This is a summary of links featured on Quantocracy on Saturday, 04/15/2023. To see our most recent links, visit the Quant Mashup. Read on readers!
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Machine Learning Trading Essentials (Part 1): Financial Data Structures [Hudson and Thames]Trading in financial markets can be a challenging and complex endeavour, with ever-changing conditions and numerous factors to consider. With markets becoming increasingly competitive all the time, it is a never ending struggle to stay ahead of the curve. Machine learning (ML) has made several advances in recent years, particularly by becoming more accessible. One might think then why not use ML
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Corrected Cornish-Fisher Expansion: Improving the Accuracy of Modified Value-at-Risk [Portfolio Optimizer]Modified Value-at-Risk (mVaR) is a parametric approach to computing Value-at-Risk introduced by Zangari1 that adjusts Gaussian Value-at-Risk for asymmetry and fat tails present in financial asset returns2 through a mathematical technique called CornishFisher expansion. Since its publication, mVaR has been widely adopted by academic researchers, financial regulators3 and practitioners, who