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Quant Mashup - Timely Portfolio
Quantocracy is no longer available via daily email. You can still follow us via RSS or our other socials. - Mike
Puts as Protection [Timely Portfolio]
Many asset management firms are happily enjoying record revenue and profits driven not by inorganic growth or skillful portfolio management but by a seemingly endless increase in US equity prices. These firms are effectively commodity producers entirely dependent on the price of an index over which
- 8 years ago, 16 Mar 2017, 05:34pm -
visNetwork, Currencies, and Minimum Spanning Trees [Timely Portfolio]
Just because I’m ignorant doesn’t mean I won’t try things. Feel free to correct any ignorance that follows. More than anything I would like to feature the new htmlwidget visNetwork. I thought the example from Minimum Spanning Trees in R applied to currency data (similar to this research paper
- 10 years ago, 23 May 2015, 06:12am -
Timely Portfolio: Is Time Series Clustering Meaningless? [Timely Portfolio]
A kind reader directed me in a comment on Experiments in Time Series Clustering to this paper. Clustering of Time Series Subsequences is Meaningless: Implications for Previous and Future Research Eamonn Keogh and Jessica Lin Computer Science & Engineering Department University of California –
- 10 years ago, 5 Mar 2015, 02:51pm -
Experiments in Time Series Clustering [Timely Portfolio]
Last night I spotted this tweet about the R package TSclust. I should start by saying that I really don’t know what I’m doing, so be warned. I thought it would interesting to apply TSclust to the S&P 500 price time series. I took the 1-day simple rate of change, grouped by year with dplyr,
- 10 years ago, 2 Mar 2015, 11:10am -

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