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Machine Learning & Quantitative Finance
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Petter Kolm
Open
2023/03/29
Great to share the latest work by Ali Hirsa (Columbia University), Federico Klinkert, Satyan Malhotra and Ryan Holmes (ASK2.AI), "Robust Rolling PCA: Managing Time Series and Multiple Dimensions": https://lnkd.in/e6kCfEYYPrincipal Component Analysis (PCA) is an important methodology to reduce and extract meaningful signals from large data-sets. Financial markets introduce time and non stationarity aspects, where applying standard PCA (R2-PCA) that accommodates the additional aspects and mitigates commonly found obstacles including eigenvector sign flipping and managing multiple dimensions of the data-set. This makes R2-PCA an ideal candidate for learning-based models. The authors demonstrate the methodology on mutual fund data-sets and illustrate its advantages in terms of applicability, and explainability.This work resolves some of the limitations with my earlier work with David Finkelstein on "Iterated and Exponentially Weighted Moving Principal Component Analysis" (https://lnkd.in/eQbgZXQj)#pca #timeseries #statistics #markets
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Wesley Gray, Ph.D.
Open
2023/03/29
Any algo traders out there?If you’re interested in speaking at the Algo Trading Conference alongside other world class professionals, the link is below in comments.
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Markus Leippold
Open
2023/03/29
Very (very!) excited and looking forward to my #TEDx talk in Paris, sharing my "Idea Worth Spreading" on #AI applied to #sustainablefinance. My topic: "Corporate Climate Disclosures: How Do We Weed Out the Cheap Talkers?"#TedxHECParis 2023 on May.13th!#tedx #tedxhecparis2023 #hecparis #climatebert #impactinvesting #finance #TED University of Zurich - Department of Banking and Finance SFI Swiss Finance Institute Eckart Jaeger Aloys Hirzel Stephanino Isele Iwan Deplazes Roger Rueegg Andrea Gori Markos Chrysikopoulos Martin Meier-Pfister Emma Crystal Mirjam Staub-Bisang Zeno Staub Christoph Baumann Zoe Samuel Zsolt Lengyel George Skiadopoulos Thomas H. Nick Baltas Marcin Kacperczyk Zacharias Sautner Grigory Vilkov Franco Ghisletti Philip Berntsen Lorenz Altwegg Chris Anderson OpenAI Robert L. Kosowski Dr Nataliya Tkachenko Blanka Horvath Andreas Hoepner Harald Gall Christian Schwarzenegger Francois Degeorge Thomas Puschmann Lukas Ninck Takaya Sekine, CFA Michal Nachmany Gillian Tett Ilya Sutskever Srijeeta Mandal
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Petter Kolm
Open
2023/03/29
Come join us (in-person or online) this Wednesday Mar 29, 2023 at 5:00pm EDT for the monthly Fields Institute Quantitative Finance seminars:Carbon prices and forest preservation over time and space in the Brazilian AmazonJose Scheinkman, Columbia UniversityConsistency of MLE for partially observed diffusions, with application in market microstructure modelingSergey Nadtochiy, Illinois Institute of TechnologyRegister here: https://lnkd.in/gBr5X9JK We look forward to seeing you!#quantitativefinance #riskmanagement #microstructure #algorithmictrading #climaterisk #carboncapture #forestry #climatefinance #forestmanagement #finance
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Peter Cotton, PhD
Open
2023/03/29
"I think it is comparable in scale with the Industrial Revolution or Electricity ... maybe the wheel" Hinton pushes back on pundits, and some fellow researchers: 1. Don't say LLMs aren't sentient if you can't define sentience. 2. Don't trivialize the alignment problem given the utility of sub-goals. 3. Don't diss pure research.The first remark might draw a response from Gary Marcus. The second is counter to Yann LeCun's views, it would seem, and the third, while actually drawing a comparison between the U.S and Canada, could also be a lesson for those who have tried to gut mathematical research in places like the U.K. and Australia as well. Ditch the condescension. Let smart people follow their noses. YouTube: https://lnkd.in/eSAKYGwR#machinelearning #chatgpt #researchanddevelopment
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Guillaume Coqueret
Open
2023/03/29
For many researchers, reducing footprint is mostly cutting flights to conferences... At least that's what I'm aiming at.https://lnkd.in/eVRd8mEZI wonder if there are studies on what's the best way to proceed for academics... Valérie Masson-Delmotte maybe has some answers...#greenacademia #sustainableprof
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Gautier Marti
Open
2023/03/29
Attention all finance professionals! Meet Warren Buffett, the new AI tool developed by Mayo Oshin in the UK. ChatGPT4 'Warren Buffett' financial analyst and analyze multiple PDF files (~1000 pages) across10-k annual reports (2020-2022)Inspired by the legendary investor himself, this innovative bot uses retrieval capabilities to quickly analyze financial documents and extract valuable information for better decision-making. No more spending hours sifting through endless pages of reports - let Warren Buffett do the heavy lifting for you! Check out how this AI technology can revolutionize your work. https://lnkd.in/d37Qd2Sa#AItech #WarrenBuffettAI #gpt4 #openai #investing #stocks #finance
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Jonathan Regenstein
Open
2023/03/27
A lot of attention on money market fund flows nowadays. #rstats code attached to grab and visualize the data from the SEC. End of 2019 there was about $4 trillion in MMFs. Now more more like $5.25 trillion. Sudheer Chava and I will include this as an addendum to the Fed chapter on financial stability. Happy money market flow tracking on this rainy Sunday.
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Gautier Marti
Open
2023/03/27
Interesting take. What do you think?
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Carlos Salas, MSc, CFA, CQF
Open
2023/03/27
Together with colleagues at NYU Stern School of Business and the Federal Reserve Bank of New York, I have written a review of Climate Stress Testing for the Annual Review of Financial Economics.The focus is on how academic research can help further develop the practice of climate stress testing https://lnkd.in/eNRvr47X
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Weekly Megathread: Hiring and Career Advice
Open
2023/03/27
7
quant
Pricing of Sovereign Gold Bonds
Open
2023/03/26
16
quant
What python IDE is most commonplace?
Open
2023/03/26
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quant
Cheapest Quote and historical data provider for a website?
Open
2023/03/26
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algotrading
What’s the most complex math you’ve used in your algos?
Open
2023/03/26
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algotrading
Question About Data Management & Storage During Trading
Open
2023/03/25
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algotrading
Masters in Financial Math - John Hopkins (Need recommendation about the program)
Open
2023/03/24
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quantfinance
For those Who did Predictive Model Projects
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2023/03/24
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Advice for suits
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2023/03/24
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How to expand my network and build AUM
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2023/03/24
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algotrading
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ᗰᒪ & Ɋᑌᗩᑎ丅 ᖴIᑎᗩᑎᑕᗴ
Join the Slack group to send any feedback and chat with like-minded researchers. We will probably restrict access at 1000 to maintain conversational quality in the next year; currently 743 members.