Quant Mashup - Mintegration
Intra-day data from Quandl and a new tick database in town – party time! [Mintegration]
Quandl will soon be offering intra-day data (1 min bars). Rock on ! I was kindly given some data to test out (see below). I can’t say much more than this but keep an eye out for an official announcement soon 🙂 With both QuantGo and Quandl offering reasonably priced intra-day data, smaller trading
- 8 years ago, 16 Feb 2016, 01:28pm -
Strategy Replication - Evolutionary Optimization based on Financial Sentiment Data [Mintegration]
Wow, I enjoyed replicating this neatly written paper by Ronald Hochreiter. Ronald is an Assistant Professor at the Vienna University of Economics and Business (Institute for Statistics and Mathematics). In his paper he applies evolutionary optimization techniques to compute optimal rule-based
- 8 years ago, 28 Sep 2015, 04:44am -
Risk Budgeted Portfolios with an Evolutionary Algorithm [Mintegration]
In my previous post I demonstrated how a risk parity portfolio could be calculated numerically using a Newton method. However, the more common problem is to be able to set risk budget constraints as opposed to having equal risk. We can do this with PCTR constrained optimization by setting PCTR
- 8 years ago, 14 Sep 2015, 07:32pm -
A Trendy and Innovative Investment Strategy [Mintegration]
“It has been a cruel summer for one of the trendiest, most innovative investment strategies of the asset management industry”. This quote was taken from an article last week in the FT. • Title: Risk parity funds suffer a cruel summer • Author: Robin Wigglesworth • Source: Financial Times
- 8 years ago, 7 Sep 2015, 07:29pm -
Strategy Replication – Nonlinear SVMs can systematically identify stocks with high and low future returns [Mintegration]
I’ve replicated the following academic paper from my favourite journal; • Title: Nonlinear support vector machines can systematically identify stocks with high and low future returns • Authors: Ramon Huerta, Fernando Corbacho, and Charles Elkan • Journal: Algorithmic Finance (2013) 45-58 45,
- 8 years ago, 4 Sep 2015, 04:54am -