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Sibyl / Godot Finance Server

by Chrilly Donninger and Steffen Jakob.

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    Daily Data

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    Daily Leading Economic Index

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    Dynamic VIX Futures

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    ETF Portfolio Performance

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    ETF Portfolio

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    High Frequency Data

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    IV Term Structure

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    Johnny Walker Strategy

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    Low Volatility Strategy

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    Market Regimes

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    Market Regimes - GSPC Distribution

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    Market Regimes - Volatility

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    Market Regimes - Regime-PL

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    Market Regimes - Time-PL

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    Turn Of Month Effect

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    Veqtor Strategy

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    Future Prices

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    Volatility Index

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    Volatility Portfolio

Purpose of this server

We want to present some of our results in quantitative finance. These are for the most parts no theoretical models, but actually traded strategies by the Sibyl-fund we are working for. A detailed description of these models and strategies can be found in the Working-Papers section. You can view the results of these models in the corresponding charts. There are additional charts for displaying Stock-Charts. Stock-charts are no big deal, because you find it everywhere. But you can view stock and ETF-prices also as High-Frequency-Charts. You can inspect the interesting term-structure of VIX-futures with VIX-Futures-Charts. 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-Charts.
Please not that you visit our research-lab. We present our ongoing explorations and not final fully polished results.

Why GodotFinance?

Well, 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 siting around aimlessly we started to build this 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.