Collate Historical Twitter Feeds
I love the twitter feed of Carl Carrie and his feed has been very active in the last few years with some amazing links. Decided to write a simple code to parse all the historical tweets in a single html file for each reference.
Wrote a quick script to retrieve all the historical tweets and here is a massive set of link that can take more than a year to go through and understand!
| Date | Tweet |
|---|---|
| 2022-03-25 | Judgyprophet encodes the business estimate of how the event will affect the forecast as a Bayesian informative prior and incorporates that into a Prophet-based forecast. trend events damping level events changes and seasonality Python GitHub: https://t.co/WmJixQlsqX https://t.co/RP3CEnYYGk |
| 2022-03-25 | What if you could create machine learning models by simply talking to an AI? https://t.co/KMRg2YOKWm https://t.co/0eC8vc3XxS |
| 2022-03-25 | Not the first, not the last ML-based Crypto signal and direction classifier service: Python GitHub: https://t.co/NnIe2USF3c E.g. ₿ 60,518 📉 Score: -0.26 https://t.co/EXS8Xg7i7N https://t.co/TCoQcY9dXi |
| 2022-03-25 | Cryptocurrency Valuation: An Explainable AI Approach Paper: https://t.co/Bqew7z9u6K Python Code: https://t.co/R6fqpUf83j PUR Colab Notebook: https://t.co/igXI7bscHf MA Crossover Colab Notebook: https://t.co/W9ash8eoHL Buy & Hold Colab Notebook: https://t.co/2zL2upvhrg |
| 2022-03-24 | Data50 - inaugural class of the Data50. These are the bellwether companies in a space with spend > $70B and accounts for over one-fifth of all enterprise infrastructure spend. Via @a16z https://t.co/tytjgEvfZX https://t.co/Q0VbBJuhA2 |
| 2022-03-24 | A SPAC ushers investable quantum tech https://t.co/trOzIN0FCm |
| 2022-03-24 | FastTreeShap: designed to improve the computational efficiency of explainable machine learning SHAP / TreeSHAP for large datasets by using parallel computing. Blog: https://t.co/bSBn4IdNKP NeurIPS 2021 XAI4 Paper: https://t.co/xNMzfvwYWC Python GitHub: https://t.co/6bDhZEPUwM https://t.co/16YESk0EFB |
| 2022-03-22 | Economics and risk profile of making Liquidity in Crypto https://t.co/aNIbd03D0t https://t.co/ZB25ViWaBY |
| 2022-03-21 | Empirical intraday returns, volatility and information flows analysis of Bitcoin using a Mixture model - (2021) paper “Time-Varying Volatility in Bitcoin Market and Information Flow at Minute-Level Frequency” https://t.co/1lKCAdKS7F https://t.co/l7PRu83811 |
| 2022-03-20 | Data Structures and Algorithms #ebook https://t.co/E0185OKnbU https://t.co/o4KlRC7TkN |
| 2022-03-16 | Make research more usable and actionable by inserting it in a graph - ORKG Open Research Knowledge Graph (https://t.co/eYnHrkBgrn) https://t.co/DH6B4D0Tqa |
| 2022-03-16 | Paper on market impact on small futures orders/trades #TCA #MI #imbalance https://t.co/wj9WnXeAwu https://t.co/LM69Edzsfi |
| 2022-03-16 | Convexity in stocks: concave vs convex stocks - paper #gamma #vix #xma factor https://t.co/3n2HiAHu7c https://t.co/GAdf6yW9cB |
| 2022-03-14 | Factor performance in Cold Wars https://t.co/CcPtDeqEOm |
| 2022-03-13 | Correlated, spatial, or fuzzy patterns - PAMI Python GitHub: https://t.co/zHsdN0bein https://t.co/Sek1hcbW8c |
| 2022-03-13 | Mroib estimator - retail flow, internalization, unwinds and return predictability https://t.co/tqL3dSEnni US stock market microstructure paper https://t.co/dnFu4PDmlo |
| 2022-03-13 | ACI Volatility Paper - a change-point intensity (CPI) model to describe the dynamics of price-change events for a given level of threshold as a proxy for quote volatility #volatility #lob #estimator https://t.co/B8XjUaWCZ4 |
| 2022-03-13 | Messari on Metaverse and Web3 intersection https://t.co/NjU6sd46GY (Paywall) https://t.co/14pRMbzhvU |
| 2022-03-12 | Another example Jupyter Kaggle Notebook, simple timeseries forecast of a stock illustrating Fedot AutoML library use https://t.co/AVdJCOL8RX |
| 2022-03-12 | AutoML for TimeSeries - Fedot Article / Code Example: https://t.co/3Os5Dz702H Paper: https://t.co/bpmYBfPcgb Python GitHub: https://t.co/LXe57DtjPJ Jupyter Notebook Examples: https://t.co/HIrUuaWLnd https://t.co/Rio6pQ1NC1 |
| 2022-03-12 | Decompose time-series signals into deterministic and stochastic components, improving their individual modeling and forecasting - paper Empirical Mode Decomposition (EMD) Paper: https://t.co/PRH9XWWPpn |
| 2022-03-10 | A temporal mixture ensemble, capable of adaptively exploiting, for the forecasting, different sources of data and providing a volume point estimate for cryptocurrency volume - paper https://t.co/8uPNbzqDd4 https://t.co/5vZw4mKz0T |
| 2022-03-10 | Paper (2020) incorporates intraday information into a generalized autoregressive score (GAS) model: realized volatility at 5-min and 10-min sampling frequencies, and overnight returns for estimating risk of stock indices https://t.co/dKxn3OUp7X |
