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Portfolio Optimisation with MlFinLab: Hierarchical Equal Risk Contribution [Hudson and Thames]

Harry Markowitz’s Modern Portfolio Theory (MPT) was seen as an amazing accomplishment in portfolio optimization, earning him a Nobel Prize for his work. it is based on the hypothesis that investors can optimize their portfolios based on a given level of risk. While this theory works very well

- 11 hours ago, 2 Aug 2023, 08:59pm -

How to learn Python for finance [Cuemacro]

The question I get asked most is, what is your favourite burger joint? The answer.. well, you’ll have to ask me! The second question I get asked a lot, particularly in recent months, is how can I learn Python if I’m working in finance? I will endeavour to answer that question, updating and

- 1 day ago, 1 Aug 2023, 11:32am -

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In our last post, we ran through a bunch of weighting scenarios using our returns simulation. This resulted in three million portfolios comprised in part, or total, of four assets: stocks, bonds, gold, and real estate. These simulations relaxed the allocation constraints to allow us to exclude

- 2 days ago, 31 Jul 2023, 11:59pm -

Boundary corrected kernel density [Eran Raviv]

Density estimation is now a trivial one-liner script in all modern software. What is not so easy is to become comfortable with the result, how well is is my density estimated? we rarely know. One reason is the lack of ground-truth. Density estimation falls under unsupervised learning, we don’t

- 3 days ago, 30 Jul 2023, 07:44pm -

The Effectiveness of Selected Crisis Hedge Strategies [Quantpedia]

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- 3 days ago, 30 Jul 2023, 12:06pm -

Why ML in Finance is Hard (3 / 4) [Tr8dr]

Following on from the prior post, want to discuss the problem of sample independence. Many machine learning models in finance deal with timeseries data, where samples used in training may be close together in time and not be independent of one another. There are very few features in finance that do

- 3 days ago, 30 Jul 2023, 12:05pm -

Is Systematic Value Dead??? [Alpha Architect]

There is a large body of academic research demonstrating that the value premium has been persistent over long periods, pervasive across asset classes (stocks, bonds, commodities, and currencies) and also across and within industries, countries, and regions, robust to various fundamental metrics, and

- 3 days ago, 30 Jul 2023, 12:05pm -

Connecting to the Interactive Brokers Native Python API [Quant Start]

Interactive Brokers has always been a popular brokerage with systematic traders. Initially this could partially be attributed to the fact that IB provided an Application Programming Interface (API) that allowed quants to obtain market data and place trades directly in code. Many competing brokerages

- 4 days ago, 29 Jul 2023, 01:04pm -

Introduction to NLP: Sentiment analysis and Wordclouds [Quant Dare]

I think one of the most interesting areas in the data analysis field is Natural Language Processing (NLP). These last years this discipline has grown exponentially and now it’s a huge area with a lot of problems we can attempt to solve, like text classification, translations or text generation In

- 4 days ago, 29 Jul 2023, 09:46am -

Detailed Logging with a Low-Level CBT [Quant For Hire]

Recently a student of my CBT course asked why he wasn’t seeing the usual output (including dates) when he selected AmiBroker’s “Detailed Log” option and ran a backtest that utilizes a low-level CBT. The answer is that much of the Detailed Log output comes from AmiBroker’s

- 4 days ago, 29 Jul 2023, 09:44am -

Are Asset Class Correlations At A New Permanently High Plateau? [Capital Spectator]

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- 4 days ago, 29 Jul 2023, 09:44am -

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I have used machine learning in trading strategies over the past 10 years. However my use of ML has often played a relatively small role in the overall design and success of the strategies. I use ML in specific signals or strategy sub-problems where the data / problem setup tends to have a robust

- 6 days ago, 27 Jul 2023, 10:54pm -

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Our first look at calendar influences was in analyzing the best time during the month to execute dual momentum trades. Studies here, here, and here show that stocks perform best early in the month. This is when institutional investors make changes to their portfolios. Prices then are most

