This is a summary of links featured on Quantocracy on Thursday, 04/18/2019. To see our most recent links, visit the Quant Mashup. Read on readers!
Daily Extremes – Significance of time [Philipp Kahler]Analysing at which time daily market extremes are established shows the significance of the first and last hours of market action. See how different markets show different behaviour and see what can be learned from this analysis. Probability of Extremes A day of trading usually starts with a lot of fantasies for the future, then we try to survive the day and end it with a lot of hope for tomorrow.
Gini Index For Decision Trees [Quant Insti]Decision trees are often used while implementing machine learning algorithms. The hierarchical structure of a decision tree leads us to the final outcome by traversing through the nodes of the tree. Each node consists of an attribute or feature which is further split into more nodes as we move down the tree. But how do we decide which attribute/feature should be placed at the root node, which
SPX Strangle – 2018 Review [DTR Trading]I've been a little curious how the SPX strangle has been performing since I last analyzed it's results back in 2015. For this article, we'll just look at the following variations and how they performed from January 2007 through December 2018: 59 DTE – 16 Delta Short Strikes (100:50) / 2 DTE – exit if the trade has a loss of 100% of its initial credit OR if the trade has a profit of