# Post by Category

## 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 (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.

## 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 (3)

### How to detect false strategies? The Deflated Sharpe Ratio May 30, 2018

Deflated Sharpe Ratio

### 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...