- 6 days ago, 27 Jul 2023, 10:53pm -

Relative Skewness: A New Risk Factor? [Alpha Architect]

In the search for more and better factors, this article examines the cross-sectional relationship between historical skewness (see Jack’s post here) and the returns on a robust set of assets and documents the premium for taking on skewness risk. The authors construct long/short portfolios across

- 6 days ago, 27 Jul 2023, 12:41pm -

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The alpha of global macro funds has been shrinking consistently over time However, correlations to equities & bonds were low on average, offering diversification benefits Capital allocators have been cautious on the strategy in recent years INTRODUCTION He-Man and the Masters of the Universe was

- 6 days ago, 27 Jul 2023, 12:41pm -

Nowcasting for financial markets [SR SV]

Nowcasting is a modern approach to monitoring economic conditions in real-time. It makes financial market trading more efficient because economic dynamics drive corporate profits, financial flows and policy decisions, and account for a large part of asset price fluctuations. The main technology

- 6 days ago, 27 Jul 2023, 12:40pm -

Petra on Programming: The Compare Price Momentum Oscillator [Financial Hacker]

Vitali Apirine, inventor of the OBVM indicator, presented another new tool for the believing technical analyst in the Stocks & Commodities August 2023 issue. His new Compare Price Momentum Oscillator (CPMO) is based on the Price Momentum Oscillator (PMO) by a Carl Swenlin. So we got another

- 1 week ago, 24 Jul 2023, 11:49pm -

Weighting on a friend [OSM]

Our last few posts on portfolio construction have simulated various weighting schemes to create a range of possible portfolios. We’ve then chosen portfolios whose average weights yield the type of risk and return we’d like to achieve. However, we’ve noted there is more to portfolio

- 1 week ago, 24 Jul 2023, 11:48pm -

Introduction to Artificial Neural Networks and the Perceptron [Quant Start]

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- 1 week ago, 24 Jul 2023, 08:28am -

My NAAIM Webinar… [Quantifiable Edges]

Last week I had the honor of being a guest speaker for the National Association of Active Investment Managers (NAAIM)) webinar series. The topic I discussed was “Quantifiable Edges for Active Investing”. That recording is now available to view on the NAAIM website (email registration required).

- 1 week ago, 23 Jul 2023, 09:09pm -

Fundamental Momentum, the Carry Trade, and Currency Returns [Alpha Architect]

Momentum in prices is the tendency of assets that have performed well recently (such as over the prior year) to outperform assets in the same asset class that have performed poorly over the prior year. For a more thorough review of momentum check out this post by Wes Gray. This phenomenon has been

- 1 week ago, 23 Jul 2023, 09:09pm -

The importance of testing different exits [Alvarez Quant Trading]

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- 1 week agolatern专业版破解下载 -

The secret sauce that makes Deep Learning frameworks so powerful [Quant Dare]

Inside most of the Deep Learning frameworks that are available lies a powerful technique called Automatic Differentiation. If you ever encountered these words but don’t know what they mean or how this procedure works, this post is for you. In a previous post, we saw how to built a deep learning

- 1 week ago, 22 Jul 2023, 11:06am -

A Simple Neural Network for Indicator Prognosis [Philipp Kahler]

- 1 week ago爬墙加速器下载 -

EM Equities vs Debt: Same, Same, but Different? [Factor Research]

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- 1 week ago, 21 Jul 2023, 11:15pm -

What is Impact Investing? [Alpha Architect]

Can we do impact investing that is both good for us and tastes better? In the past, if an investment had positive non-financial outcomes (positive impact), a return trade-off was expected. Today, some investors find that incorporating aspects such as diversity, stakeholders, and environmental

- 1 week ago, 21 Jul 2023, 11:15pm -

Machine Learning Model Validation [Only VIX]

I just came across an excellent and highly relevant piece of research "A comparison of machine learning model validation schemes for non-stationary time series data" by Matthias Schnaubelt. Features like non-stationarity, concept drift, and structural breaks present serious modelling