| 2022-03-09 | Hyperactive - AutoML prototyping, feature exploration, data visualizing, optimizing… Python GitHub: https://t.co/f31xVKy2Qw https://t.co/gJBx5ylfVt |
| 2022-03-08 | Pingouin - a Pandas compatible statistical library Python GitHub: https://t.co/LaEaYcwm5j Jupiter notebook example, robust correlations: https://t.co/ufWd8cMirh https://t.co/fGUjuf6Hb2 |
| 2022-03-08 | Deep dive on JPMorgan’s DeFi Playbook https://t.co/WJIuGTVAWi #crypto #fintech #web3 https://t.co/6kuQhDQmkO |
| 2022-03-08 | ‘Foundations of Data Science with Python’ Interactive #ebook with JupyterCards https://t.co/cuUot4rzV6 https://t.co/9uafqxggma |
| 2022-03-08 | SLearn - Symbolic representation of time-series for motif discovery, clustering, classification, forecasting, and anomaly detection using Scikit Python API. Repo: https://t.co/YsZB7g9Ts8 Related paper: https://t.co/pyCufU1hFq https://t.co/o1Hfq6MqIS |
| 2022-03-08 | Binance #lob visualized Javascript GitHub: https://t.co/xAjb0P68YS https://t.co/47PTXxgNLq |
| 2022-03-08 | Limit Order Book Modeling across multiple horizons using TensorFlow and GPUs for accelerated modeling #lob Paper: https://t.co/EEEIc5Thrv Jupyter Notebook / Python: https://t.co/CLN7SmIaj2 GitHub Repo: https://t.co/m4iyj3maOX https://t.co/Wl2i7IHl7Z |
| 2022-03-08 | Paper - limit order book trading as a sequential Markovian decision process within a reinforcement learning (RL) framework. Cancels are a free option Q-Learning #lob https://t.co/vp0XV2WgAW https://t.co/CDilD11u6b |
| 2022-03-08 | Deck on Deep Learning applied to Limit Order Book dynamics https://t.co/IuOs9VwZuA #lob https://t.co/pP5OGoO1j0 |
| 2022-03-08 | Deep limit order book modeling of Bitcoin on Coinbase #lob #crypto https://t.co/viLmRY6SPA https://t.co/Q1eip0Fzqi |
| 2022-03-05 | Pathos - consistent high-level interface for configuring and launching parallel computations across heterogeneous resources - in parallel with graph support, pipes, pools, … Paper: https://t.co/aUXveEF7VH Python GitHub: https://t.co/V4zuagVqoA Manual: https://t.co/fgETWse4K2 https://t.co/ScmsUSqayV |
| 2022-03-05 | Mystic is a low-level Python Optimization library to perform programmatic and highly-constrained non-convex optimization and uncertainty quantification with monitor and steer control. Python Source: https://t.co/gE9CvrUlXv Manual: https://t.co/1qhGGwVoNa https://t.co/sUR8x7AK7W |
| 2022-03-03 | Nowcast growth rates of economic indicators (Background) Paper: https://t.co/v9BTsNCQC1 #rstats GitHub: https://t.co/WIxYauwp8y https://t.co/1aW1KHXj3E |
| 2022-03-03 | DeepXF - Deep learning-based Explainable Forecasting, Nowcasting and Similarity Matching + low-code Article: https://t.co/i4uXHCmk0H Python GitHub: https://t.co/2P47asjeNe #timeseries https://t.co/Ffmk6eoV1s |
| 2022-03-02 | Meta’s reasoning AI agents https://t.co/CINrUoy26Y |
| 2022-03-02 | Co-movement in stocks https://t.co/rO1XUPqVdv AND https://t.co/kTiQ6ddUJg #tslearn #fbprophet #smoothing in Python https://t.co/cNNafvA47c |
| 2022-03-02 | Paper and code for training a neural-net for prediction using stock embeddings Paper: https://t.co/RlR7iXEKb8 Python GitHub: https://t.co/rAhVP17HCB Jupyter Notebook: https://t.co/F76vTFz7Rw https://t.co/i2lDFu5luL |
| 2022-02-27 | PySyft - Python PyTorch library extension to compute insights using data that remains federated / local: #dataprivacy #federatedlearning Python GitHub: https://t.co/yPH9OdhvtZ Federated Learning: https://t.co/hPug9Bnwb3 Split Neural Nets: https://t.co/uxX1c7BoKg |
| 2022-02-27 | DAO’s provide aligned incentives and decentralized human capital with operational efficiencies - short article provides perspective on why DAOs could be even more relevant in Web3 enterprises in 2022. https://t.co/8i1rbHhRMX https://t.co/jSQRLxf4GN |
| 2022-02-27 | Journal of Financial Data Science - Volume 3 | Number 4 | Fall 2021 https://t.co/q3sAVEMOiM https://t.co/3GC2r7tPNc |
| 2022-02-27 | Limit order book event price impact paper #TCA (2021) https://t.co/uaDJ0zzFzC https://t.co/jDonUua823 |
| 2022-02-26 | joint estimation and forecasting of dynamic value at risk (VaR) and expected shortfall (ES) in an intraday into a generalized autoregressive score (GAS) Paper: https://t.co/h9dqqIQa3o Realized Risk Measures - Library https://t.co/gYElHukNQr Online EDA: https://t.co/jWBJ7irc5U https://t.co/aEYDPWjEFz |
| 2022-02-26 | Cryptocurrency Valuation - with Explainable AI on a decision-tree #ml model with macro and monetary theory features // #Colab Notebooks Paper: https://t.co/FzKZavpaew Python GitHub: https://t.co/mJ1h6Nq7BZ https://t.co/S5KZutoF07 |
