This is a summary of links featured on Quantocracy on Thursday, 09/21/2017. To see our most recent links, visit the Quant Mashup. Read on readers!
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Option Chain Extraction For NSE Stocks Using Python [Quant Insti]We are back again with another post on Python. Our last post, Basic Operations on Stock data using Python was well received and we are glad to see the number of likes & shares for the post on various quant trading and Python forums. Keep them coming! Financial market data is a very critical element of a trading system. Be it historical or live data, you need data for various purposes
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Trinity Portfolio (Lite) from @MebFaber [Allocate Smartly]This is a test of the Trinity Portfolio from Meb Faber and Cambria Investments, so named for the three key elements of the strategy: (1) a globally diversified mix of assets, (2) a tilt towards the value and momentum factors, and (3) exposure to momentum and trend-following. Weve titled our test Trinity Lite because weve made some not insignificant changes to Fabers original model
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Seven Habits of Highly Ineffective Quants [CXO Advisory]Why dont machines rule the financial world? In his September 2017 presentation entitled The 7 Reasons Most Machine Learning Funds Fail, Marcos Lopez de Prado explores causes of the high failure rate of quantitative finance firms, particularly those employing machine learning. He then outlines fixes for those failure modes. Based on more than two decades of experience, he concludes that: