This is a summary of links featured on Quantocracy on Saturday, 02/09/2019. To see our most recent links, visit the Quant Mashup. Read on readers!
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Towards Better Keras Modeling [Alpha Scientist]The field of deep learning is frequently described as a mix of art and science. One of the most "art-sy" parts of the field, in my experience, is the subject of network topology design – i.e., choosing the right geometry, size, depth, and type of the network. Machine learning practitioners develop rules of thumb and instincts for reasonable starting points, and heuristics exist for how
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Portfolio construction through handcrafting: Empirical tests [Investment Idiocy]This post is all about handcrafting; a method for doing portfolio construction which human beings can do without computing power, or at least with a spreadsheet. The method aims to achieve the following goals: Humans can trust it: intuitive and transparent method which produces robust weights Can be easily implemented by a human in a spreadsheet Can be back tested Grounded in solid theoretical
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Understanding dollar cross-currency basis [SR SV]Covered interest parity is an arbitrage condition that equalizes costs of direct USD funding and of synthetic USD funding through FX swaps. Deviations are called dollar cross-currency basis and have become a common occurrence since the great financial crisis. A negative dollar basis means direct funding in USD if accessible is cheaper than synthetic funding via swaps. An apparent