This is a summary of links featured on Quantocracy on Wednesday, 04/19/2023. To see our most recent links, visit the Quant Mashup. Read on readers!
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Setting up an alpha-generating strategy from scratch: A practical example [DileQuante]As a quantitative researcher, your main goal is to find new financial edges. In this article, we will show an overview of the pipeline for designing alpha-generating investment strategies, with associated python code as usual. Here are the main steps that will be presented. Investment rationale Data collection Model training Backtesting Strategy falsification Strategy evaluation Before starting,
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Financial Machine Learning pitfalls: it s levioosa, not leviosaa [Quant Dare]Financial data is one of kind: we think is non-stationary, and the samples are non-iid, which means one cannot simply apply common machine learning techniques. In this post, we briefly cover some pitfalls when using machine learning algorithms in a financial context. 1. Harry Potter and the model that predicts prices Internet is full of articles claiming it is possible to predict prices using