Daring to quantify the markets |

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AI case study: Long/Short Strategy

29/09/2023

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Unlocking Wealth and Diversification: The Powerful Advantages of Investing in Conglomerate Stocks

13/07/2023

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Clustering Forex Market

05/07/2023

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Financial Statements Effect

28/06/2023

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Linking Impact in Divergence Attribution II

15/06/2023

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Value vs Growth: adversaries or complementary strategies?

07/06/2023

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How to detect outliers in a set of financial time series?

31/05/2023

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Ranking aggregation using genetic algorithms

17/05/2023

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German Idealism meets Modern Finance: a dialectical approach to understanding risk

11/05/2023

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Gamma Squeeze: How does it affect stock prices?

12/04/2023

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EURUSD impact in 2022

05/04/2023

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Generative Adversarial Networks: A rivalry that strengthens

22/03/2023

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Risk contribution in portfolio management

08/03/2023

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On the origins of Bayesian statistics

23/02/2023

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Yield curve modeling

15/02/2023

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Behavioral Equilibrium Exchange Rate (BEER)

08/02/2023

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Annualizing volatility

25/01/2023

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How earnings reports affect stocks?

18/01/2023

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Building a sector rotation strategy based on Fed’s interest rate policy

11/01/2023

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ESG 2022: «greenwashing» or alpha source?

14/12/2022

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Doubling Down: Double Deep Q-networks for trading

07/12/2022

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Why bother with unbiasedness?

24/11/2022

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Beyond linear II: the Unscented Kalman Filter

16/11/2022

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MOIC: Investing Holy Grail

08/11/2022

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Causality: interest rates and fixed income assets

19/10/2022

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Look-through Hedging: Optimising Currency Overlay

28/09/2022

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Valuation Multiples or Multiples Analysis

21/09/2022

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Analyzing U.S. election cycle seasonality in the S&P 500

14/09/2022

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Self-organizing maps for an investment strategy

07/09/2022

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What is the difference between Passive Hedging and Active Hedging?

27/07/2022

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Debt/Equity vs Debt/EBITDA

06/07/2022

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On the origins of some stochastic processes

30/06/2022

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From theory to practice: Challenging the market using MPT-based investment strategy

22/06/2022

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Optimization problems with non-continuous restrictions

15/06/2022

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Forming Inflation expectations

08/06/2022

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Penn effect and its impact on GDP

03/06/2022

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Hierarchical clustering: explanation and classification

25/05/2022

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How to Increase Factor Definition Robustness

19/05/2022

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Dali’s Whiskers: How To Improve a Boxplot

11/05/2022

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Achieving a well-diversified portfolio based on Graph Theory

05/05/2022

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Random Forest on Financial Ratios as an Investment Strategy

28/04/2022

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Measuring uncertainty in time series data

21/04/2022

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Finding the Probability Distribution Implied in Option Prices

12/04/2022

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Transformers: is attention all we need in finance? Part II

06/04/2022

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Mutual Fund Returns vs Investor Returns

31/03/2022

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Hedging cash flows

24/03/2022

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Predicting NASDAQ price using news

16/03/2022

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In the pursuit of the Perfect Portfolio: Modern Portfolio Theory

09/03/2022

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TF-IDF: summarising news with python

02/03/2022

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Black-Litterman Sector Allocation

23/02/2022

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What is the intrinsic value of a company?

16/02/2022

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What is inflation?

09/02/2022

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Linking Impact in Divergence Attribution

03/02/2022

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What Is The Difference Between Time-Weighted and Money-Weighted Returns?

20/01/2022

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Analyzing S&P 500 Constituents Returns by Sector

12/01/2022

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Self-organizing maps for clustering

15/12/2021

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FX Hedging – Execution Timing Lags

09/12/2021

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Volatilities and Correlations of Cross Rates, a Geometrical Understanding

01/12/2021

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Transformers: is attention all we need in finance? Part I

24/11/2021

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P/E vs P/B vs P/S

11/11/2021

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On the origins of the normal distribution

04/11/2021

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Will the Fed ruin my S&P500 investments?

27/10/2021

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Markov chain as market predictor

20/10/2021

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What moves the market?

13/10/2021

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Moving Abroad: Can We Optimize FX Conversions?

29/09/2021

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Factor contribution

22/09/2021

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Hedged Share Class: from theory to practice

15/09/2021

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Optimizing implicitly using genetic algorithms

09/09/2021

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Purchasing Power Parity

01/09/2021

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Are FX Swaps Mispriced?

