ML (7) cryptocurrency (1) ethereum (3) qfin (2) quant (2) stats (3)

ML (7)

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...

[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.

cryptocurrency (1)

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.

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...

qfin (2)

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 (2)

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...

stats (3)

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...