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Newsletter: September 1st 2022 | Machine Learning & Quantitative Finance

ArXiv Papers

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GitHub Code

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pypika
2022/09/25
1785
PyPika is a python SQL query builder that exposes the full richness of the SQL language using a syntax that reflects the resulting query. PyPika excels at all sorts of SQL queries but is especially useful for data analysis.
docarray
2022/09/25
1000
The data structure for unstructured multimodal data · Neural Search · Vector Search · Document Store
python-for-devops
2022/09/25
196
Python for DevOps repo with useful python scripts to learn and implement in your day-to-day devops automation tasks.
datasets
2022/09/25
14146
The largest hub of ready-to-use datasets for ML models with fast, easy-to-use and efficient data manipulation tools
alacritty
2022/09/25
41994
A cross-platform, OpenGL terminal emulator.
NextTrade
2022/09/25
155
A system that performs algorithmic trading
daisyui
2022/09/25
14457
️  The most popular, free and open-source Tailwind CSS component library
algotrading_stack
2022/09/25
26
Microservices Stack for AlgoTrading
vaultwarden
2022/09/25
18827
Unofficial Bitwarden compatible server written in Rust, formerly known as bitwarden_rs
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Twitter Trending

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LinkedIn Trending

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2022/09/22
https://www.linkedin.com/feed/update/urn:li:activity:6978141803048804353
Happy to announce that JPMorgan Chase & Co., through its Global Technology Applied Research Center, is the newest partner in the Q-NEXT #quantum research collaboration!https://lnkd.in/ecjW9Kdb!
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James "Jim" Melenkevitz PhD
Open
2022/09/22
https://www.linkedin.com/feed/update/urn:li:activity:6978165929935282176
As a follow-up to my previous post, I found the graph below that I used ten years ago to illustrate how standard models struggled to capture what was going on after 2008. As for inflation today, models then predicted every year that the situation would improve, only to be disproved by reality.  I was therefore very excited to read Olivier Blanchard’s 2014 piece “Where Danger Lurks”, in which he called for a rekindling of macroeconomic models. He wrote in particular  “We in the field did think of the economy as roughly “linear”, constantly subject to different shocks, constantly fluctuating, but naturally returning to equilibrium over time. […] The problem is that we came to believe that this was indeed the way the world worked. […] The main lesson of the crisis is that we were much closer to “dark corners”—situations in which the economy could badly malfunction —than we thought.” The crucial sentence here of course is “naturally returning to equilibrium”. All these classical models can only predict that the system will return to equilibrium – there is nothing else it can do! This contrasts with more realistic frameworks (like Agent Based Models) where multiple equilibrium states can coexist, with tipping points separating them (probably what O. Blanchard calls “dark corners”, although only implicitly).  Alas, when I met Olivier Blanchard a little later in his IMF office, he told me – somewhat dispirited – “well, the economy is now back on tracks, and the appetite for new economic thinking is already fading away. Macroeconomics will revert to business as usual”. The problem, in my view, lies in what Willem Buiter (ex. Bank of England) said in his own 2008 piece “The unfortunate uselessness of most 'state of the art' academic monetary economics”: “Research tends to be motivated by the internal logic, intellectual sunk capital and aesthetic puzzles of established researc
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Pim van Vliet
Open
2022/09/22
https://www.linkedin.com/feed/update/urn:li:activity:6978444346706554880
Only one week to go!I very much look forward to the #QuantExplore Event of Robeco Deutschland next week in Frankfurt. As an in-person event, we will connect not only numbers and science but also #people.David Blitz and I will discuss the resurrection of the #value premium and provide new #perspectives for quant models. Milot Hasaj (Lampe Asset Management GmbH) will share the learnings from the recent quant #crisis from an investor's perspective. Lejda Bargjo will moderate a panel including also Dr. Michael Heldmann, CFA (Allianz Global Investors) and Andreas Gintschel (Perpetual Investors GmbH). Furthermore, Jan Anton van Zanten will present on applying #SDG in quant models, and Markus Leippold will discuss how #NLP can detect #greenwashing. See you in Frankfurt and #register here: https://lnkd.in/eMVeWbiECC: Thorsten Schneider, Kai Werner Roehrl, Marie Keil-Mouy, Simone Görner, Mark Flügel, Daniel Dehn, Julia Silich, CIIA, CEFA, Sebastian Schmidt, Sandra Michel, Christopher Sawo
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Saeed Amen
Open
2022/09/22
https://www.linkedin.com/feed/update/urn:li:activity:6978372283362861056
Did you miss our first QuantMinds Edge event? Fear not. We’ve saved Artur Sepp's presentation on derivatives on crypto assets in decentralized finance (DeFi) space for you to watch right here. Hear more about liquid crypto derivatives in DeFi, comparison with traditional finance: pricing by replication vs supply/demand equilibrium and much more. Watch it here >> http://spr.ly/6043MpOJb#quantminds #quantinvesting #crypto #DeFi
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Igor Halperin
Open
2022/09/16
https://www.linkedin.com/feed/update/urn:li:activity:6976301488574763008
Will be a huge treat learning from these two tomorrow at Cornell Financial Engineering Manhattan's Future of Finance!
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Jochen Papenbrock
Open
2022/09/16
https://www.linkedin.com/feed/update/urn:li:activity:6976434540890226689
Large-Scale Machine Learning with Snowflake and #RAPIDSwatch this related NVIDIA On-Demand session: https://lnkd.in/e8TuMZHjThe NVIDIA #alliancepartner Deloitte is also #alliancepartners of Snowflake: https://lnkd.in/ecq5HmXj#datacloud #acceleratedcomputing #NVIDIA @NVIDIA #snowflake
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Ariel Silahian
Open
2022/09/16
https://www.linkedin.com/feed/update/urn:li:activity:6976546948929482752
How technology and automation can help to improve Execution Quality in FXIn order to understand how to improve the execution quality in the forex market, we need to understand the dynamics of these markets, the microstructure, how matching engines of ECNs works, the limit order book (LOB) dynamics and the behavior of every player in the market (takers vs makers vs liquidity providers).Once you understand how all this infrastructure works and its dynamics, then you can think about how to implement your technology accordingly.Basically, execution quality refers to how well orders are executed at the desired price without any slippages or other problems. This means that your order should be executed at the top of the book, or better.The root of best execution lies in creating a robust framework under which to conduct execution. One must measure that execution against the execution framework and improve it where possible.The better the execution quality, the lower the trading cost.#trading #markets #technology #fintech #banks #hedgefunds #algotrading #riskmanagement #forex #efx #hft #forexmarket #liquidity UBS Credit Suisse Deutsche Bank
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Alec Schmidt
Open
2022/09/16
https://www.linkedin.com/feed/update/urn:li:activity:6976290260825563136
Edward Ott, a physicist at the University of Maryland, has put machine learning algorithms to work predicting the behavior of complex systems. The new techniques could one day find applications in climate science, ecology, epidemiology and many other fields.https://lnkd.in/eb8JFf25
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Markus Leippold
Open
2022/09/15
https://www.linkedin.com/feed/update/urn:li:activity:6976162626351292417
It was such a great pleasure to hold a keynote speech at the Frontiers of Factor Investing Conference at Lancaster University today. A great event, and it is pleasing to learn that now this conference also has a separate stream on #climatefinance, mirroring the fact of how important that topic has become for the finance community. Thanks, Harald Lohre, for hosting me! The link to the conference programme is in the comments.#factorinvesting #finance #conference #climaterisk #portfoliomanagement
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Petter Kolm
Open
2022/09/15
https://www.linkedin.com/feed/update/urn:li:activity:6976125878221033472
Super excited to announce the Godfather of #ReinforcementLearning in #Finance & 2022 Quant of the Year Dr. Igor Halperin will join the Cornell Financial Engineering Manhattan Future of Finance!!
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Reddit Trending

