This is a summary of links featured on Quantocracy on Friday, 10/09/2020. To see our most recent links, visit the Quant Mashup. Read on readers!
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Corr-correlation [OSM]We recently read two blog posts from Robot Wealth and FOSS Trading on calculating rolling pairwise correlations for the constituents of an S&P 500 sector index. Both posts were very interesting and offered informative ways to solve the problem using different packages in R: tidyverse or xts. Well use those posts as a launchpad to explore the rolling correlation concept with respect to
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L pez de Prado on machine learning in finance [Mathematical Investor]Marcos Lpez de Prado, whom we have featured in previous Math Scholar articles (see Article A, Article B and Article C), has been invited to present a keynote presentation at the ACM Conference on Artificial Intelligence in Finance, to be conducted virtually October 14-16, 2020. Lpez de Prado is a faculty member of Cornell University and also CEO of True Positive Technologies, LP, a private
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Value Investing Factor Research: How to Improve the Piotroski F-Score Measure [Alpha Architect]This project builds on research conducted by J. Piotroski, who published his paper Value Investing: The Use of Historical Financial Statement Information to Separate Winners from Losers in 2000, offering a simple yet powerful framework to separate the winners from the losers in a value-investing context (summary here). You can read about how Piotroskis research is utilized as a quality screen