Daring to quantify the markets |

All

The Benford law and the Zipf law

05/10/2018

Asset Management

Erratic correlation: an illustration through Chord diagrams

03/10/2018

All

Value at Risk or Expected Shortfall

26/09/2018

All

Practical TDD and numerical precision

20/09/2018

Artificial Intelligence

Evening class imbalance before the war

12/09/2018

Python

Backtesting algorithms… with Python!

06/09/2018

Artificial Intelligence

10 Reasons for loving Nearest Neighbors algorithm

18/07/2018

All

Hierarchical Risk Parity

11/07/2018

Risk Management

To be or not to be (correlated)

05/07/2018

All

Bootstrapping time series data

28/06/2018

All

Biclustering time series

23/05/2018

Artificial Intelligence

Improving data diversity. Synthetic Financial Time Series Generator

09/05/2018

Asset Management

Monkey quants & sector rotation

26/04/2018

Python

Python performance: a comparison

18/04/2018

All

The Elo system

12/04/2018

All

Quantitative clustering with Machine Learning

28/03/2018

Python

Demystifying the Hurst exponent

14/03/2018

All

Diversity is the ultimate diversification strategy

07/03/2018

All

The magic of Fibonacci numbers

28/02/2018

Asset Management

Survivorship bias: an investment decision trap

21/02/2018

Asset Management

The Kelly criterion

14/02/2018

Asset Management

Correlation with prices or returns: that is the question

07/02/2018

Asset Management

How do stock market prices work?

31/01/2018

Python

When distance is the issue

24/01/2018

All

Cointegration in Economy: a long-term relationship

17/01/2018

All

The lazy or intelligent fund manager

10/01/2018

Artificial Intelligence

Forecasting S&P 500 using Machine Learning

20/12/2017

Python

Hierarchical clustering of Exchange-Traded Funds

13/12/2017

All

Dropout in feed-forward neural networks

06/12/2017

All

Fibonacci retracement and extensions

29/11/2017

Artificial Intelligence

Asset allocation with constraints using Backtracking

22/11/2017

All

Copulas: an alternative in risk measurement

15/11/2017

Python

Risk Parity in Python

08/11/2017

All

The herd effect in financial markets

02/11/2017

All

Markov chains

24/10/2017

All

Portfolio risk control: risk parity vs. inverse volatility

19/10/2017

All

World connections using financial indexes

11/10/2017

All

The Kalman filter

04/10/2017

Python

Calculate monthly returns…with Pandas

27/09/2017

Artificial Intelligence

This is why Machine Learning boosts your brain

20/09/2017

All

Neural networks

13/09/2017

Asset Management

Foreseeing the future: a user’s guide

06/09/2017

Artificial Intelligence

Stochastic portfolio theory, revisited!

26/07/2017

All

“Past performance is no guarantee of future results”, but helps a bit

12/07/2017

R

Playing with Prophet on financial time series (again)

28/06/2017

All

Interviewing prices: don’t settle for less

21/06/2017

All

The Simpson Paradox

07/06/2017

Risk Management

Seeing the market through the trees

25/05/2017

All

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

18/05/2017

All

What to expect when you are the SPX

04/05/2017

Asset Management

K-Means in investment solutions: fact or fiction

19/04/2017

Risk Management

Lévy Flights. Foraging in a finance blog. Part II

06/04/2017

Asset Management

How to… use bootstrapping in portfolio management

29/03/2017

All

What is the difference between Artificial Intelligence and Machine Learning?

23/03/2017

All

Playing with Prophet on financial time series

09/03/2017

All

Prices transformation cheat sheet

02/03/2017

All

Dual momentum analysis

23/02/2017

Artificial Intelligence

Random forest: many are better than one

15/02/2017

Artificial Intelligence

Non-parametric estimation

01/02/2017

All

Classification trees in Matlab

20/01/2017

R

Using Multidimensional Scaling on financial time series

12/01/2017

All

Applying genetic algorithms to define a trading system

22/12/2016

Artificial Intelligence

Graph theory: connections in the market

01/12/2016

All

Lévy flights. Foraging in a finance blog

16/11/2016

Artificial Intelligence

Data cleansing & data transformation

10/11/2016

Risk Management

Principal component analysis

04/11/2016

All

Comparing ETF sector exposure using Chord Diagrams

13/10/2016

All

Learning with kernels: an introductory approach

28/09/2016

All

SVM versus a monkey. Make your bets.