28/07/2021

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Beyond linear: the Extended Kalman Filter

21/07/2021

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The risk of investing: An exploration on SPDR Sector ETFs

15/07/2021

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What is a Short Squeeze?

07/07/2021

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Implementing a RNN with numpy

30/06/2021

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Improving crypto investing with Reinforcement Learning

23/06/2021

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Automating cryptocurrencies investment

16/06/2021

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Concepts of Entropy in Finance: Transfer entropy

10/06/2021

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Linking Attribution Factors

02/06/2021

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Different methods for mitigating overfitting on Neural Networks

26/05/2021

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Reducing data dimensionality using PCA

28/04/2021

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What cannot be hedged

14/04/2021

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What is Mutual Information?

31/03/2021

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In Search of Lost Covered Interest Parity

24/03/2021

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4 simple ways to label financial data for Machine Learning

17/03/2021

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Detecting turning points

10/03/2021

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SigCWGAN, a new generation GAN architecture for Time Series Generation.

24/02/2021

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Salary factor

17/02/2021

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Second chances with momentum

10/02/2021

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Improving time series animations in matplotlib (from 2D to 3D)

03/02/2021

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Reinforcement Learning for Trading

16/12/2020

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Fundamental shifts in factors, are they here to stay?

10/12/2020

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Decision Trees: Gini vs Entropy

02/12/2020

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Does low volatility anomaly work in funds?

18/11/2020

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Deflated Sharpe Ratio (how to avoid been fooled by randomness)

05/11/2020

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Dream team: Combining classifiers

29/10/2020

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Clustering S&P500 using Fully Convolutional Autoencoders

14/10/2020

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FX Swap pricing and the mystery of Covered Interest Parity

07/10/2020

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Currency Hedging Valuation: A Money Weighted Approach

29/09/2020

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An Introduction to Time Series Signatures

23/09/2020

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Kelly criterion: Part 2

09/09/2020

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Introduction to NLP: Sentiment analysis and Wordclouds

29/07/2020

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Finance Factors Coordination? Cascade Selection

15/07/2020

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What is the difference between Extra Trees and Random Forest?

17/06/2020

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Variational autoencoder as a method of data augmentation

03/06/2020

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Probabilistic Sharpe Ratio

20/05/2020

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What is the difference between parameters and hyperparameters?

13/05/2020

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Can neural networks predict the stock market just by reading newspapers?

06/05/2020

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Understanding Neural Networks (with Graphs)

29/04/2020

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Hedging an Option through the Black-Scholes model in discrete time

22/04/2020

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A primer on embedded currency risk

15/04/2020

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The other way around: from correlations to returns

08/04/2020

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Predicting the fall: Revisiting the «Forecasting VIX peaks» experiment.

01/04/2020

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Is robustness an ally?

18/03/2020

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Create your own Deep Learning framework using Numpy

26/02/2020

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Factor Exposure: The Turn of The Screw

19/02/2020

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Have you tried to calculate derivatives using TensorFlow 2?

13/02/2020

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Visualising ETFs with UMAP

05/02/2020

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Generating OHLC bars with Generative Adversarial Networks

30/01/2020

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Autoencoder based outlier detection in FOREX

15/01/2020

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Dimensionality reduction method through autoencoders

11/12/2019

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Mitigating overfitting on Trading Strategies

04/12/2019

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What is the difference between feature extraction and feature selection?

14/11/2019

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Awesome data visualizations

06/11/2019

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Towards the Risk-Free Curve: Logarithmic vs. Arithmetic Returns

30/10/2019

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Trick or treat. It’s Halloween!

23/10/2019

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Mitigating overfitting on Financial Datasets with Generative Adversarial Networks

16/10/2019

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An age prediction solution applied to rank returns

09/10/2019

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Encoding financial texts into dense representations

11/09/2019

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What is the difference between Deep Learning and Machine Learning?

