Quantocracy’s Daily Wrap for 05/22/2017
This is a summary of links featured on Quantocracy on Monday, 05/22/2017. To see our most recent links, visit the Quant Mashup. Read on readers!
Rough Path Theory and Signatures Applied To Quantitative Finance – Part 2 [Quant Start]his is the second in a new advanced series of posts written by Imanol Prez, a PhD researcher in Mathematics at Oxford University, and a new expert guest contributor to QuantStart. In this post Imanol continues the theoretical discussion of Rough Paths and Signatures and begins applying them within a machine learning framework, utilising scikit-learn. – Mike. In the last article the signature of
The time has come: setting up a DB with MySQL and R [Quant Bear]The recent decision by Yahoo to screw with their API for financial data (and in the process disabling all packages/functions in various programing languages obtaining EOD (end-of-day) data, at least temporarily) shows us two important things: Nothing is free and reliable forever Its a good idea to have a database set up So for everyone in the why do i need a DB/I dont know how to set it
The Marcos Lopez de Prado Hierarchical Risk Parity Algorithm [QuantStrat TradeR]This post will be about replicating the Marcos Lopez de Prado algorithm from his paper building diversified portfolios that outperform out of sample. This algorithm is one that attempts to make a tradeoff between the classic mean-variance optimization algorithm that takes into account a covariance structure, but is unstable, and an inverse volatility algorithm that ignores covariance, but is more
Can We Improve Sector Rotation? [Flirting with Models]Momentum-based sector rotation is a popular investment strategy. Recent academic studies have shown that alternative implementations of standard momentum including risk-adjusted momentum, residual momentum, and frog-in-the-pan momentum can significantly improve the risk-adjusted and total return potential of stock-based momentum systems. We explore whether these approaches create
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May 23, 2017 at 06:46AM