| 2022-02-26 | A minute-by-minute rolling window intraday estimation method using two nonlinear models: Long-Short-Term Memory (LSTM) neural networks and Random Forests (RF) applied to CBOE Volatility Index (VIX). Alas, new paper but older dataset w/o code. Paper: https://t.co/pxyUqDOvlI https://t.co/z680BhzKsp |
| 2022-02-26 | Analysis of #HFT on market liquidity, trading costs and competitive dynamics for NASDAQ OMX - market microstructure paper: https://t.co/GavYOr2LTm https://t.co/0Yqp3cVg78 |
| 2022-02-25 | Paper on RL-based market-making agent and a deep neural network (DNN)-based price predictor for automated market making // CBOE Paper: https://t.co/P9gxp1Inve #AMM https://t.co/5fpdzw9MU1 |
| 2022-02-24 | Deriving private information from trade-flows: The model yields a simple private information measure: λ×OIB (order imbalance) that helps explain return reversals, predicts return volatility, & increases before M&A announcements. Paper: https://t.co/3zJwV0OZgB #events #insight https://t.co/r6AlaULZyp |
| 2022-02-24 | Paper: ‘Benchmark Dataset of Limit Order Book in China Markets’ Deep Learning forecast of upcoming VWAP change and volume over 12 horizons ranging from 1 second to 300 seconds #Lob #HFT Paper Pdf: https://t.co/A1tbYE4mve Python / PyTorch GitHub: https://t.co/17IKWmllpm https://t.co/pSl7ipBkKx |
| 2022-02-22 | @phil_mackintosh opines on US Equity Trading costs - implicit vs explicit, spread cost vs liquidity capture and other aggregate #TCA dynamics https://t.co/gm7KAkAi2u https://t.co/PaP7N84LvS |
| 2022-02-21 | Paper on sectoral centrality https://t.co/NP7t5qyt9b https://t.co/FNLrpKh9Mh |
| 2022-02-21 | Good read on Crypto Protocols as Hyper-structures: Multi-person Non-zero sum, network-effect games… https://t.co/sxZNYwm78Q https://t.co/LnSdGqxyrm |
| 2022-02-21 | BTCUSD square-root market impact calculation in high frequency using CoinbasePro data, Julia and QuestDB And compare to CryptoLiquidtyMetrics costs, say for sweeping the book on moderate sized trade: https://t.co/vc5fCtOQZt https://t.co/YkT1uMtld4 https://t.co/tdRsFYoUlB |
| 2022-02-21 | Order Flow Imbalance #OFI Flow Trading Signal Generation Julia, QuestDB https://t.co/0Yd2slTpnr https://t.co/6HjWBva9OK |
| 2022-02-20 | JupyT5 a sequence transformer natural language generation model is trained on all publicly available Jupyter Notebooks & solves 77% of benchmark science problems (DSPs) Microsoft Research Paper: https://t.co/YbyfjysxBZ Related Python GitHub: https://t.co/bxQFCR7AAH #Bert #NLG https://t.co/UXYkuK9OgI |
| 2022-02-20 | NFT Volatility MultiFractal Analysis in this blog post… https://t.co/6iSfgg9yVb |
| 2022-02-20 | #AMM on #DEX - Paper https://t.co/L0A94EWa4A https://t.co/1UzRCMH0YL |
| 2022-02-20 | Temporal mixture ensemble models for probabilistic forecasting of intraday cryptocurrency trading volume - #LoB paper uses imbalance, slope and spread features https://t.co/8uPNbzqDd4 #AVAT https://t.co/AoL9YRvc4l |
| 2022-02-19 | Photophoretic flight WIRED article: https://t.co/9n7aAMDKLU Paper: https://t.co/TAPnMYhN7E |
| 2022-02-19 | Advanced Course in Asset Management by Amundi’s über quant, Thierry Roncalli over 1,520 Slides https://t.co/9YPYgTWIaI Or https://t.co/IJfNiNTg1S https://t.co/SS2ZyndObI |
| 2022-02-19 | Good #Dataviz of Global GDP Breakdowns by @VisualCap https://t.co/KXAVbhHdHB https://t.co/mZTuBa1oPJ |
| 2022-02-19 | Quantile Financial Time Series Forecasting using Temporal Transformers, attention, knowledge transfer and multi-objective optimization - S&P Futures example Python GitHub: https://t.co/6RHeezTn0K Related Paper: https://t.co/QAFYhqUmjH https://t.co/05qjJCtied |
| 2022-02-19 | FinTS - Microsoft’s Azure cloud based time-series forecasting package coded in R #Rstats GitHub: https://t.co/jJQS0OpWSX https://t.co/WdJ4XZ6nyk |
| 2022-02-19 | From Slang to a new Scala-like financial primitive-loaded computer language at Bridgewater https://t.co/QYnQrsMzDA |
| 2022-02-19 | Collection of Python Jupyter notebooks and blog links for quantitative investment research https://t.co/VeXhlBkPVj Blog: https://t.co/yrLaUyzPRV |
| 2022-02-19 | ETNA Is a Python based time, -series forecasting library featuring SOTA methods and optimized for ease-of-use https://t.co/wm4qZGFo50 https://t.co/cto1f1AEyQ |
| 2022-02-19 | QF-lib (QuarkFin) is a financial Python library built at CERN by their Pension team and has features for back testing, portfolio construction, time series analysis, risk monitoring and financial charting About: https://t.co/dwBATVM8bY Python GitHub: https://t.co/lCX4dyzM5S https://t.co/HSQzyiu6Yn |
| 2022-02-19 | Comprehensive Guide to Machine Learning (2019) In particular, this #ebook features extensive coverage of advanced regression techniques - lasso, total least squares… https://t.co/t8VT6Zuic2 https://t.co/BP0nn8ESd7 |
