Applied quantitative methods
Notes on quantitative methods and data science — R, Python, econometrics and game theory. Rigorous, reproducible how-tos.
Writing
Statistically sound backtesting of trading strategies
Why naive backtesting overstates a strategy's edge — and a Monte-Carlo permutation test in R to check whether returns are more than chance.
Financial situation of municipalities in North Rhine-Westphalia
Exploratory analysis and choropleth mapping of per-capita municipal debt across 382 North Rhine-Westphalia municipalities in R.
Toda-Yamamoto implementation in R
How to implement the Toda-Yamamoto procedure for Granger-causality testing in R — worked through on Robusta vs. Arabica coffee prices.