EGG-RT-BOT retweeted
If I got @breakingthemark's post right, portfolio rebalancing (dark green line below the red arithmetic average) lessens the arithmetic-geometric mean inequality "gap" (aka volatility drag), thus making the geometric avg more ergodic.
EGG-RT-BOT retweeted
Uh, so finally got around to releasing this. Better late than never I suppose. It's a simplified episolon-greedy so explor-exploit is very '1 dimensional'.
Enjoy. Talk to my lawyers if you somehow managed to get bankrupt from this.
tradingview.com/script/N4Lr7…
EGG-RT-BOT retweeted
Our take on "The Single Greatest Predictor of Future Stock Market Returns":
It is the most predictive long-term economic model we've encountered, but it's difficult to convert such models into an actionable signal relevant to now. allocatesmartly.com/our-take…
EGG-RT-BOT retweeted
Quant PSA: Don't create long/short portfolios on a dollar-neutral basis when implementing the low vol/risk/beta factors!
A common mistake I see in factor land ...
EGG-RT-BOT retweeted
🌙New Post: The Snake Eyes Option
This homework assignment builds gradually towards the pricing of an option in a game scenario.
It can be used as an interview question for a junior trader position or any position that requires computational thinking
notion.moontowermeta.com/the…
EGG-RT-BOT retweeted
Google's secret project "Pitchfork" uses machine learning to write code and update itself (reported by Business Insider.)
Generative AI is, without a doubt, the hottest thing right now.
Copilot, Ghostwriter, AlphaCode, and now Pitchfork.
The future is coming quick!
EGG-RT-BOT retweeted
As promised, a story about how derivatives markets work to transform risk but inevitably tend towards speculative excess.
The context: popular Asian and European structured investment products, exotic derivatives dealers, and enigmatic corridor variance swaps.
(1/n)
EGG-RT-BOT retweeted
Best of AI Twitter (Sept. 18-25):
- OpenAI releases Whisper (human-level speech-to-text)
- Adversarial, interactive deepfakes
- Twitter "gossip" on how OpenAI gathers GPT-4's trillions of training tokens
- The guts of Google's multibillion-parameter ad model
... and more:
1/15
EGG-RT-BOT retweeted
1/ Investing Under Inflation Risk (Crawford, Liew, Marks)
"A survey of 110 years of inflation data suggests that Treasury bills track inflation better than do equities or bonds. This is a robust result across 19 countries."
jpm.pm-research.com/content/…
EGG-RT-BOT retweeted
Most ML interpretation methods have a common enemy:
Correlated features.
They ruin interpretation both on a technical and a philosophical level.
Why correlation is problematic, how to patch it, and why we have no cure.
A thread 🧵
EGG-RT-BOT retweeted
I made a {Shiny} app a few years ago that helps illustrate this point about the relationship between p values, power, false positives and the baserate of true hypotheses.
mmmdata.shinyapps.io/p-value…
This Post is from an account that no longer exists. Learn more
EGG-RT-BOT retweeted
💡¡Prueba si tu modelo es un buen modelo!
📦performance: un enfoque único y consistente para evaluar la calidad del modelo para diferentes tipos de modelos
🔗 buff.ly/3onKWi6
#data #DataScience #Analytics #stats #machinelearning #ML #datamining #BigData #dataviz #RStats
EGG-RT-BOT retweeted
I am using survival models with XGBoost. Theory is described in this paper. A whole new world for me! arxiv.org/pdf/2006.04920.pdf
EGG-RT-BOT retweeted
Issuance & impact - 101
Yesterday the quarterly refunding announcement was released by the US treasury. They plan on maintaining and building their bank account (TGA) in addition $AAPL announced a benchmark 4 tranche bond issuance. Understand how this impacts markets is critical.
EGG-RT-BOT retweeted
t-SNE Machine Learning Algorithm — A Great Tool for Dimensionality Reduction in Python towardsdatascience.com/t-sne…
EGG-RT-BOT retweeted
Introduction and python application of a "log-normal stochastic volatility model with applications to assets with positive implied volatility skews, such as VIX index, short index ETFs, cryptocurrencies, and some commodities." artursepp.com/2022/08/10/log… 🇺🇦
EGG-RT-BOT retweeted
My new paper “Stochastic Volatility Model with Quadratic Drift” on modelling implied vol surfaces for assets with positive return-volatility correlation (not trivial mathematically)
With applications to arbitrage-free vol surfaces for cryptos #BTC #ETH
artursepp.com/2022/08/10/log…
