This is a summary of links featured on Quantocracy on Wednesday, 01/19/2022. To see our most recent links, visit the Quant Mashup. Read on readers!
Best Research Practices for Your Quant Group [Hudson and Thames]Its early in the morning and the markets are about to open. As an individual trader/investor, or perhaps the manager of a group of traders/investors, you are intensely studying the latest news feed that you think may have an impact on your portfolio. Amongst the other plethora of tools at your disposal, you have often read about some of the amazing stories from algorithmic trading groups that
Clustering and correlations [Investment Idiocy]Happy new year! A very quick post from me this month – I'm trying to get ready for teaching next week and also cracking on with my latest book. On the Systematic Trader podcast I recently discussed using a clustering algorithim to group instruments. Using my software, pysystemtrade, I can get a correlation matrix of asset returns and cluster it quite easily (all the code for this post is here