01/08/2019

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Geometrical evaluation of Generative Adversarial Networks

24/07/2019

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An intuition behind currency risk

18/07/2019

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Outliers detection with autoencoder, a neural network

10/07/2019

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Graph Theory in portfolio analysis. Part I

03/07/2019

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Generating Financial Series with Generative Adversarial Networks Part 2

24/06/2019

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A Matter of Scale: Returns and Volatility

20/06/2019

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From the Neuron to the Net

12/06/2019

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How to create calendars (in finance)

22/05/2019

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Classification of Market Regimes

17/04/2019

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Learning to Rank with TensorFlow

10/04/2019

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Understanding the shape of data (II)

03/04/2019

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Fundamental Manifoldness

27/03/2019

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Generating Financial Series with Generative Adversarial Networks

20/03/2019

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Fixed income from interest rates’ point of view

27/02/2019

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Mutual Funds… A walk through history

21/02/2019

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Portfolio weightlifting (II)

07/02/2019

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Portfolio weightlifting (I)

30/01/2019

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Omega ratio, the ultimate risk-reward ratio?

09/01/2019

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Asset Migrations

19/12/2018

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More examples in Financial Visualisation

12/12/2018

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Group Funds with the Sun

05/12/2018

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Deep Reinforcement Trading

28/11/2018

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Understanding the shape of data

14/11/2018

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Volcano escape with Gradient Descent

07/11/2018

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Synthetic prices… and burgers

31/10/2018

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Creating our own S&P 500 Momentum ETF

24/10/2018

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Scaling/ normalisation/ standardisation: a pervasive question

18/10/2018

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The Benford law and the Zipf law

05/10/2018

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Erratic correlation: an illustration through Chord diagrams

03/10/2018

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Value at Risk or Expected Shortfall

26/09/2018

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Practical TDD and numerical precision

20/09/2018

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Evening class imbalance before the war

12/09/2018

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Backtesting algorithms… with Python!

06/09/2018

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10 Reasons for loving Nearest Neighbors algorithm

18/07/2018

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Hierarchical Risk Parity

11/07/2018

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To be or not to be (correlated)

05/07/2018

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Bootstrapping time series data

28/06/2018

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Biclustering time series

23/05/2018

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Improving data diversity. Synthetic Financial Time Series Generator

09/05/2018

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Monkey quants & sector rotation

26/04/2018

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Python performance: a comparison

18/04/2018

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The Elo system

12/04/2018

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Quantitative clustering with Machine Learning

28/03/2018

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Demystifying the Hurst exponent

14/03/2018

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Diversity is the ultimate diversification strategy

07/03/2018

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The magic of Fibonacci numbers

28/02/2018

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Survivorship bias: an investment decision trap

21/02/2018

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The Kelly criterion

14/02/2018

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Correlation with prices or returns: that is the question

07/02/2018

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How do stock market prices work?

31/01/2018

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When distance is the issue

24/01/2018

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Cointegration in Economy: a long-term relationship

17/01/2018

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The lazy or intelligent fund manager

10/01/2018

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Forecasting S&P 500 using Machine Learning

20/12/2017

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Hierarchical clustering of Exchange-Traded Funds

13/12/2017

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Dropout in feed-forward neural networks

06/12/2017

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Fibonacci retracement and extensions

29/11/2017

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Asset allocation with constraints using Backtracking

22/11/2017

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Copulas: an alternative in risk measurement

15/11/2017

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Risk Parity in Python

08/11/2017

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The herd effect in financial markets

02/11/2017

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Markov chains

24/10/2017

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Portfolio risk control: risk parity vs. inverse volatility

19/10/2017

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World connections using financial indexes

11/10/2017

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The Kalman filter

04/10/2017

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Calculate monthly returns…with Pandas

27/09/2017

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This is why Machine Learning boosts your brain

20/09/2017

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Neural networks

13/09/2017

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Foreseeing the future: a user’s guide

06/09/2017

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Stochastic portfolio theory, revisited!

26/07/2017

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«Past performance is no guarantee of future results», but helps a bit

12/07/2017

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Playing with Prophet on financial time series (again)

28/06/2017

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Interviewing prices: don’t settle for less

21/06/2017

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The Simpson Paradox

07/06/2017

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Seeing the market through the trees

25/05/2017

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Shift or stick? Should we really ‘sell in May’?

18/05/2017

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What to expect when you are the SPX

04/05/2017

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K-Means in investment solutions: fact or fiction

19/04/2017

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Lévy Flights. Foraging in a finance blog. Part II

06/04/2017

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How to… use bootstrapping in portfolio management

29/03/2017

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What is the difference between Artificial Intelligence and Machine Learning?

