gbosmis - Index - Trading and Probabilities papers and spreadsheets.

Visits since Dec 2 2006

Hi! Welcome to my homePage.

I have uploaded here some tools and other material on Money Management, Option Pricing Models (Black Scholes), Price Barriers Probabilities etc. Before proceeding to the website contents please read the following note...

Please Note!

Disclaimer: The contents and software of this website are provided on an 'as is' basis. I make no representations or warranties of any kind, express or implied, as to the operation of this software or the information, content and materials included within this website. You expressly agree that your use of this software and website material is at your sole risk.

What's New

GeoCities is closing on October 26, 2009. This site will no longer appear on the Web.

Returns of my stock Portfolio*

Year Return (%)
2003 + 46.19
2004 + 0.50
2005 + 16.22
2006 + 6.44
2007 + 5.93
2008 - 14.26
2009 YTD + 15.22

Last update May 31 2009

*Dividend and interest income is not calculated in the results. Only a (varying) portion of my portfolio is invested in stocks at every given moment, the rest is kept on a cash (or others) account. If for example only 20% of the portfolio is allocated in stocks and the rest 80% is in cash (or others) account, a 50% raise in stocks results a 10% recorded gain for the stock portfolio.

Topics in English

Barriers and Probabilities : We are often interested on the probability that the price of a stock will touch a price barrier or will be above a certain level after a given time period. Geometric Brownian Motion is one of the price models that helps us solve these kind of questions and more.

Money Management and the Kelly criterion : The scope of this article is to compile a list of useful money management formulas and to explain the important role that money management plays in successful speculation.

How do you expect your wealth to behave under proportional betting : An article for the wealth distribution after N trades when following proportional betting.

Exit Times from barriers for a proportional bettor : An article on how to estimate the exit time from a barrier range if we follow a proportional betting strategy.

Topics in Greek

Επενδύοντας σε μετοχές : Βασικές έννοιες για τον ισολογισμό και την κατάσταση αποτελεσμάτων χρήσεως μιας εταιρείας καθώς και στρατηγικές για την επιλογή μετοχών.

Αλγοριθμικό Trading : Τι ενδεχομένως χρησιμοποιούν τα μεγάλα παιδιά των Hedge Funds. Ένα μικρό PowerPoint presentation.

Παράδειγμα Αλγοριθμικού Trading : Έξοδος υπολογισμένη με μηδενικό transaction cost.

Other

Programming - Construct a dll file : A smaall tutorial of how to construct a dll file and how to use it from within excel.

Πάμε Στοίχημα : Το γνωστό παιχνίδι του ΟΠΑΠ και μια πρώτη ανάλυση για τους όρους και τις πιθανότητες επιτυχίας του παίκτη.

Βασικές έννοιες στατιστικής και πιθανοτήτων : Εξάγουμε συμπεράσματα με βάση τις παρατηρήσεις μας. Πόσο σίγουροι είμαστε όμως ότι οι παρατηρήσεις μας οδηγούν σε ασφαλείς εκτιμήσεις και πόσο είναι το σφάλμα αυτών των εκτιμήσεων;

Downloads

dll addin for excel : The addin was made with freebasic, and includes functions of probability calculation, volatility estimation, option valuation etc. If you have suggestions what else it might be useful to include just sent an email.

MyExcel : is a simple exe spreadsheet program developed with the rapidq basic compiler. It performs te basic functionality of a spreadsheet with lots of formulas and even a solver and a chart generator. A fun project you can experiment with (source code included).

OptionTools v.3.0 : is a Black-Scholes option calculator with many futures. You can value options using different models, you can graph P/Ls of strategies, you can calculate historical volatilities etc. You can also download the User Manual.

GARCH(1,1) model : an excel spreadsheet example of the model for estimating volatility.

Monte Carlo - Kelly betting spreadsheet: What’s the likely distribution of our capital after 100 trades when we follow proportional betting? This Monte Carlo excel spreadsheet addresses the question. We start with a ‘hypothetical-system’ having 60% chance of hitting our stop loss and a 40% chance of doubling what we have at risk. We make 10000 iterations of 100 trades each risking each time 2.5% of our capital (a quarter of a Kelly for this particular system) and we see that after 100 trades the median of our capital has risen about 50% but there is more than 10% chance we will end up negative even after 100 trades. Play with the spreadsheet inserting different numbers for different systems and testing scenarios. Luck may play an important role after all.

Black Scholes VBA code & Example Spreadsheet: An excel spreadsheet with the VBA functions code for option prices and Greeks.

Derivatives Position Analysis for excel: An excel spreadsheet for analyzing your possition's P/L and Greeks.

Monte Carlo Simulation Examples: A collection of spreadsheets demonstrating the usage of Monte Carlo techniques for simulating asset prices, pricing derivatives and generating correlated random numbers following normal distribution.  

Links

gummy stuff : a lot of tutorials about investing (mostly)

bjmath : lots of interesting topics on money management

fooled by randomness : Nassim Nicholas Taleb's homepage

elite trader : trading forums

investopedia : basic definitions about investing - trading

Athens stock exchange : Athens Stock Exchange website

freebasic : basic language compiler


gbosmis@yahoo.com



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