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Cropped version of the official logo of Dr Krzysztof Ozimek, representing quantitative finance education and research.
Dr Krzysztof Ozimek
Edu Hub
  • Screenshot of G*Power 3.1.9.7 software showing a power analysis setup for a one-tailed paired-sample t-test with an effect size of 0.6, α = 0.05, and power = 0.90, resulting in a required total sample size of 26.
    Quantitative Finance

    Development of Investment or Trading Strategies with G*Power-like Functionalities

    Dr Krzysztof Ozimek, a Quantitative Investment & Trading Research EducatorDr Krzysztof Ozimek

    This post explains how G*Power, a tool for statistical power analysis, can be applied to evaluate investment or trading strategies — especially to determine how many observations are needed to detect meaningful performance (e.g., a substantially positive Information Ratio). It demonstrates using a paired-sample t-test in G*Power and replicates the calculation in R and Python, showing how to compute the required sample size to ensure robust strategy validation before deployment.

    Read More Development of Investment or Trading Strategies with G*Power-like FunctionalitiesContinue

  • Scatter plot illustrating perfect nonlinear dependence missed by Pearson correlation
    Quantitative Finance

    When Perfect Correlation Meets a Pearson Shrug – Nonlinear Dependence Woes

    Dr Krzysztof Ozimek, a Quantitative Investment & Trading Research EducatorDr Krzysztof Ozimek

    In the world of data science and quantitative finance, correlation is often the first tool used to detect associations between variables. Yet, not all that appears uncorrelated is truly independent, and not all dependence is linear.

    This post explores a striking example that reveals how Pearson correlation can entirely miss the mark when faced with nonlinear relationships—leading to analytical oversights that may have real financial consequences. If you’ve ever wondered whether correlation always tells the whole story, you’re about to find out why the answer is a resounding “no”.

    Read More When Perfect Correlation Meets a Pearson Shrug – Nonlinear Dependence WoesContinue

  • Scatter plot visualization from Desmos showing how increasing noise (sigma) reduces the strength of Pearson correlation, with dots spreading around a linear trendline.
    Quantitative Finance

    Pearson Correlation — Narrow in Meaning, Wide in Misuse

    Dr Krzysztof Ozimek, a Quantitative Investment & Trading Research EducatorDr Krzysztof Ozimek

    Pearson linear correlation coefficient is commonly used to describe both the direction and strength of association between two variables. However, it is often misapplied to situations where the relationship is not linear, despite the coefficient being explicitly designed to measure only linear relationships.

    Read More Pearson Correlation — Narrow in Meaning, Wide in MisuseContinue

  • A dynamic 3D surface plot showing the density of rotated copulas, illustrating changes in dependence structure across four quadrants corresponding to different rotation angles (90°, 180°, 270°, 360°).
    Quantitative Finance

    Not Just the Earth Rotates — So Do Copulas: An Introduction to Copula Rotation in Quantitative Finance

    Dr Krzysztof Ozimek, a Quantitative Investment & Trading Research EducatorDr Krzysztof Ozimek

    Not Just the Earth Rotates — So Do Copulas: An Introduction to Copula Rotation in Quantitative Finance — Dr Krzysztof Ozimek Copulas have become a cornerstone in quantitative finance— offering a flexible way to describe…

    Read More Not Just the Earth Rotates — So Do Copulas: An Introduction to Copula Rotation in Quantitative FinanceContinue

  • Interactive Desmos visualization of the Clayton copula, highlighting asymmetric lower tail dependence.
    Quantitative Finance

    A Series of Unfortunate Events — Featuring Helpful Copulas: Sklar’s Theorem and Clayton Copula in Action

    Dr Krzysztof Ozimek, a Quantitative Investment & Trading Research EducatorDr Krzysztof Ozimek

    A Series of Unfortunate Events — Featuring Helpful Copulas: Sklar’s Theorem and Clayton Copula in Action — Dr Krzysztof Ozimek Copulas are fascinating mathematical objects that allow us to model and analyze the dependency structure…

    Read More A Series of Unfortunate Events — Featuring Helpful Copulas: Sklar’s Theorem and Clayton Copula in ActionContinue

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