Daring to quantify the markets |

Python

Group Funds with the Sun

05/12/2018

All

Creating our own S&P 500 Momentum ETF

24/10/2018

Asset Management

Erratic correlation: an illustration through Chord diagrams

03/10/2018

Python

Backtesting algorithms… with Python!

06/09/2018

Risk Management

To be or not to be (correlated)

05/07/2018

Asset Management

Monkey quants & sector rotation

26/04/2018

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

All

The lazy or intelligent fund manager

10/01/2018

Artificial Intelligence

Forecasting S&P 500 using Machine Learning

20/12/2017

Artificial Intelligence

Asset allocation with constraints using Backtracking

22/11/2017

Python

Risk Parity in Python

08/11/2017

All

Markov chains

24/10/2017

All

Portfolio risk control: risk parity vs. inverse volatility

19/10/2017

All

The Kalman filter

04/10/2017

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

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

Asset Management

How to… use bootstrapping in portfolio management

29/03/2017

All

Playing with Prophet on financial time series

09/03/2017

All

Dual momentum analysis

23/02/2017

Artificial Intelligence

Random forest: many are better than one

15/02/2017

R

Using Multidimensional Scaling on financial time series

12/01/2017

All

Comparing ETF sector exposure using Chord Diagrams

13/10/2016

All

Euro Stoxx Strategy with Machine Learning

15/07/2016

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

BETA: Upside Downside

14/04/2016

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

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

‘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

Size effect anomaly

26/03/2015

All

Predicting gold using currencies

09/03/2015

All

Inverse ETFs versus short selling: a misleading equivalence

09/02/2015

All

S&P 500 y relative strength index

18/12/2014

All

Seasonality systems

20/10/2014

All

Una aproximación risk parity

17/10/2014

All

Using decomposition to improve time series prediction

26/09/2014

All

Las cadenas de Markov

11/09/2014

All

Momentum premium factor sobre S&P 500

28/08/2014

All

Fractales y series financieras II

31/07/2014

All

El gestor vago o inteligente…

16/07/2014

All

¿Por qué usar rendimientos logarítmicos?

31/03/2014

All

Fuzzy Logic

30/03/2014

All

El filtro de Kalman

28/03/2014

All

Fractales y series financieras

28/03/2014

All

Volatility of volatility. A new premium factor?

28/03/2014