jasonjfoster.github.io
jasonjfoster.github.io
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Eigen
analysis
finance
python
Underlying returns are structural bets that can be analyzed through dimension reduction techniques such as principal component analysis (PCA). Most empirical studies apply…
Jason Foster
Aug 4, 2026
Eigen
analysis
finance
r
Underlying returns are structural bets that can be analyzed through dimension reduction techniques such as principal component analysis (PCA). Most empirical studies apply…
Jason Foster
Aug 4, 2026
Markets
analysis
finance
python
One month reversal and 2-12 month momentum are two ends of the spectrum. The general trend indicates that positive acceleration leads to reversals or negative acceleration…
Jason Foster
Aug 4, 2026
Markets
analysis
finance
r
One month reversal and 2-12 month momentum are two ends of the spectrum. The general trend indicates that positive acceleration leads to reversals or negative acceleration…
Jason Foster
Aug 4, 2026
Optimization
analysis
finance
python
Need to generate uniformly distributed weights
\(\mathbf{w}=(w_{1},w_{2},\ldots,w_{N})\)
such that
\(\sum_{i=1}^{N}w_{i}=1\)
and
\(w_{i}\geq0\)
:
Jason Foster
Aug 4, 2026
Optimization
analysis
finance
r
Need to generate uniformly distributed weights
\(\mathbf{w}=(w_{1},w_{2},\ldots,w_{N})\)
such that
\(\sum_{i=1}^{N}w_{i}=1\)
and
\(w_{i}\geq0\)
:
Jason Foster
Aug 4, 2026
Risk
analysis
finance
python
\[ \begin{aligned} \hat{\beta}=(X^\mathrm{T}WX)^{-1}X^\mathrm{T}Wy \end{aligned} \]
Jason Foster
Aug 4, 2026
Risk
analysis
finance
r
\[ \begin{aligned} \hat{\beta}=(X^\mathrm{T}WX)^{-1}X^\mathrm{T}Wy \end{aligned} \]
Jason Foster
Aug 4, 2026
Securities
analysis
finance
python
For a given spot price
\(S\)
, strike price
\(K\)
, risk-free rate
\(r\)
, annual dividend yield
\(q\)
, time-to-maturity
\(\tau = T - t\)
, and volatility
\(\sigma\)
:
Jason Foster
Aug 4, 2026
Securities
analysis
finance
r
For a given spot price
\(S\)
, strike price
\(K\)
, risk-free rate
\(r\)
, annual dividend yield
\(q\)
, time-to-maturity
\(\tau = T - t\)
, and volatility
\(\sigma\)
:
Jason Foster
Aug 4, 2026
Statistics
algorithms
r
Jason Foster
Aug 4, 2026
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