This is a summary of links featured on Quantocracy on Thursday, 08/13/2020. To see our most recent links, visit the Quant Mashup. Read on readers!
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Feature Selection (1 / 3) [Tr8dr]I am often confronted with the problem of trying to reduce a high dimensional feature set to a, smaller, more effective one. Reducing dimension is important for machine learning models as: the volume of the search space grows exponentially at a minimum rate of 2d for binary categorical variables to a much higher exponential for continuous or n-ary categoricals. the joint-distribution of high
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An Introduction to Digital Signal Processing for Trend Following [Alpha Architect]Digital signal processing (DSP), specifically the use of digital filters, is embedded in many indicators used by technical analysts to study and make trading decisions using time series of stock, bond, currency, commodity, and other financial asset prices. This analysis takes a look at several of the most commonly-used indicators from a DSP perspective to illustrate their properties and