This is a summary of links featured on Quantocracy on Monday, 09/09/2019. To see our most recent links, visit the Quant Mashup. Read on readers!
-
Bagging in Financial Machine Learning: Sequential Bootstrapping [Hudson and Thames]To understand the Sequential Bootstrapping algorithm and why it is so crucial in financial machine learning, first we need to recall what bagging and bootstrapping is and how ensemble machine learning models (Random Forest, ExtraTrees, GradientBoosted Trees) work. It all starts from a Decision Tree algorithm. As we all know Decision Tree is an extremely useful machine learning algorithm which
-
CTAs in Perspective [Spring Valley]CTAs, mostly trend followers, have historically delivered meaningful diversification to both traditional and alternative asset classes. However, CTAs have struggled over the last ten years. There have been various explanations such as low volatility, increased correlations, and suppressed interest rates. By understanding the drivers behind trend following, we isolate the impact each variable has
-
Build Your Own Long/Short [Flirting with Models]We exploit the idea that long-only strategies are long/short portfolios all the way down, we demonstrate how to isolate the active bets of portfolio managers. Using the example of a momentum / low-volatility barbell portfolio, we construct a simple long/short portfolio using ETFs and S&P 500 futures. Recognizing that not all investors will have access to S&P 500 futures, we argue