| 2022-02-19 | Grist, an open source relational spreadsheet Vs AirTable https://t.co/FS4jD3zWED Typescript GitHub: https://t.co/RYgdu1Dw2I |
| 2022-02-19 | Optimal execution of multi-asset portfolios in a Bayesian framework - #TCA paper https://t.co/iNB25OgEM0 https://t.co/XuqPG8MUjt |
| 2022-02-17 | Stock2Vec - a deep learning framework that leverages both the underlying Alphas and (nonlinear) Betas with a hybrid model that combines the advantages of both representation learning and deep networks Paper: https://t.co/9S1p7YiAaI Alternative Stock2Vec: https://t.co/AoVwp68ZSO https://t.co/FMKdNdYZAS |
| 2022-02-17 | Meta has open-sourced Ax - an accessible, general-purpose platform for managing, deploying, and automating adaptive experiments using Meta’s Bayesian Optimization Library - BoTorch (https://t.co/RZPcCeX4d8). Both are open-source Python GitHub: https://t.co/ejvpa2CGEt https://t.co/55wN6y9mAt |
| 2022-02-16 | JPMorgan’s global head of the Metaverse explains real-world Trillion dollar opportunities in their report https://t.co/ao5rG1IWJY JPM’d Decentraland Onyx Lounge virtual location features an image of bank CEO Jamie Dimon, which transforms into an image of Onyx’s Christine Moy. |
| 2022-02-15 | NLP NER Named Entity Recognition Few-NERD is a large-scale, fine-grained manually annotated named entity recognition dataset, which contains 8 coarse-grained types, 66 fine-grained types, 188K sentences, 491K entities and 4.6M tokens. Python GitHub: https://t.co/YTRFj12lOz https://t.co/tDjj8CIsLM |
| 2022-02-15 | Paper on the Convexity of Stocks and relationships to macro, sector and fundamentals https://t.co/QjFSDE03du https://t.co/GJIBW4jNyH |
| 2022-02-13 | Applied MacroEconomics GitHub: https://t.co/dBF9ZGGhOL Jupyter Python Binder: https://t.co/QBqznAEoaR |
| 2022-02-13 | Principles and Techniques of Data Science Python / Jupyter Intro Data Science #ebook https://t.co/IR8Vo9c5bV and https://t.co/feE4g7sHMr https://t.co/R1DcYBA1Km |
| 2022-02-11 | @Mikey0x_ Good thread on the diversity of #DeFi lending mechanisms |
| 2022-02-10 | Matrix profiles, Motifs, Shapelets and Microsoft Stock analysis Paper: https://t.co/qGrzz5evAb GitHub: https://t.co/bahfRt04OS |
| 2022-02-10 | A take on why Product Managers should code… At last a little… https://t.co/KRauPycFY0 |
| 2022-02-10 | “TikTok, which is owned by Chinese tech giant ByteDance, mostly allows third-party trackers to collect your data — and from there, it’s hard to say what happens with it.†#DataPrivacy https://t.co/3DfsAZCSff |
| 2022-02-10 | Neural 🧠Forecast NeuralForecast is a Python library for time series forecasting with deep learning models. It includes benchmark datasets, data-loading utilities, evaluation functions, statistical tests, univariate model benchmarks models in PyTorch. https://t.co/ndeytysUy7 https://t.co/gQmYXngaBz |
| 2022-02-10 | @irenealdridge paper on machine learning expandability focus on building trading strategies by constructing multi-factor regressions of target returns on lagged dominant features only instead of all factors. Applied to E-mini crude oil futures… https://t.co/tBR0dNf9mS |
| 2022-02-09 | MIT Tech Review on Meta’s multi-modal, multi-tasking AI: https://t.co/pRf3cbzDgR #Data2Vec - Ai Meta Article: https://t.co/i40cpZUzsv Paper: https://t.co/xaIq8TkYWt |
| 2022-02-09 | Collection of open math textbooks #ebooks https://t.co/Mjd0oIPuFN https://t.co/rd4IuKhWzi |
| 2022-02-07 | Talos - fully automating hyperparameter tuning and model evaluation with Keras for TensorFlow and PyTorch models without invasive syntax changes https://t.co/CqpS7SGSAd #ml https://t.co/rReVBFMkN5 |
| 2022-02-07 | Cryptocurrency trading: a comprehensive survey - paper https://t.co/hgh7byTmLS https://t.co/rZYaVqLAiU |
| 2022-02-07 | OpenCBDC - Project to explore creation of central bank digital currency (CBDC), a new form of money which supplements existing central bank reserve account balances and physical currency https://t.co/IJXLRFEtze https://t.co/vSBjsSNtsJ Paper: https://t.co/JPoVr5xckQ https://t.co/kJ4OQbWFYu |
| 2022-02-07 | This systematic mapping study on the structuring of research into cryptocurrency regulation: summarizes the research approaches, topics, contributions and challenges. https://t.co/D1dU3S6IjJ https://t.co/2sdOadvm4T |
| 2022-02-07 | Messari report on 2022 Crypto Outlook https://t.co/5x3QBx1Pd4 https://t.co/pBu5UrVGul |
| 2022-02-06 | @jonathanrlarkin Older style market desktops are powerful but not open to be part of modern cross-platform, cross-cloud workflows and that is a new benchmark to cross with lower code apps |
