This is a summary of links featured on Quantocracy on Sunday, 06/23/2019. To see our most recent links, visit the Quant Mashup. Read on readers!
-
DeepTrading with Tensorflow IV [Todo Trader]fter you have trained a neural network (NN), you would want to save it for future calculation and eventually deploying to production. So, what is a Tensorflow model? Tensorflow model contains the network design or graph and values of the network parameters that we have trained. Important Note: I know that the reader is impatient to use real data from the financial markets. Please be patient, I
-
Post Opex Weakness Typical in June [Quantifiable Edges]In March I discussed how the weeks following options expiration in March, June, and September have been the worst 3 weeks of the year. Below I have updated the June stats and profit, which I also showed last June. 2019-06-23 The strong, steady downslope and bearish numbers suggest we are entering a very weak seasonal period. It will be interesting to see how the market holds up this week, and
-
Process Noise Covariance Matrix Q for a Kalman Filter [Dekalog Blog]Since my last post I have been working on the process noise covariance matrix Q, with a view to optimising both the Q and R matrices for an Extended Kalman filter to model the cyclic component of price action as a Sine wave. However, my work to date has produced unsatisfactory results and I have decided to give up trying to make it work. The reasons for this failure are unclear to me, and I