23/03/2017

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Playing with Prophet on financial time series

09/03/2017

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Prices transformation cheat sheet

02/03/2017

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Dual momentum analysis

23/02/2017

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Random forest: many are better than one

15/02/2017

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Non-parametric estimation

01/02/2017

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Classification trees in Matlab

20/01/2017

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Using Multidimensional Scaling on financial time series

12/01/2017

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Applying genetic algorithms to define a trading system

22/12/2016

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Graph theory: connections in the market

01/12/2016

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Lévy flights. Foraging in a finance blog

16/11/2016

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Data cleansing & data transformation

10/11/2016

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Principal component analysis

04/11/2016

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Comparing ETF sector exposure using Chord Diagrams

13/10/2016

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Learning with kernels: an introductory approach

28/09/2016

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SVM versus a monkey. Make your bets.

15/09/2016

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Clustering: «Two’s company, three’s a crowd»

29/07/2016

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Euro Stoxx Strategy with Machine Learning

15/07/2016

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Visualizing Fixed Income ETFs with T-SNE

07/07/2016

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Hierarchical clustering, using it to invest

22/06/2016

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Lasso applied in portfolio management

15/06/2016

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Markov switching regimes say… bear or bullish?

09/06/2016

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Exploring extreme asset returns

27/05/2016

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Playing around with future contracts

13/05/2016

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«K-Means never fails», they said…

28/04/2016

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What is the difference between Bagging and Boosting?

20/04/2016

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BETA: Upside Downside

14/04/2016

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Outliers: looking for a needle in a haystack

06/04/2016

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Autoregressive model in S&P 500 and Euro Stoxx 50

31/03/2016

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«Let’s make a deal»: from TV shows to identifying trends

17/03/2016

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Machine Learning: a brief breakdown

03/03/2016

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Approach to dividend adjustment factor calculation

24/02/2016

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Are low-volatility stocks expensive?

18/02/2016

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Predict returns using historical patterns

10/02/2016

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Stock classification with ISOMAP

27/01/2016

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Could the Stochastic Oscillator be a good way to earn money?

13/01/2016

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Central limit theorem: visual demonstration

01/12/2015

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Sir Bayes: all but not naïve!

21/10/2015

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Returns clustering with k-Means algorithm

14/10/2015

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Correlation and cointegration

25/09/2015

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Momentum premium factor (II): dual momentum

11/08/2015

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Dynamic Markowitz Efficient Frontier

28/07/2015

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Confusion matrix & MCC statistic

24/06/2015

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Prices convolution, a practical approach

17/06/2015

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‘Sell in May and go away’…

08/06/2015

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S&P 500 y relative strength index II

05/06/2015

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Performance and correlated assets

05/06/2015

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Reproducing the S&P500 by clustering

08/05/2015

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Retrocesos y extensiones de Fibonacci

13/04/2015

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Size effect anomaly

26/03/2015

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Predicting gold using currencies

09/03/2015

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La paradoja de Simpson

06/03/2015

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Inverse ETFs versus short selling: a misleading equivalence

09/02/2015

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Random forest vs simple tree

07/01/2015

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S&P 500 y relative strength index

18/12/2014

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Efecto herding

20/11/2014

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Cointegración: seguimiento sobre cruces cointegrados

28/10/2014

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Seasonality systems

20/10/2014

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Una aproximación risk parity

17/10/2014

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Números de Fibonacci

03/10/2014

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Using decomposition to improve time series prediction

26/09/2014

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Las cadenas de Markov

11/09/2014

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Clasificando el mercado mediante árboles de decisión

05/09/2014

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Momentum premium factor sobre S&P 500

28/08/2014

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Árboles de clasificación en Matlab

18/08/2014

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Fractales y series financieras II

31/07/2014

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Redes neuronales II

30/07/2014

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El gestor vago o inteligente…

16/07/2014

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In less of a Bayes haze…

16/07/2014

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Teoría de valores extremos II

08/07/2014

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De Matlab a Octave

04/07/2014

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Cointegración

27/06/2014

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Cópulas: una alternativa en la medición de riesgos

30/05/2014

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¿Por qué usar rendimientos logarítmicos?

31/03/2014

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Análisis de componentes principales

31/03/2014

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Vecinos cercanos en una serie temporal

30/03/2014

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Redes Neuronales

30/03/2014

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Fuzzy Logic

30/03/2014

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El filtro de Kalman

28/03/2014

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Estimación no paramétrica

28/03/2014

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Fractales y series financieras

28/03/2014

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In a Bayes haze…

28/03/2014

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Volatility of volatility. A new premium factor?

28/03/2014

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Caso práctico: multidimensional Scaling

28/03/2014

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Teoría de valores extremos

28/03/2014