# Post by Date

## 2018

## June 2018

### How to compute the Planar Maximally Filtered Graph (PMFG)June 3, 2018

How to compute the Planar Maximally Filtered Graph (PMFG)

## May 2018

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

Deflated Sharpe Ratio

### APIs for getting crypto related dataMay 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. ...

## March 2018

### Physiological analytics for sportsMarch 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...

## February 2018

### AQR Academic FactorsFebruary 17, 2018

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

### Quant BlogsFebruary 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...

## 2017

</ul>## December 2017

### Tail Dependence CoefficientsDecember 4, 2017

Research material:

## November 2017

### Riemannian Geometry of Correlation MatricesNovember 13, 2017

Research material:

### PhD defense - Some contributions to the clustering of financial time seriesNovember 11, 2017

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

### [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...

## September 2017

### [Clustering] How to sort a distance matrixSeptember 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.

## August 2017

### Download & Play with Cryptocurrencies Historical Data in PythonAugust 25, 2017

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

### Reading list of NLP stuffAugust 24, 2017

General NLP:

### Quick correlation study between BTC/USD and ETH/USDAugust 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...

### Field reports from ICML 2017 in SydneyAugust 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...

## July 2017

### Study of US Stocks Correlations, Hierarchies and ClustersJuly 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...

## June 2017

### Ether vs. Bitcoin -- Part 0 bisJune 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...

### Ether vs. Bitcoin -- Part 0June 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...

### June Ethereum London Meetup at Imperial CollegeJune 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...

## May 2017

### Swap Data Repositories for Credit Default SwapsMay 28, 2017

What are Swap Data Repositories?

### [Clustering] How and Where should you cut a dendrogram?May 12, 2017

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