HKML (3) ML (18) cryptocurrency (2) deep learning (2) ethereum (3) healthtech (1) networks (1) qfin (6) quant (3) stats (4)

HKML (3)

[HKML] Hong Kong Machine Learning Meetup Season 1 Episode 1

July 18, 2018

[HKML] Hong Kong Machine Learning Meetup Season 1 Episode 1

[HKML] Hong Kong Machine Learning Meetup Season 1 Episode 2

August 21, 2018

[HKML] Hong Kong Machine Learning Meetup Season 1 Episode 2

[HKML] Hong Kong Machine Learning Meetup Season 1 Episode 3

October 9, 2018

[HKML] Hong Kong Machine Learning Meetup Season 1 Episode 3

ML (18)

A Monte Carlo study of the ``Combination of Rankings'' methods

August 31, 2018

A Monte Carlo study of the ``Combination of Rankings’’ methods

Combination of Rankings

August 16, 2018

Combination of Rankings - A Proper Merging of Experts Views

Field reports from ICML 2017 in Sydney

August 11, 2017

My colleague, Mikolaj Binkowski, at Hellebore Capital was at the 34th International Conference on Machine Learning ICML 2017 in Sydney to represent the comp...

PhD defense - Some contributions to the clustering of financial time series

November 11, 2017

Here are the slides. The PhD studies were generously funded by Hellebore Capital.

Reading list of NLP stuff

August 24, 2017

General NLP:

Study of US Stocks Correlations, Hierarchies and Clusters

July 24, 2017

In this small study, we use hierarchical clustering techniques to explore the structure of correlations between US stocks. To do so, we first download a data...

[Bloomberg Meetup] The Forefront of Technologies in Finance

September 1, 2018

[Bloomberg Meetup] The Forefront of Technologies in Finance

[Book] Neural Network Methods for Natural Language Processing

September 20, 2018

[Book] Neural Network Methods for Natural Language Processing

[Clustering] How and Where should you cut a dendrogram?

May 12, 2017

[Clustering] How to sort a distance matrix

September 7, 2017

Following the Ecole Polytechnique - Data Science Summer School where I got several times questions about how I produced the sorted correlation matrices disp...

[Field report] Data Science Summer School at Ecole Polytechnique (with Bengio, Russell, Bousquet, Archambeau and others)

September 2, 2017

A small field report with personal viewpoint about the Data Science Summer School (Ecole Polytechnique) Monday, Aug. 28 – Friday, Sept. 1, 2017.

[ICML 2018] Day 1 - Tutorials

July 10, 2018

[ICML 2018] Day 1 - Tutorials

[ICML 2018] Day 2 - Representation Learning, Networks and Relational Learning

July 11, 2018

[ICML 2018] Day 2 - Representation Learning, Networks and Relational Learning

[ICML 2018] Day 3 - Energy, GANs, Rankings, Curriculum Learning, and our paper

July 12, 2018

[ICML 2018] Day 3 - Energy, GANs, Rankings, Curriculum Learning, and our paper

[ICML 2018] Day 4 - Time-Series Analysis, NLP, and More Human-like Learning Machines

July 13, 2018

[ICML 2018] Day 4 - Time-Series Analysis, NLP, and More Human-like Learning Machines

[ICML 2018] Retrospectives

July 16, 2018

[ICML 2018] Retrospectives

``Combination of Rankings'' - The Full Coverage Case

September 2, 2018

``Combination of Rankings’’ - The Full Coverage Case

``Combination of Rankings'' - The Stationary Distribution

September 5, 2018

``Combination of Rankings’’ - The Stationary Distribution

cryptocurrency (2)

APIs for getting crypto related data

May 14, 2018

Following my blog post Download & Play with Cryptocurrencies Historical Data in Python, I got several times questions on how to get the historical data. ...

Download & Play with Cryptocurrencies Historical Data in Python

August 25, 2017

To access the CryptoCompare public API in Python, we can use the following Python wrapper available on GitHub: cryCompare.

deep learning (2)

Neural Style Transfer applied to paintings

June 23, 2018

In this short blog, we apply the fast style transfer as implemented in tensorflow/magenta.

On the difficulty of reading numbers in different languages

June 25, 2018

On the difficulty of reading numbers in different languages

ethereum (3)

Ether vs. Bitcoin -- Part 0

June 22, 2017

In this introduction notebook, we simply displayed the distribution of the returns and see that tails are heavy, meaning that standard quant models cannot be...

Ether vs. Bitcoin -- Part 0 bis

June 28, 2017

For the last few days, ETH has lost 1/3 of its value with -20% several days in a row. We update the initial study with up-to-date data to take into account t...

June Ethereum London Meetup at Imperial College

June 16, 2017

I attended this evening the June Ethereum London Meetup at Imperial College (I have been there a couple of times before). Imperial College’s big amphitheater...

healthtech (1)

Physiological analytics for sports

March 4, 2018

I recently got a Garmin Forerunner 935 (advised by a good friend of mine). After using it for two months, I can say that I’m happy with it so far. It has lot...

networks (1)

How to compute the Planar Maximally Filtered Graph (PMFG)

June 3, 2018

How to compute the Planar Maximally Filtered Graph (PMFG)

qfin (6)

Hierarchical Risk Parity - Implementation & Experiments (Part I)

October 2, 2018

Hierarchical Risk Parity - Implementation & Experiments (Part I)

Hierarchical Risk Parity - Implementation & Experiments (Part II)

October 15, 2018

Hierarchical Risk Parity - Implementation & Experiments (Part II)

How to detect false strategies? The Deflated Sharpe Ratio

May 30, 2018

Deflated Sharpe Ratio

Network-based vs. Minimum Variance portfolios: Any deep connections?

October 10, 2018

Network-based vs. Minimum Variance portfolios: Any deep connections?

Quick correlation study between BTC/USD and ETH/USD

August 22, 2017

import numpy as np import scipy import pandas as pd import matplotlib.pyplot as plt %matplotlib inline import seaborn as sns import json from datetime import...

Swap Data Repositories for Credit Default Swaps

May 28, 2017

What are Swap Data Repositories?

quant (3)

AQR Academic Factors

February 17, 2018

AQR has released an implementation of the well-known academic factors in its AQR Data Library:

Quant Blogs

February 13, 2018

Here a tentative of a list of interesting blogs to keep up with quant best practices to study financial markets. I hope that my readers will help me curate t...

[Book] The UnRules - Man, Machines and the Quest to Master Markets

October 16, 2018

[Book] The UnRules - Man, Machines and the Quest to Master Markets

stats (4)

How to sample uniformly over the space of correlation matrices? The onion method

October 5, 2018

How to sample uniformly over the space of correlation matrices? The onion method

Riemannian Geometry of Correlation Matrices

November 13, 2017

Research material:

Tail Dependence Coefficients

December 4, 2017

Research material:

[Correlation] How to visualize dependence between two variables?

November 5, 2017

In this blog, we provide a snippet of code to explore the dependence between two variables. We illustrate its use on visualizing the dependence between a few...