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Building a financial machine learning pipeline with Alpaca (Part 1)

This article is a guest post I wrote for the Alpaca [https://alpaca.markets/] weekly newsletter. In this two-part article, I will walk through the process of preparing a financial dataset for input into a machine learning model using the Alpaca Data API [https://alpaca.markets/docs/api-documentation/api-v2/market-data/

Max Bodoia
Max Bodoia
Finance / Machine Learning / Alpaca

Why VIX trackers don’t track the VIX, Part 2

In Part 1 [https://maxbodoia.com/why-vix-trackers-dont-track-the-vix/] of this post, we went over the details of the VIX and the ecosystem that surrounds it. We determined that VIX trackers like VXX lose money steadily in quiet markets because the VIX futures which make up their underlying portfolio are in contango.

Max Bodoia
Max Bodoia
Finance / Volatility

Why VIX trackers don't track the VIX

This post is inspired by a discussion I recently had with a friend of mine. He observed that volatility has spiked over the past few weeks due to concerns about COVID-19. Furthermore, he pointed out that there was enough publicly available information about the virus back in January to anticipate

Max Bodoia
Max Bodoia
Finance / Volatility