This is a summary of links featured on Quantocracy on Friday, 10/21/2022. To see our most recent links, visit the Quant Mashup. Read on readers!
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QuantConnect Integration with MlFinLab [Hudson and Thames]Announcing that MlFinLab is fully integrated into the powerful backtesting and execution platform of QuantConnect! At the start of 2022, we set out to improve the user experience across all of our products and to improve the accessibility of our libraries. This meant integrations into platforms that have a strong community, historical simulations, data feeds, and live execution. QuantConnect was a
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Correlation Matrices Denoising: Results from Random Matrix Theory [Portfolio Optimizer]The estimation of empirical correlation matrices in finance is known to be affected by noise, in the form of measurement error, due in part to the short length of the time series of asset returns typically used in their computation1. Worse, large empirical correlation matrices have been shown to be so noisy that, except for their largest eigenvalues and their associated eigenvectors, they can