Chrilly Donninger


by Chrilly Donninger

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.

A Short History of GodotFinance.

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.
The initial homepage was a full fledged root-server. Chrilly used it for developing the models, the Sibyl-Traders could do their own calculations in a protected part and the users could simulate with their own parameters the performance of the strategies. As Steffen started to work on his own projects and Chrilly was developing CashBot, waiting for Godot was no issue any more. The maintenance of the root-server become too burdensome. It was therefore decided in March 2016 to shut-down the initial server and to present the results on a plain static homepage.