My colleague, Mikolaj Binkowski, at Hellebore Capital was at the 34th International Conference on Machine Learning ICML 2017 in Sydney to represent the comp...
Here are the slides. The PhD studies were generously funded by Hellebore Capital.
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...
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
[ICML 2018] Day 2 - Representation Learning, Networks and Relational Learning
[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
Following my blog post Download & Play with Cryptocurrencies Historical Data in Python, I got several times questions on how to get the historical data. ...
To access the CryptoCompare public API in Python, we can use the following Python wrapper available on GitHub: cryCompare.
deep learning (2)
In this short blog, we apply the fast style transfer as implemented in tensorflow/magenta.
On the difficulty of reading numbers in different languages
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...
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...
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...
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...
How to compute the Planar Maximally Filtered Graph (PMFG)
Deflated Sharpe Ratio
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...
What are Swap Data Repositories?
AQR has released an implementation of the well-known academic factors in its AQR Data Library:
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...
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...