info.

  • New Book Finished
    Nov 10 2008

    If you've wondered why we haven't posted anything here in awhile, it's because we've been working feverishly on our new book, Bet Smart: The Kelly System for Gambling and Investing. We've finally finished it, and it should be available at Amazon by the end of the month.

  • The Domestic Money Market
    Oct 9 2008

    Here are some interesting statistics on domestic money market securities. These are debt securities with remaining maturity up to one year.

    In March 2008 the dollar amount of outstanding securities by sector were as follows:

    Outstanding Money Market Securities, March 2008
    SectorUS Dollars [billions]% of total
    Financial3,676.465.5
    Government1,768.931.5
    Corporate163.83.0
    Total5,609.1100.0

    Source: Bank for International Settlements

    Financial institutions are by far the largest issuers of money market securities with 65.5% of the total in March 2008. Corporate paper makes up only 3% of the market. Much of the money represented by the financial paper no doubt went to hedge funds and/or into short term financing of assets that were to be sold. The problem is that highly leveraged hedge funds are now seen as too risky to lend to and markets no longer exist for some assets. With $3.676 trillion of this paper coming due in the next few months there will be problems if the money market remains frozen. I suspect some of the sell off in the stock market is due to hedge funds being forced to sell in order to pay off debt.

  • 1 Year Macroeconomic Portfolio
    Sept 24 2008

    How can you take advantage of current macroeconomic trends? Take a look at our 1 year macroeconomic portfolio.

  • Events of the Past Week - Consequences
    Sept 22 2008

    The events of the past week have made two things clear (or at least highly probable):

    • The US is in for a recession that will be deeper and longer than anyone imagined.
    • The dollar will become devalued and its days as the world's reserve currency are probably numbered.

    What will the devaluation of the dollar mean to the US?

    • Higher interest rates on everything from Treasuries to credit cards.
    • Higher commodity prices.
    • A decline in corporate profits.

    These are just a few of the many potential consequences.

    - Stefan Hollos

  • Aug 18 2008

    We have a new calculator for the Kelly fraction for two bets/investments.

  • Aug 8 2008

    Plotting for our calculators and simulators has been improved.

  • July 22 2008

    We've put up a calculator for the Kelly fraction of a single bet/investment with a bond.

  • July 18 2008

    We've added simulation and plotting features to our calculator for the Kelly fraction of a single bet/investment that can have any number of possible returns.

  • July 14 2008

    We've put up a calculator for the Kelly fraction of a single bet/investment that can have any number of possible returns.

  • July 3 2008

    We've put up a calculator for playing multiple coin toss bets simultaneously.

  • June 27 2008

    Our coin toss simulator for fixed fraction betting now plots its results.

  • June 16 2008

    Here's a list of stocks that have been severely battered over the past year.

  • June 10 2008

    We've put up a coin toss simulator for fixed fraction betting.

  • June 5 2008

    Stefan has written An Introduction to Bonds.

  • June 4 2008

    We've put up a calculator for the yield to maturity of a bond.

  • May 29 2008

    We've put up calculators for the maximum acceptable default probability for a risky bond, and the required yield on a risky bond given its default probability.

    We've also put up a Kelly fraction calculator for stock and bond investment.

  • May 20 2008

    We've put up a calculator for the Kelly fraction in a general binary bet.

  • May 2 2008

    As a very unusual application of the Kelly criterion, we have done an analysis of the Powerball lottery.

  • Apr 4 2008

    A rough draft of a chapter of a book we are writing, Bet Smart: The Kelly System for Gambling and Investing is available.

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Stefan Hollos
stefan[AT]exstrom DOT com

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