I’m fortunate enough to be participating in a lecture series at work that covers deep learning and its applications in finance. This will be a series of posts documenting what I learn and implementing the ‘homework’ (I’m 32, how am I still getting homework?) using Julia and Flux.| Dean Markwick
Cyclical embeding (or encoding) is a basic transformation for nunmerical variables that follow a cycle. Let’s explore how they work.| Dean Markwick
These Cheesy Broccoli Chicken Fritters are crispy, protein-packed, and ready in just 30 minutes! Easy, family-friendly, and perfect for busy weeknights.| The Yummy Bowl
A big part of market microstructure is price impact and understanding how you move the market every time you trade. In the simplest sense, every trade upends the supply and demand of an asset even for a tiny amount of time. The market responds to this change, then responds to the response, then responds to that response, etc. You get the idea. It’s a cascading effect of interactions between all the people in the market.| Dean Markwick
A Pluto.jl notebook containing simple graphs for evaluating Covid-19 situations in Vietnam| ltungv
People are never short of a trade idea. There is a whole industry of researchers, salespeople and amateurs coming up with trading ideas and making big calls on what stock will go up, what country will cut interest rates and what the price of gold will do next. Alpha capture is about systematically assessing ideas and working out who has alpha and generates profitable ideas and who is just making it up as they are going along.| Dean Markwick
Enjoy a lighter twist on a classic favorite with this Healthy Baked Ziti recipe inspired by Olive Garden. Perfect for a wholesome and delicious meal that doesn't compromise on flavor.| The Yummy Bowl
I’ve been working a lot recently with stereo vision and wanted to go through the basics of how disparity is calculated. I’m partially doing this as an excuse to get better at Julia (v1.9.3 used here). You can view the notebook for this blog post on Github: Introduction In much the same way that we as humans can have depth perception by sensing the difference in the images we see between our left and right eyes, we can calculate depth from a pair of images taken from different locations, c...| fnands
“1984” is one of my favorite novels. I’ve easily read it six times, and I’ll surely read it several more before I pass on. For such an intense read, it’s a surprisingly quick one; no more than a couple of hours long. The story is told with such clarity and economy that there’s virtually no […]| clontzville.com
Read enough quant finance papers or books and you’ll come across the Ornstein–Uhlenbeck (OU) process. This is a post that explores the OU process, the equations, how we can simulate such a process and then estimate the parameters.| Dean Markwick
I recently listened to S7E3 of Flirting with Models which had Nick Baltas talking about Multi Asset and Multi-Strategy portfolios. Nick highlighted his work on cross-asset skew and how it can compliment your typical equity factors (momentum, growth, value etc.) and is an under-explored topic in portfolio construction. After reading the original paper, Cross-Asset Skew, I decided to try and replicate the results and see whether skew comes out in the wash and produces any alpha.| Dean Markwick
A good prediction model isn’t necessarily a good causal model. You could be missing a key variable in your dataset that is driving the underlying behavior so you end up with a good predictive model but not the correct explanation as to why things behave that way. Taking a causal approach is a tougher problem and needs an understanding of whether we have access to the right variables or we are making the right link between variables and an outcome. Causal regularisation is a method that uses...| Dean Markwick
In which we reach the first plateau of clever, then (unfortunately) stop climbing.| blogs.perl.org
Julia isn't growing fast enough to compete with Python| Asterisk
The Julia programming language probably isn't growing fast enough| Asterisk
The Julia programming language probably isn't growing fast enough| Asterisk
Is the Julia programming language growing fast enough?| Asterisk
Statistical arbitrage (stat arb) is a pillar of quantitate trading that relies on mean reversion to predict the future returns of an asset. Mean reversion believes that if a stock has risen higher it’s more likely to revert in the short term which is the opposite of a momentum strategy that believes if a stock has been rising it will continue to rise. This blog post will walk you the ‘the’ statistical arbitrage paper Statistical Arbitrage in the US Equities Market apply it to a stock/ET...| Dean Markwick
Climbing Mount Everest is a true test of human endurance with a real risk of death. The Himalayan Database is a data repository, available for free, that records various details about the peaks, people, and expeditions to climb the different Nepalese Himalayan mountains and provides the data for this analysis. In this blog post, I’ll show you how to load the database and explore some of the features before building a model that tries to predict how you can successfully climb Mount Everest.| Dean Markwick