This is a summary of links featured on Quantocracy on Friday, 11/29/2019. To see our most recent links, visit the Quant Mashup. Read on readers!
-
Contribute to The Alpha Scientist blog! [Alpha Scientist]You may have noticed that this blog has been mostly inactive in 2019. Earlier this year, I took a full-time position with one of my buy-side consulting clients focused on researching methodologies for application of ML / data science to alpha research. While I'm thoroughly enjoying the work, it creates constraints on my bandwidth and flexibility to share research here. However, despite a lack
-
Automated Trading Systems: Architecture, Protocols, Types of Latency [Quant Insti]The automated trading system or Algorithmic Trading has been at the centre-stage of the trading world for more than a decade now. A trading system, more commonly referred as a trading strategy is nothing but a set of rules, which is applied to the given input data to generate entry and exit signals (buy/sell). Although formulating a trading strategy seems like an easy task, in reality,
-
Financial Models Numerical Methods in Jupyter Notebooks (h/t @PyQuantNews)This is a collection of Jupyter notebooks based on different topics in the area of quantitative finance. Is this a tutorial? Almost! 🙂 This is just a collection of topics and algorithms that in my opinion are interesting. It contains several topics that are not so popular nowadays, but that can be very powerful. Usually, topics such as PDE methods, Lvy processes, Fourier methods or Kalman
-
When the Wednesday Before Thanksgiving Closes at a New High [Quantifiable Edges]Thanksgiving has some seasonal tendencies, with Wednesday and Friday often being bullish, and the Monday after being bearish. This year not only did Wednesday perform well, but it left the SPX at a new high heading into the holiday. So I decided to look back at other times SPX closed at a 50-day high on the day before Thanksgiving. 2019-11-28 Results here show a bearish inclination over the next 2