This is a summary of links featured on Quantocracy on Wednesday, 10/07/2020. To see our most recent links, visit the Quant Mashup. Read on readers!
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New Site: Cleaning Tick and Quote Data [Machine Factor Tech]Every business that cares about machine learning needs its Sandor Straus. Cleaning and enriching data to make it more useful is the secret ingredient to every successful AI strategy. Sandor Straus was Renaissanse Technologies data guru responsible for cleaning, storing and enriching the data used in machine learning models. Straus was obsessive about two things. First, he took painstaking efforts
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FX Swap pricing and the mystery of Covered Interest Parity [Quant Dare]Sometimes described as a sort of physical law in international finance [1], Covered Interest Parity (CIP) has failed to hold after the Global Financial Crisis (GFC) of 2008. This has given rise to an interesting debate during the last decade that has resulted in relevant insights regarding international financial markets in general and FX Swaps in particular. This post will be the first of a