| 2022-02-06 | @jonathanrlarkin At Refinitiv we are building institutional financial Apps using Jupyter & Voila as a base along with a API rich backend (RDP) to power apps with content and analytics as a new powerful way to deliver streaming ML analytics with unusual transparency & extensibility to desktops. |
| 2022-02-06 | @jonathanrlarkin What Netflix has done with Papermill and Genie to schedule 150k Notebooks is eye-opening. 1/2 |
| 2022-02-06 | Tail risk measure estimator culled from intraday short-dated deep out of the money options data and closing prices https://t.co/tRd49AR3yi https://t.co/UKEuMOoOHK |
| 2022-02-06 | Crypto Liquidity Connectedness Paper: Bitcoin (BTC), Litecoin (LTC), Ethereum (ETH), Ripple (XRP), Monero (XMR), and Dash https://t.co/inW7VQ9vIN https://t.co/xeGp7wbZUg |
| 2022-02-06 | Stock liquidity in turbulent times | in FT https://t.co/I15fvb6Qmr https://t.co/aYB6QmyI9L |
| 2022-02-03 | Patterns in Python Programming: https://t.co/61Qyxp7uwm And https://t.co/iE34wShpEz |
| 2022-02-03 | @nan_type The ease to apply TPUs, GPU’s and FPGA is exciting… https://t.co/AxMjxINpca But we need the cloud optimization to evolve to better economics and performance for standard portfolio optimization |
| 2022-02-03 | @nan_type Good point - Guobi is faster than Mosek and this implementation https://t.co/tpDl1jZu25 However this model is open source under MIT license with pure Python code (no C/C++ optimizations) but a good fit for cloud and parallelization advancements including https://t.co/qyrCkFpC1x |
| 2022-02-03 | Economics of DaaS - Data as a Service https://t.co/H4qLAap8E2 https://t.co/Sgpl6XoUw8 |
| 2022-02-03 | Portfolio Optimization of large portfolios (an NP-Hard problem) using the simulated bifurcation algorithm (the application of quantum theory and stochastic calculus) Python GitHub: https://t.co/qXyRMnRF3J Paper: https://t.co/N7CJPQG4VF |
| 2022-02-03 | X as a Service growth report https://t.co/uNCJIVjCAD https://t.co/SK2y94o5xQ |
| 2022-02-02 | A short list of open problems in DeFi https://t.co/DdbeuWvtKl |
| 2022-02-02 | AlphaCode enters realm of automated competitive programming https://t.co/Pmc5t3oXXN |
| 2022-02-02 | Amazon retrospective and anatomy of their 6-page narrative and the impact on their business outcomes #biz https://t.co/AXgpQNGcYg |
| 2022-02-02 | Metaverse real estate dynamics Location, location, location: Sandbox, Decentraland, and Cryptovoxels https://t.co/cBejGlGE2v |
| 2022-02-02 | Model-centric startups profiled here https://t.co/ERbYeQBtpb https://t.co/imgj4YHbzM |
| 2022-02-01 | Modeling price impact without averaging using a Hawkes state model of current limit offer book yields a coherent #TCA estimator - paper https://t.co/lZIGgzI7Hk https://t.co/pWBSUqmmkQ |
| 2022-02-01 | Subreddit Wall Street Bets classifier in Python - noise vs worth a read - possible signal Python GitHub: https://t.co/AWfQeCiJh0 |
| 2022-02-01 | Retail stock and crypto trading data and data visualization of Reddit/WSB, short volume, options, insider trading, prices, and technicals App: https://t.co/wvTZdnccoa Python GitHub: https://t.co/k5htFPzdWn https://t.co/NkE1O6vF2S |
| 2022-02-01 | Network Effects deconstructed and explained https://t.co/YQeLFxeqnO https://t.co/6I6UsfRy7V |
| 2022-01-31 | TheEconomist interactive #dataviz on Spotify content: language, crossovers, … https://t.co/RxhTk2pXkY https://t.co/Kejyn7guAZ |
| 2022-01-31 | Facial recognition from DNA? Controversial on many levels. https://t.co/zojPWM5gmy https://t.co/f5nqF80aYf |
| 2022-01-31 | Liquidity commonality using ADV and Close prices and market invariant price impact formulas, liquidity estimator comparisons and code implementation Python GitHub: https://t.co/BwlBQGnewt 2016 Paper: https://t.co/2BRJpLGLdP #TCA #MI #Stocks #Liquidity Estimator https://t.co/eFENgegQsw |
| 2022-01-30 | Mpservice is a multiprocessing HTTP based service for streaming and async machine learning applications https://t.co/qzaQVkeElq |
| 2022-01-30 | NLP Profiling of Pandas data frames - sentiment, grammar, text complexity… Jupyter Notebook example: https://t.co/qsnhf3kThu Python GitHub: https://t.co/Hdwv9vFpbH Slides (PDF) https://t.co/ZSLrgiJ2xF https://t.co/wYpOx436Y3 |
| 2022-01-30 | Enombic is a (currently free) service that ranks 75 model based inevitable stock indexes https://t.co/gYcPSFJqGH https://t.co/t5srNuOX8B |
| 2022-01-30 | NewYorker on DAOs: history, governance and utility https://t.co/ZAjTl2p8ih #crypto #dao https://t.co/xaOEc5qUXp |
| 2022-01-30 | Legal threads on Tokenization https://t.co/5sbUVPoLi9 |
| 2022-01-29 | Genesis takes NFT as collateral for Crypto trading | FT https://t.co/5GjazDfk2C |
| 2022-01-29 | @profgalloway on Web3 https://t.co/TdHhRo9G7n |
| 2022-01-29 | Knowledge Graphs using AWS Neptune Into article: https://t.co/yUPIRFqzPB Semi-related code: https://t.co/NULVvv2VbI https://t.co/O4fUURCyac https://t.co/yJ5kpYMkPP |
