The purpose of this homepage is to present some of my results in quantitative finance.
These are for the most parts no theoretical models, but actually traded strategies by the Sibyl-fund I am working for.
A detailed description of these models and strategies can be found in the Working-Papers section.
A recurring theme of the working papers is the Implied-Volatility-Term-Structure IVTS.
The IVTS is the relation between the 1-month VIX and the 3-month VXV Volatility index IVTS-Chart.
I have implemented also a fully autonomous trading bot called CashBot. Some of the more recent papers address the problems (and results) I have encountered
during the development of CashBot.
Vanellus (zool. peewit) is a new project I started in April 2018. Vanellus is a Twitter-Bot. This work was
inspired by news about Cambridge Analytica. My reaction to these news was "this can't be so difficult,
lets try it yourself" (I still think so).
So far the Kiebitz enjoys his silence and keeps - on Twitter - his knowledge by itself. But the Kiebitz knows a lot what's going on.
Vanellus is presented on the Vanellus page.
The Vanellus-Twitter-Index to measure the effective twitter footprint is presented on the VaTI page.
GodotFinance was initially developed by Chrilly Donninger and Steffen Jakob.
The name is somewhat an insider-joke. Like in every other project top-management and the project members are not always synchronized.
Sometimes the management asks you to finish something yesterday. Sometimes management has other more urgent tasks and one waits for a decision.
In such a situation Chrilly remarked to Steffen. Its like Waiting for Godot.
But instead of sitting around aimlessly we started to build the initial server. godot.com was - of course - not anymore available. We had to combine Godot with something else.
A few good combinations were also already registered and so we agreed finally on godotfinance.