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The model fingerprint algorithm (Reading Group 1/1)
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2022/09/26
https://www.reddit.com/r/quant/comments/xoh2sb/the_model_fingerprint_algorithm_reading_group_11/
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how did you know you wanted to be a quant before working as one? why do you do what you do?
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2022/09/26
https://www.reddit.com/r/quant/comments/xo46xa/how_did_you_know_you_wanted_to_be_a_quant_before/
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Quant Trading vs Quant Research
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2022/09/26
https://www.reddit.com/r/quant/comments/xojeue/quant_trading_vs_quant_research/
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Can new grads a year or two out of college recruit for quant trading or research positions?
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2022/09/26
https://www.reddit.com/r/quant/comments/xo94vs/can_new_grads_a_year_or_two_out_of_college/
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[Backest + Code] ETF Universe Momentum strategy. Unoptimized. Don't Trade It As Is.
Open
2022/09/26
https://www.reddit.com/r/algotrading/comments/xoaz2g/backest_code_etf_universe_momentum_strategy/
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How to deal with this extremely imbalanced data set?
Open
2022/09/25
https://www.reddit.com/r/datascienceproject/comments/xnqvo6/how_to_deal_with_this_extremely_imbalanced_data/
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...what are some non-quant jobs for quant would-like-to-be's?
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2022/09/25
https://www.reddit.com/r/quant/comments/xn9bmd/what_are_some_nonquant_jobs_for_quant/
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Where do I find quantitative trading strategy ideas ?
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2022/09/25
https://www.reddit.com/r/quant/comments/xnk6x5/where_do_i_find_quantitative_trading_strategy/
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[D] Best ways to perform feature learning on time series data
Open
2022/09/25
https://www.reddit.com/r/algotrading/comments/xnbt6d/d_best_ways_to_perform_feature_learning_on_time/
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algotrading
best training programs
Open
2022/09/24
https://www.reddit.com/r/quant/comments/xmxhb7/best_training_programs/
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quant
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