| 2022-01-29 | Kglab - build knowledge graphs in Python https://t.co/2zlK2Y01HH Documentation: https://t.co/Jwwg3CttaR Related paper / kglab use case: https://t.co/74ZZVBf9OH https://t.co/JCqwAMTRA4 |
| 2022-01-29 | Crypto Pump and Dumps on Telegram Dataset, Python Code https://t.co/d63vscB84O Feature generation: https://t.co/k6uBBzCpiC 2020 Paper: https://t.co/mcsrKRL4vr |
| 2022-01-29 | Another good article on Product Management by the same author https://t.co/Afd8KtyajB |
| 2022-01-29 | Neuspo - Semantic search aggregation with NLP for Sports orchestration of stories and tweets in real-time Site: https://t.co/CGNATsKH9T Built by https://t.co/xo0nsZ3Mwe https://t.co/M7nOEdOSHo |
| 2022-01-29 | Product Management Anti-Pattern: Feature Factories https://t.co/KR2P5nNxDX https://t.co/FloFMpX3mb |
| 2022-01-29 | Realized volatility prediction - paper https://t.co/nrBttnk1zN https://t.co/4UuDWTk08D |
| 2022-01-29 | DeepTime - Deeptime is a general purpose scikit compatible Python library offering various tools to estimate linear & deep-learning models for time-series Paper: https://t.co/Uh6EcpivVb Python GitHub: https://t.co/1eC6UwrdkL https://t.co/XItbNhsgcM |
| 2022-01-29 | https://t.co/GU0zaJSBic - visual #ml pipelines and notebook / script orchestration https://t.co/rY7MycAyGa https://t.co/TuyQ4XspPc |
| 2022-01-29 | Continual Real-Time Streaming Learning - article https://t.co/nuwioM1uLB |
| 2022-01-29 | PyDP - Google collaboration with Open Mined: differential privacy using Python Jupyter Notebook Differential Privacy Demo https://t.co/Pqygwk1958 Python GitHub: https://t.co/lRM50CuHGs |
| 2022-01-28 | Google enters the Blockchajn / Digital Asset Services fray with Cloud based consensus/validator capabilities https://t.co/NDdo8D0eni |
| 2022-01-28 | Project L3 Atom Full Crypto limit order books reconstructed at scale using HPC + Cloud tech (along with indicators and backtesting) Article: https://t.co/M5Cqtna7OA GitHub: https://t.co/PKHD9jascl https://t.co/4IDlHb1hrg |
| 2022-01-27 | A new forecasting framework using Graphs called HIST that can adequately mine the concept-oriented shared information from both predefined and hidden concepts. #ml Paper: https://t.co/eNKiWoynGX Python GitHub: https://t.co/DBS5YiXBoo https://t.co/FWTkI6rmYh |
| 2022-01-27 | Credit Curves from the lens of parameterized survival https://t.co/g2LUIcfL9u https://t.co/qtNQDprytV |
| 2022-01-27 | Bond spread estimators - #liquidity paper https://t.co/NLvcMC0782 https://t.co/2APAL8i1E6 |
| 2022-01-26 | AI that builds AI Hypernetworks https://t.co/tXJbCPoPgf |
| 2022-01-25 | SSGA Quant research on model explainability in #ML investment models https://t.co/9CQgyC1wWr https://t.co/1zRHso1Apu |
| 2022-01-25 | Crypto Factor Structure paper: basis, momentum, combined https://t.co/CFrkUO2huY https://t.co/y5z1FGWycj |
| 2022-01-25 | “marketable |
| retail order flow imbalance†measure denoted Mroib from publicly-available data sources - paper Wholesaler incentives, institutional vs retail liquidity https://t.co/wvmzU9oFAq https://t.co/ZaDvGrErcR |
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| 2022-01-25 | Latent Dirichlet Allocation (LDA) Mallet Model for analyzing topics in Twitter chats (NOT sentiment) and using topics to develop actionable conversation maps [ article with embedded Python code snippets ] https://t.co/cW21PQayxD https://t.co/zoGUmxt10j |
| 2022-01-24 | Antropy - several time-efficient algorithms for computing the complexity and entropy of time-series Python GitHub: https://t.co/svuhAx6IRT Documentation: https://t.co/8grzXAsG8A Jupyter Notebook example: https://t.co/bbQkeqQtBf https://t.co/buqJx4DOWe |
| 2022-01-24 | When TCA is transparent, dynamic and interactive and infused with alternative data, it elevates the execution function… https://t.co/seQMT7VUm5 |
| 2022-01-24 | Multivariate Deep Lift based Stock Prediction Medium article: https://t.co/VKnQyaVtu6 Python GitHub: https://t.co/p8Yt0SNQJV Jupiter Notebook: https://t.co/aueu4FUo8L #LSTM #SHAP illustrates #dl methodology better than feature engineering https://t.co/LbQVSGOlzp |
| 2022-01-24 | Hmmm https://t.co/4DQhq6xOYM https://t.co/UbBmeOxiX3 |
| 2022-01-24 | PyTorch Tabular aims to make Deep Learning with Tabular data easy and accessible. Python PyTorch GitHub: https://t.co/CpPbMNIgvq Blog: https://t.co/lgM7jmRcwE Paper: https://t.co/vokdo5AoAe https://t.co/hlDtjCgv1O |
| 2022-01-24 | Neural Networks for Delta-Hedging (simple examples/code) Paper: https://t.co/pQqt8OnrVO Python & PyTorch GitHub: https://t.co/iwiSVzkaUL |
| 2022-01-24 | Deep-Hedgers: PFHedge is an open-source toolkit to apply deep hedging to financial derivatives: e.g. binary options and variance swaps Uses automatic differentiation and CUDA Python GitHub: https://t.co/kUOUg365gf Example Jupyter notebook: https://t.co/QVmQ1j9jwx https://t.co/74s6nUf0Eg |
