How to compute the Planar Maximally Filtered Graph (PMFG)
Deflated Sharpe Ratio
Following my blog post Download & Play with Cryptocurrencies Historical Data in Python, I got several times questions on how to get the historical data. ...
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...
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...
Here are the slides. The PhD studies were generously funded by Hellebore Capital.
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...
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.
To access the CryptoCompare public API in Python, we can use the following Python wrapper available on GitHub: cryCompare.
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...
My colleague, Mikolaj Binkowski, at Hellebore Capital was at the 34th International Conference on Machine Learning ICML 2017 in Sydney to represent the comp...
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...
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...
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...
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...
What are Swap Data Repositories?