- 2 weeks ago, 18 Jul 2023, 10:13am -

Research Review | 17 July 2023 | Smart Beta Revisited [Capital Spectator]

The Smart Beta Mirage Shiyang Huang (University of Hong Kong), et al. June 2023 We document sharp performance deterioration of smart beta indexes after the corresponding smart beta ETFs are listed for investments. Adjusted by aggregate market return, the average return of smart beta indexes drops

- 2 weeks ago, 18 Jul 2023, 10:13am -

ESG Scores and Price Momentum Are More Than Compatible [Quantpedia]

Momentum in stocks is not only a key strategy in the many portfolios of practitioners, but it is also an attractive research topic for academics. The original idea behind momentum, is that past winner tend to perform well in the near future, and vice versa, past loser tend to underperform (Jegadeesh

- 2 weeks ago, 16 Jul 2023, 12:31pm -

Backtesting Basics: Four biases to know by heart [Auquan]

In God we trust. All others must bring data. Backtesting is probably the single best method we have to quickly evaluate new trading strategies. However, if used incorrectly it can be our greatest weakness — guiding us on a false path to ruin. For the uninitiated, backtesting is the process where

- 2 weeks ago, 16 Jul 2023, 12:30pm -

Installing TensorFlow 2.2 on Ubuntu 18.04 with an Nvidia GPU [Quant Start]

Earlier in the year we carried out our 2023 QuantStart Content Survey and Advanced Machine Learning & Deep Learning was voted the most popular topic. This article constitutes the first in a series on the topic of modern machine learning via deep learning as applied to systematic trading

- 2 weeks ago, 16 Jul 2023, 12:29pm -

Forex Intraday Seasonality [Dekalog Blog]

Over the last week or so I have been reading about/investigating this post's title matter. Some quotes from various papers' abstracts on the matter are: "We provide empirical evidence that the unique signature of the FX market seasonality is indeed due to the different time zones

- 2 weeks ago, 15 Jul 2023, 08:55pm -

Finance Factors Coordination? Cascade Selection [Quant Dare]

Currently, strategies based on premium factors are everywhere: from funds or ETFs built on ratios or statistics perfectly specified, trying to exploit specific factor premia, to boutique instruments more or less opaque that following one or more risk premia. In any case, one of the questions we may

- 2 weeks ago, 15 Jul 2023, 10:39am -

Left Tail Risk and Left Tail Momentum [Alpha Architect]

The positive trade-off between risk and expected return is the most fundamental concept in financial economics. Most investors are risk-averse. In order to hold higher-risk securities, they demand higher compensation in the form of higher expected returns. And risk-averse investors are more

- 2 weeks ago老王app安卓下载最新版 -

How To Be a Quant Trader - Experiments with @QuantConnect [Robot Wealth]

This post presents an analysis of the SPY returns process using the QuantConnect research platform. QuantConnect is a strategy development platform that lets you research ideas, import data, create algorithms, and trade in the cloud, all in one place. For this research, I’ve used their online

- 2 weeks agolatern专业破解版安卓最新版 -

Sixty-Forty Over the Long-Run [Two Centuries Investments]

Based on many years of reviewing investor portfolios, I concluded that most end up closely resembling a 60% Stocks / 40% Bonds Allocation. Yes, many portfolios also have alternatives, nuanced sub-asset classes, individual security selection, and perhaps some tactical components. But when you look at

- 2 weeks ago, 13 Jul 2023, 09:05pm -

Reducing Estimation Error in Mean-Variance Optimization [Alpha Architect]

- 2 weeks ago, 13 Jul 2023, 09:04pm -

Cap-Weighted Benchmarks: Good Momentum Bets? [Factor Research]

After strong momentum rallies, investors frequently ask if cap-weighted benchmarks are good Momentum bets Factor exposure analysis shows this is not the case Investors should seek smart beta and long-short products if they want Momentum exposure INTRODUCTION Old myths are hard to kill. Good old

- 2 weeks ago, 13 Jul 2023, 09:04pm -

Portfolio Optimisation with MlFinLab: Theory-Implied Correlation Matrix [Hudson and Thames]

