This is a summary of links featured on Quantocracy on Thursday, 11/22/2018. To see our most recent links, visit the Quant Mashup. Read on readers!
Queue Position Simulation [Systematic Edge]First off, Happy Thanksgiving! If time permits in the coming months Id like to explore more on how I look at High Frequency (HF) data. Hopefully along the way I can spark some new discussion and improve on my thought process. HFT strategy simulation is no easy task. I am referring to this as an simulation because its purely an approximation of how a strategy would have performed given a
Decision Tree For Trading Using Python [Quant Insti]Decision Trees, are a Machine Supervised Learning method used in Classification and Regression problems, also known as CART. Remember that a Classification problem tries to classify unknown elements into a class or category; the output always are categorical variables (i.e. yes/no, up/down, red/blue/yellow, etc.) A Regression problem tries to forecast a number such as the return for the next day.
Estimating the probability of something that never happened [Quant Dare]Have you ever needed to estimate the probability of a rare event? So rare that you havent been able to encounter it in real data? Well, what if I told you that there exists a way to calculate a statistically correct approximation. Oh, and you wont even need a calculator! Recently I have just heard of the statistical Rule of three. No, this is not the mathematical Rule of three