This is a summary of links featured on Quantocracy on Thursday, 05/27/2021. To see our most recent links, visit the Quant Mashup. Read on readers!
-
Fit forecast weights by instrument, by group or fit across all markets? Or all three? [Investment Idiocy]I've long been a critic of the sort of people who think that one should run a different trading system for each instrument that you trade. It is the sort of thing that makes intuitive sense; surely the S&P 500 is a completely different animal to the Corn future? And that's probably true for high frequency traders, but not at the sort of timescales that I tend to trade over (holding
-
Different methods for mitigating overfitting on Neural Networks [Quant Dare]Using Machine Learning and Deep Learning models to solve scientific problems of greater or lesser complexity is a challenge. Referring to neural networks, on the one hand, simple networks with too little capacity will not learn the problem well producing a model that underfits the data. On the other hand, complex networks with too much capacity will learn it too well leading to a model that
-
Update on Recent Matrix Profile Work [Dekalog Blog]Since my previous post, on Matrix Profile (MP), I have been doing a lot of online reading about MP and going back to various source papers and code that are available at the UCR Matrix Profile page. I have been doing this because, despite my initial enthusiasm, the R tsmp package didn't turn out to be suitable for what I wanted to do, or perhaps more correctly I couldn't hack it to get