Traditionally, correlation matrices have always played a large role in finance. They have been used in tasks ranging from portfolio management to risk management and are calculated based on historical empirical observations. Although they are used so frequently, these correlation matrices often have

- 2 weeks ago, 13 Jul 2023, 11:01am -

Labeling Momentum & Trends [Tr8dr]

There are times when need to label a time series, identifying periods of momentum, trend, mean-reversion, etc. Directionaly labeling timeseries has a wide variety of applications: labels can be used for supervised learning analysis of microstructure around larger price moves conditional analysis

- 3 weeks ago, 12 Jul 2023, 08:04pm -

Testing expectations [OSM]

- 3 weeks ago, 10 Jul 2023, 12:41pm -

March for the Fallen 2023: Sign-Up for The Virtual Version! [Alpha Architect]

We are going to help make March for the Fallen a virtual event this year (September 26, 2023 at 8am). COVID is bad news, but we can turn lemons into lemonade…and we can still show gratitude for Gold Star Families by breaking into smaller groups and marching outdoors! We’ve already have 20 local

- 3 weeks ago, 9 Jul 2023, 09:37am -

SPX Golden Cross History Since 1928 [Quantifiable Edges]

SPX will post a Golden Cross on Thursday afternoon. A Golden Cross occurs when the 50ma crosses over the 200ma. Having the 50ma above the 200ma is commonly considered a bullish market condition – and generally it is. In the 4/2/19 blog post I looked at SPX Golden Crosses dating all the way back to

- 3 weeks ago, 9 Jul 2023, 09:36am -

Gold Price Prediction Using Machine Learning In Python [Quant Insti]

Is it possible to predict where the Gold price is headed? Yes, let’s use machine learning regression techniques to predict the price of one of the most important precious metal, the Gold. Machine Learning in Trading We will create a machine learning linear regression model that takes information

- 3 weeks ago, 8 Jul 2023, 10:09am -

Market Return Around the Clock [Alpha Architect]

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- 3 weeks ago爬墙器下载 -

The Livermore System: Part 2 | Trading Strategy (Filters) [Oxford Capital]

Source: Kaufman, P. J. (2023). Trading Systems and Methods (Chapter 5: The Livermore System). New Jersey: John Wiley & Sons, Inc. Concept: Trading strategy based on Jesse Livermore‘s approach to swing trading with DeMark pivots. Research Goal: Performance verification of Pivot Size and

- 3 weeks ago, 7 Jul 2023, 01:57pm -

Beyond Risk Parity: The Hierarchical Equal Risk Contribution Algorithm [Hudson and Thames]

As diversification is the only free lunch in finance, the Hierarchical Equal Risk Contribution Portfolio (HERC) aims at diversifying capital allocation and risk allocation. Briefly, the principle is to retain the correlations that really matter and once the assets are hierarchically clustered, a

- 3 weeks ago, 6 Jul 2023, 09:34am -

Heads I Win, Tails I Hedge [Flirting with Models]

For hedging strategies, there is often a trade-off between degree, certainty, and cost. Put options have high certainty and typically offer a high degree of protection, making them costly to hold and roll over the long run. In this note, we briefly explore the application of different tactical

- 3 weeks ago, 6 Jul 2023, 09:33am -

Factor Olympics 1H 2023 [Factor Research]

Momentum & Quality are leading the performance scoreboard in 1H 2023 Value & Size generated negative returns, like in recent years Low Volatility failed to preserve capital during the COVID-19 crisis INTRODUCTION We present the performance of five well-known factors on an annual basis for

- 3 weeks ago, 6 Jul 2023, 09:33am -

R + Python = Rython [Eran Raviv]

Enough! Enough with that pointless R versus Python debate. I find it almost as pointless as the Bayesian vs Frequentist “dispute”. I advocate here what I advocated there (“..don’t be a Bayesian, nor be a Frequenist, be opportunist“). Nowadays even marginally tedious computation is being

- 4 weeks agolan 灯破解版 -

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