| 2022-01-24 | A simple model to illustrate hedging using deep learning Google Colab: https://t.co/uiHs1w1szX Python GitHub: https://t.co/Ws0iOiuA2w 2019 article that highlights benefits of deep -hedging https://t.co/JJyGh7fByU And a more recent paper: https://t.co/Hv4HHBKAVd https://t.co/zeNbF9M23g |
| 2022-01-24 | The rise of open-source challengers https://t.co/As4AGsJB0K |
| 2022-01-23 | PyAnomaly - a Python library for asset pricing research including statistical time-series tools with a focus on firm characteristics and factor generation. https://t.co/9vcZZRnaVd https://t.co/1Z3ZGhGhut |
| 2022-01-23 | Openseries for financial time series calculations at basket level https://t.co/wFiOm4QAMb |
| 2022-01-23 | Mockseries - mock time-series with structural synthetic data generation eg [trend +seasonal +noise] Python GitHub: https://t.co/GrRe1krCRA https://t.co/hqFKEg4tcN |
| 2022-01-23 | Valuing ESOs (Employee Stock Options) Python GitHub: https://t.co/d49gv5rXtV Original 2002 Paper by Hull & White https://t.co/2rcAmkIXWo https://t.co/sUBoe7mOcJ |
| 2022-01-23 | FAMA factorization Web App: https://t.co/hSfPMgiTh0 Python Code: https://t.co/bHqiWKY8QV https://t.co/PXR9l7kJEF |
| 2022-01-23 | DistFit - FIt probability distributions Python GitHub: https://t.co/3YUTLjD615 https://t.co/qY1dgMFGfG |
| 2022-01-23 | Quixotic escapades in extracting knowledge using NLP (mostly biology related but insights are multi-discipline) Article: https://t.co/F1DCDWATAn Table: https://t.co/etWIGHpsKw |
| 2022-01-23 | FinGAT - a fully connected graph between stocks and inter-sector relationships formed with attention to predict stocks that will have highest return ratios Paper: https://t.co/mIo75oRnIT Python GitHub: https://t.co/89TGjbrLJg https://t.co/3VqO6ZDjxK |
| 2022-01-23 | DeepKE: A Deep Learning Based Knowledge Extraction Toolkit for Knowledge Bases Paper: https://t.co/K7cY7wMMW6 Python GitHub: https://t.co/DuJjrxhzZT #NER Tutorial https://t.co/RYmEDpJRk8 https://t.co/NPIo4Zndag |
| 2022-01-23 | Stock ranking infuses sector/industry, supply-chain and wiki relationships in a graph (eg same co-founders) for relative return prediction (alas, old data set) Paper: https://t.co/E3PMOPtb8o Python GitHub: https://t.co/xry0eA32Ry |
| 2022-01-23 | Google Trends Peak AI was January 2019? https://t.co/RFwGBdyxYu https://t.co/lag2qSkHeR |
| 2022-01-20 | Creating, selling NFTs on Facebook, Instagram should be expected proud outcomes in the $Meta verse https://t.co/16VxMAiB3K https://t.co/UXCMjGJGd9 |
| 2022-01-20 | Code diagrams vs draw them manually… Article: https://t.co/tVSfVLWNGg https://t.co/iIhElxmkh6 |
| 2022-01-20 | Event-driven backtesters VectorBT (supports event and vector bt): https://t.co/P8v84yKLit QF https://t.co/lCX4dyzM5S QS https://t.co/utFvixQwl7 AAT https://t.co/iXdtNxqYeQ Presso https://t.co/MjPHy6MHIT Or roll your own using this template: https://t.co/vMtNXO5oyD |
| 2022-01-20 | Structured Knowledge Grounding (SKG) leverages structured knowledge to complete requests, such as semantic parsing or Q&A over databases. Paper: https://t.co/lcmAalQVlm Python GitHub: https://t.co/WSDLlY4siX Project Page: https://t.co/LpeVQhm6kK #NLP #SKG https://t.co/UJNtx2kvmi |
| 2022-01-19 | Deep Forests - an effective & powerful option to the tree-based machine learning algorithms such as Random Forest or Boosted Trees. Python GitHub: https://t.co/UogW00Ha2C Get Started: https://t.co/NZMvqkF9Io Paper: https://t.co/QRcQ0dDbz3 Slides: https://t.co/2BeaMzU1vd https://t.co/jmhPpxapdn |
| 2022-01-18 | TuneTA - using OHLC prices and volume and a target feature such as return, TuneTA optimizes the parameters of technical indicators using distance correlation to the target feature. TunaTA supports - Pandas TA - TA-Lib - FinTA Python GirHub: https://t.co/pY3cmMfA8r https://t.co/HkXK6PIl2t |
| 2022-01-16 | Simple colab notebook to display intraday (1 minute bar-based) stock volume profiles and TPO charts https://t.co/R2k1qZRrVD https://t.co/NNUyAtoMKr |
| 2022-01-16 | Simple way to fit Gaussian probability density function to trading volume profiles #kde https://t.co/WLDhDlkNTQ https://t.co/HG420bRufc |
| 2022-01-16 | Paper: ‘Simulating Multi-Asset Classes Prices Using Wasserstein Generative Adversarial Network: A Study of Stocks, Futures and Cryptocurrency’ https://t.co/d9CORkURhL #syntheticdata https://t.co/8kTKfZLb8w |
| 2022-01-16 | Hmmm https://t.co/N2EEoaTFvR |
| 2022-01-16 | Uber’s Bayesian time-series forecasting Python library Orbit has been improved with kernel time varying regression capabilities https://t.co/EAbOkwFoKt https://t.co/7IqnPcxCcM |
