Graham Giller – Medium

Graham Giller

Featured Book

Adventures in Financial Data Science: The Empirical Properties of Financial and Economic Data

Adventures in Financial Data Science: The Empirical Properties of Financial and Economic Data

This book provides insights into the true nature of financial and economic data, and is a practical guide on how to analyze a variety of data sources.

2022

Graham L. Giller

Graham L. Giller

Stories

Pinned

Published in
Adventures in Data Science

No, the Central Limit Theorem Doesn’t Make Portfolio Returns Normally Distributed. Here’s Why…

Spoiler Alert: it’s the Correlation

Aug 9

No, the Central Limit Theorem Doesn’t Make Portfolio Returns Normally Distributed. Here’s Why…

Aug 9

Published in
Adventures in Data Science

Do Small Caps have More Degrees of Freedom than Large Caps?

Or do all Stocks Dance to the Same Tune?

Sep 16

Do Small Caps have More Degrees of Freedom than Large Caps?

Sep 16

Published in
Adventures in Data Science

So How Many Degrees of Freedom does the Market Actually Have?

It’s a Lot Smaller Than You Think!

Sep 3

So How Many Degrees of Freedom does the Market Actually Have?

Sep 3

A Proof that Portfolios of Assets with Equal Pairwise Correlations Can Never Have Normally…

And a Demonstration of that via Monte-Carlo Simulation

Aug 15

A Proof that Portfolios of Assets with Equal Pairwise Correlations Can Never Have Normally…

Aug 15

How Does the Volatility of the Markets Change Through Time?

Using Autocorrelation Functions to Describe Non-Stationarity in Variance with Self-Similarity

Jul 3

How Does the Volatility of the Markets Change Through Time?

Jul 3

Let’s Talk About Heteroskedasticity

The Amount of Noise in Market Returns is Also Noisy

Jun 12

Let’s Talk About Heteroskedasticity

Jun 12

Published in
Adventures in Data Science

Optimal Asset Allocation with a Multivariate Laplace Distribution

An Analytical Result 24 Years in the Making

May 23

Optimal Asset Allocation with a Multivariate Laplace Distribution

May 23

Published in
Adventures in Data Science

Utility Theory is Just a Scheme for Weighting the Statistical Moments of the Distribution of…

It Makes Exactly as Much Sense as Mean-Variance Optimization, but is a Bit More General

May 7

Utility Theory is Just a Scheme for Weighting the Statistical Moments of the Distribution of…

May 7

Published in
Adventures in Data Science

Can Non-Stationarity Rescue the Normal Distribution?

What Would Returns Data Look Like under two Available Flavours of Non-Stationarity?

Mar 19

Can Non-Stationarity Rescue the Normal Distribution?

Mar 19

Published in
Adventures in Data Science

(Almost) Everything they Teach you about Quantitative Finance is Wrong

Here’s Why…

Mar 11

(Almost) Everything they Teach you about Quantitative Finance is Wrong

Mar 11

Graham Giller

Graham Giller

Book Author

Predicting important variables about companies and the economy, I turn data into information. CEO of Giller Investments.

Help
Status
About
Careers
Press
Blog
Privacy
Terms
Text to speech
Teams