This is a summary of links featured on Quantocracy on Wednesday, 11/03/2021. To see our most recent links, visit the Quant Mashup. Read on readers!
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The brave new world of probability and statistics [Mathematical Investor]Today, arguably more than ever before, the world is governed by the science of probability and statistics. Big data is now the norm in scientific research, with terabytes of data streaming into research centers from satellites and experimental facilities, analyzed by supercomputers. Data mining is now an essential part of mathematical finance and business management. Numerous public
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One-N against the world! [OSM]Were taking a short break from neural networks to return to portfolio optimization. Our last posts in the portfolio series discussed risk-constrained optimization. Before that we examined satisificing vs. mean-variance optimization (MVO). In our last post on that topic, we simulated 1,000 60-month (5-year) return series using the 1987-1991 period for our four assets: stocks, bonds, commodities