This is a summary of links featured on Quantocracy on Wednesday, 01/15/2020. To see our most recent links, visit the Quant Mashup. Read on readers!
-
Petra on Programming: A New Zero-Lag Indicator [Financial Hacker]I have been recently hired to code a series of indicators based on monthly articles in the Stocks & Commodities magazine, and to write here about the details of indicator programming. Looking through the magazine, I found many articles useful, some a bit weird, some a bit on the esoteric side. So I hope I wont have to code Elliott waves or harmonic figures one day. But this first one is a
-
Autoencoder based outlier detection in Forex [Quant Dare]In FOREX, both the EURCHF and USDCHF series have outliers that can be a problem when applying Machine Learning techniques to them. So, in this post, the performance of an autoencoder detecting these anomalies is going to be studied. Analyzing the EURCHF and USDCHF returns, it can be seen that there are days in which there was a very abrupt change in the price. The reasons for this are as follows:
-
Top 5 Most Interesting Papers from the Annual Finance Geek Fest [Alpha Architect]The American Finance Association Annual Meetings have now come and gone (here is information on the broader conference). The conference was in sunny San Diego this year and Im told it did not disappoint! 1 This 3-day conference collects the brightest minds in academia to discuss hundreds of new research papers a gold mine for new and exciting ideas! We always look at the mounds of papers