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Machine Learning & Quantitative Finance
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Saeed Amen
Open
2022/11/29
My review of the book ``Reinforcement Learning and Stochastic Optimization: A Unified Framework for Sequential Decisions" by Prof. Warren Powell is published by Quantitative Finance. #machinelearning #reinforcementlearning #optimization #decisionmaking
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Matthew Dixon
Open
2022/11/29
I'm pleased to learn that BIS's project Mariana: CBDCs in Automated Market Makers, https://lnkd.in/dGXAQP3E, decided to implement the original ideas of Artur Sepp and me about Automated Market Making for fiat currencies; see "Automated Market-Making for Fiat Currencies," https://lnkd.in/ddVw7RnR, freely downloadable from https://lnkd.in/dt9qNu88. In this paper, we fully developed the mathematical framework for generating fair exchange rates for not only CBDCs and stable coins but also realized FX rates for G-10 currencies and demonstrated that it works in practice. I look forward to reading their report when it is published.#amm #defi #decentralizedexchange #cbdc #blockchain #cryptocurrency Artur Sepp Adrien Treccani Marcos Lopez de Prado Bank for International Settlements – BIS Oleksiy Kondratyev Adil Reghai Andrey Itkin Alexandre Antonov Dmitry Muravey Andrey Chertok Patrik Karlsson, PhD Ioannis Giagkiozis Daniel Nehren Basil Al Askari Dr. Dabin Wang Dhaher Bin Dhaher Al Mheiri Marsha Lipton, PhD Gillian Tett Alex 'Sandy' Pentland Thomas Hardjono Stuart Haber jean-philippe bouchaud Efi Pylarinou Richard Turrin Maha Al Fahim Mohamed Jouan Salem AlDhaheri Thomas Moser Sonja Davidovic Ray O. Johnson John D'Agostino Dominic Longman Mauro Cesa Ed Price Lananh Nguyen
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Dr Miquel Noguer i Alonso
Open
2022/11/29
Just out: Zipline 2.3, updated for use with Python 3.10, and the latest NumPy/pandas versions. Now also with wheels for Windows to facilitate installation: https://lnkd.in/eUBzb9Q. Also updated: compression library bcolz https://lnkd.in/eFZ2N8A.While these maintenance updates will support the forthcoming 3rd edition of https://www.ml4trading.io/, we are also looking for help to add new features. If you are interested in trading, high-performance computing, and open source contributions, please don't hesitate to get in touch!
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Thierry Roncalli
Open
2022/11/29
ESG scoringA new version of the Handbook of Sustainable Finance is available. Chapter 2 is organized in 3 parts: ESG data (sovereign vs. corporates, data sources, taxonomy, controversies, alternative data), ESG scores (tree-based scoring model, graph theory, normalization, performance evaluation, supervised vs. unsupervised backtesting), and ESG ratings (map function, rating migration matrix, Markov generator, Kolmogorov equations, stationary distribution, ESG rating consistency, comparison with credit ratings). #esg #scoring
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Saeed Amen
Open
2022/11/29
Why is NLP technology and job analytics important to investors?Peter Hafez, Chief Data Scientist at RavenPack joined us at QuantMinds International to explain Raven Pack’s use of NLP, their new product in partnership with LinkUp and whether job analytics can be seen as another alpha-generating approach.Listen to the full interview, recorded at QuantMinds International 2022: http://spr.ly/6041Mf4gZ#QuantMinds #technology
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Charles-Albert Lehalle
Open
2022/11/29
Excited to share that the first paper of my thesis "Stochastic Algorithms for Advanced Risk Budgeting" co-authored with my PhD advisor Olivier Guéant and Jean-David FERMANIAN is now available on arxiv: https://lnkd.in/e7-JdSf6 We show that building risk budgeting portfolios boils down to using a standard stochastic gradient descent approach for a wide set of risk measures ranging from deviation measures (like volatility) to spectral risk measures (like expected shortfall).
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jean-philippe bouchaud
Open
2022/11/27
If you train a DNN with lots of noisy labels, you can see the effect of this in the layer weight matrices. Just another amazing feature of Random Matrix Theory.To learn more, check out: http://weightwatcher.aiWeightWatcher is a one-of-a-kind must-have tool for anyone training, deploying, or monitoring Deep Neural Networks (DNNs).It is based on theoretical research into Why Deep Learning Works, using the new Theory of Heavy-Tailed Self-Regularization (HT-SR), published in JMLR, KDD, ICML-- and Nature Communications.If you are an expert at training DNNs, or just getting started, weightwatcher can help. And if you need help with AI, please reach out. #talkToChuck #theAIguy
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Saeed Amen
Open
2022/11/27
We updated our Turnleaf Analytics Canada model inflation forecasts.. we also started to publish a daily model which extracts market pricing for CPI #inflation #machinelearning #datascience #altdata - interested in learning more, drop us a message
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Álvaro Cartea
Open
2022/11/27
Good times learning this. But I think this is a test to find the typos 
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Igor Halperin
Open
2022/11/27
9 Googling tips that will save you hundreds of hours:
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Reddit Trending
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Must a risk neutral density function be monotonically decreasing from the current price of the underlying?
Open
2022/11/28
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quant
Should I tell professors I want to work in Quant?
Open
2022/11/28
28
quant
Python: How to measure and store specific distances between Price to a Moving Average
Open
2022/11/28
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algotrading
Once upon a time...
Open
2022/11/28
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algotrading
3 years of developing trading algos, this is the result of my best system so far
Open
2022/11/28
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algotrading
Roast my Algo Trading CV
Open
2022/11/28
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algotrading
Online Portfolio Selection - Cover's Universal Portfolio
Open
2022/11/27
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quant
Stock-specific VIX?
Open
2022/11/27
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quant
How important is order-book data? Should every strategy use it?
Open
2022/11/27
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algotrading
Crypto Triangular Arbitrage using Alpaca API - Open Source
Open
2022/11/27
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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.