15/09/2016

All

Clustering: “Two’s company, three’s a crowd”

29/07/2016

All

Euro Stoxx Strategy with Machine Learning

15/07/2016

All

Visualizing Fixed Income ETFs with T-SNE

07/07/2016

All

Hierarchical clustering, using it to invest

22/06/2016

All

Lasso applied in portfolio management

15/06/2016

All

Markov switching regimes say… bear or bullish?

09/06/2016

All

Exploring extreme asset returns

27/05/2016

All

Playing around with future contracts

13/05/2016

All

“K-Means never fails”, they said…

28/04/2016

All

What is the difference between Bagging and Boosting?

20/04/2016

All

BETA: Upside Downside

14/04/2016

All

Outliers: looking for a needle in a haystack

06/04/2016

All

Autoregressive model in S&P 500 and Euro Stoxx 50

31/03/2016

All

“Let’s make a deal”: from TV shows to identifying trends

17/03/2016

All

Machine Learning: a brief breakdown

03/03/2016

All

Approach to dividend adjustment factor calculation

24/02/2016

All

Are low-volatility stocks expensive?

18/02/2016

All

Predict returns using historical patterns

10/02/2016

All

Dream team: combining classifiers

03/02/2016

All

Stock classification with ISOMAP

27/01/2016

All

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

13/01/2016

All

Central limit theorem: visual demonstration

01/12/2015

All

Sir Bayes: all but not naïve!

21/10/2015

All

Returns clustering with k-Means algorithm

14/10/2015

All

Correlation and cointegration

25/09/2015

All

Momentum premium factor (II): dual momentum

11/08/2015

All

Dynamic Markowitz Efficient Frontier

28/07/2015

All

Confusion matrix & MCC statistic

24/06/2015

All

Prices convolution, a practical approach

17/06/2015

All

‘Sell in May and go away’…

08/06/2015

All

S&P 500 y relative strength index II

05/06/2015

All

Performance and correlated assets

05/06/2015

All

Reproducing the S&P500 by clustering

08/05/2015

All

Retrocesos y extensiones de Fibonacci

13/04/2015

All

Size effect anomaly

26/03/2015

All

Predicting gold using currencies

09/03/2015

All

La paradoja de Simpson

06/03/2015

All

Inverse ETFs versus short selling: a misleading equivalence

09/02/2015

All

Random forest vs simple tree

07/01/2015

All

S&P 500 y relative strength index

18/12/2014

All

Efecto herding

20/11/2014

All

Cointegración: seguimiento sobre cruces cointegrados

28/10/2014

All

Seasonality systems

20/10/2014

All

Una aproximación risk parity

17/10/2014

All

Números de Fibonacci

03/10/2014

All

Using decomposition to improve time series prediction

26/09/2014

All

Las cadenas de Markov

11/09/2014

All

Clasificando el mercado mediante árboles de decisión

05/09/2014

All

Momentum premium factor sobre S&P 500

28/08/2014

All

Árboles de clasificación en Matlab

18/08/2014

All

Fractales y series financieras II

31/07/2014

All

Redes neuronales II

30/07/2014

All

El gestor vago o inteligente…

16/07/2014

All

In less of a Bayes haze…

16/07/2014

All

Teoría de valores extremos II

08/07/2014

All

De Matlab a Octave

04/07/2014

All

Cointegración

27/06/2014

All

Cópulas: una alternativa en la medición de riesgos

30/05/2014

All

¿Por qué usar rendimientos logarítmicos?

31/03/2014

All

Análisis de componentes principales

31/03/2014

All

Vecinos cercanos en una serie temporal

30/03/2014

All

Redes Neuronales

30/03/2014

All

Fuzzy Logic

30/03/2014

All

El filtro de Kalman

28/03/2014

All

Estimación no paramétrica

28/03/2014

All

Fractales y series financieras

28/03/2014

All

In a Bayes haze…

28/03/2014

All

Volatility of volatility. A new premium factor?

28/03/2014

All

Caso práctico: multidimensional Scaling

28/03/2014

All

Teoría de valores extremos

28/03/2014