This is a summary of links featured on Quantocracy on Thursday, 04/30/2020. To see our most recent links, visit the Quant Mashup. Read on readers!
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Using random forest to model limit order book dynamic [R Trader]In this article I use the random forest algorithm to forecast mid price dynamic over short time horizon i.e. a few seconds ahead. This is of particular interest to market makers to skew their bid/ask spread in the direction of the most favorable outcome. Most if not all the literature on the topic (see references below) focuses on applying straight out of the box algorithm to create forecast at
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The VIX Futures Basis [Robot Wealth]In the eye of the recent storm, with VIX up over 50, many traders were looking to short the VIX using products like TVIX. Surely its going to coming back down? Well yeah, it will, eventually, but that doesnt mean that you can profitably short VIX products. First, some basics What is VIX? VIX is a benchmark index for SPX volatility. It shows the SPX options markets expected
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Understanding Neural Networks (with Graphs) [Quant Dare]Artificial Neural Networks (ANN) have been applied with success to many daily tasks that needed human supervision, but due to its complexity, it is hard to understand how they work and how they are trained. Along this blog, we have deeply talked about what Neural Networks are, how they work, and how to apply them to problems such as finding outliers or forecasting financial time series. In this