This is a summary of links featured on Quantocracy on Saturday, 04/04/2020. To see our most recent links, visit the Quant Mashup. Read on readers!
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Pandemics and Factor Investing: A Glimpse into the Past [Alpha Architect]When I was in the Marines we were voluntold to read a lot on the history of warfare. This mandate came from General Mattis desire that we lean on the 5,000+ years of fighting experience amongst us illustrious humans. Of course, history never tells you exactly what will happen in the future, but the perspective of history can be useful for preparing ourselves for the future. In a similar
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Accelerating Python for Exotic Option Pricing (h/t @PyQuantNews) [Nvidia Developer]In finance, computation efficiency can be directly converted to trading profits sometimes. Quants are facing the challenges of trading off research efficiency with computation efficiency. Using Python can produce succinct research codes, which improves research efficiency. However, vanilla Python code is known to be slow and not suitable for production. In this post, I explore how to use Python
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A statistical learning workflow for macro trading strategies [SR SV]Statistical learning for macro trading involves model training, model validation and learning method testing. A simple workflow [1] determines form and parameters of trading models, [2] chooses the best of these models based on past out-of-sample performance, and [3] assesses the value of the deployed learning method based on further out-of-sample results. A convenient technology is the