This is a summary of links featured on Quantocracy on Sunday, 06/03/2018. To see our most recent links, visit the Quant Mashup. Read on readers!
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Sharpe Ratio > 1 : Careful What You Wish For [Quantum Financier]I had the pleasure to hang out with the good folks over at Resolve Asset Management recently. Part of our discussion centered around the differences between our two worlds. As you can imagine, prop trading is fairly different from institutional asset management. A topic of particular interest to both of us however was how to manage expectations. On their end one can imagine that in order to be
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Cleaning data for trading [Cuemacro]Nobody likes doing the boring stuff. We all want to go on holiday, but packing our bags is not the fun bit. We all want to have a nice burger (well, I do), but queuing for ages at an ever popular burger joint is not what we want. Traders all want to have positive P&L, but well negative P&L happens, sometimes. When it comes to data science, in whichever industry, cleaning data is going to
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Shapley Value Allocation of Operational Risk Capital Charges using Airport Problem Solution [Quant At Risk]In Financial Risk Management the most challenging part for quantitative modeling is, beyond any doubt, the Operational Risk (Ops Risk). It is defined as the risk of loss resulting from inadequate or failed internal processes, people and systems or from external events. This definition includes legal risk, but excludes strategic and reputation risk. According to Basel Committee, (not only American)