| 2022-01-16 | Predicting trading volume is hard but is necessary in optimizing trading execution outcomes. This paper researches integrating short and long term fluctuations and news events jointly into a temporal graph model: https://t.co/zxG4OEwaM7 Python GitHub: https://t.co/TWxbpWHo9R https://t.co/nuDFOi4xCC |
| 2022-01-16 | ML & DL with Python, PyTorch and SciKit #ebook https://t.co/ixU3pkEcXm https://t.co/GHRix9nWcr |
| 2022-01-16 | Passive index investment using genetic algorithms to optimize with integer weights for bond portfolios - Amundi quant paper https://t.co/CaSKywfwJM https://t.co/dbXWOHRmWU |
| 2022-01-16 | Math behind Uniswap liquidity - paper https://t.co/kBCm9kH9PA #crypto |
| 2022-01-16 | Crypto - Intraday price clustering - paper https://t.co/Z5q6PGxrTr https://t.co/1qGHiSTt4s |
| 2022-01-16 | Prototype-based Crypto Clustering - Paper https://t.co/VRPXmwvVh8 https://t.co/roxNqjF7nS |
| 2022-01-16 | Crypto Liquidity Connectedness - paper https://t.co/IB1Stsmp7q https://t.co/clpJHBde6T |
| 2022-01-15 | Crypto, DeFi and DAO 2022 predictions | Forbes https://t.co/v8lJMtjy9L |
| 2022-01-15 | Nonlinearity of equity and corporate bond payoffs / probability of default have profound implications on modeling trading dynamics and their frictions #TCA paper https://t.co/sRapGIO4a6 https://t.co/F2BIhhpeoL |
| 2022-01-15 | This paper explores the nexus between corporate social responsibility (CSR) and firms' stock market liquidity in India. https://t.co/SDWKQlWySS Discussion of research in liquidity estimators is also broadly useful. #ESG paper |
| 2022-01-15 | Market impact estimation of cross-asset futures using Refinitiv Level 1 data, that builds on Almgren’s original TCA work in Equities - paper https://t.co/ERqapFIWnI https://t.co/slEzA4h2pV |
| 2022-01-14 | TCA is becoming less about trading costs and more about engineering improved trade and investment performance in a world of news-fueled-shocks, meme-stocks and information spillovers from adjacent markets. Short video: https://t.co/Sg17nfXtc0 |
| 2022-01-13 | Forecasting intraday market returns using VIX as a feature in LSTM time-series and Random Forest models - paper https://t.co/5LVHTz114R https://t.co/FZczZJpka3 |
| 2022-01-13 | TIMECOP - micro-service for time-series using Gluon, Sklearn, Prophet and other libraries as the basis for prediction ‘engines’ Python GitHub: https://t.co/QRDp2P6142 https://t.co/91fDE1dQr1 |
| 2022-01-11 | Paper on empirical characteristics of Bitcoin volatility and entropy (as a Digital Commodity) vs S&P500 & Gold - paper. https://t.co/30hzGiGvFY |
| 2022-01-11 | NFT Markets Microstructures / Cointegration perspectives - paper https://t.co/2NWyPge222 https://t.co/ONSsl6KB0Y |
| 2022-01-10 | Random Matrix Theory, PCA and Spectral comparisons between crypto and equity markets - paper https://t.co/luxGRb5PdD https://t.co/Po3j9p1p2X |
| 2022-01-09 | Linear market impact models analyzed - #TCA Paper https://t.co/T88vJgEInq |
| 2022-01-09 | SigPro is an end-to-end Python stack to efficiently apply multiple signal processing techniques to convert raw time series into feature time series for #ml prediction https://t.co/fMmxwxrKNH |
| 2022-01-09 | Orion - an early stage Oython library for unsupervised time series anomaly detection. https://t.co/tp6b5f4KpV https://t.co/tkP1CMhZ3W |
| 2022-01-09 | Sharpe - a unified Python library for back testing, applying machine learning in trading https://t.co/SJsvqNv4En |
| 2022-01-09 | Foundations of Reinforcement Learning with Applications in Finance #ebook https://t.co/Yn5T0OUgzp https://t.co/ISvnlpfPPy |
| 2022-01-09 | Heterogeneous graph knowledge enhanced stock market prediction - paper https://t.co/ydSIibWVI4 https://t.co/04VTNEgN4y |
| 2022-01-09 | Simple PyTorch wrapper for deep learning - tzoo https://t.co/XH1H24fbdN |
| 2022-01-09 | Predicting economic recessions - Python / Jupyter Notebooks: Prediction: https://t.co/NXruiPWwYR Data / Feature extraction: https://t.co/eC1MFbFEoG https://t.co/BPKSUapEc3 |
| 2022-01-09 | Paper analyzes relative and aggregate economic inequality in Crypto https://t.co/LOdxWVKI22 |
| 2022-01-09 | Anomaly detection in time-series basics - Article with embedded Python code and Jupyter Notebook links https://t.co/fBYEq6oiu3 |
| 2022-01-09 | Herding behavior of Blockchain stocks - paper https://t.co/sJw4tqu7jE https://t.co/9U0moOp6Q2 |
| 2022-01-09 | Machine learning methods can capture the stylized facts of stock volatility without relying on any assumption about the distribution of returns. Paper. Reassuring to see similar ranked feature importance regardless of #ml model used https://t.co/VgvRekd0JU https://t.co/oSlPQeZX7G |
| 2022-01-09 | Some reflections on Web3 infrastructure https://t.co/58SEGGN2dG |
| 2022-01-09 | Keras, Python and HiPlot to visualize Hyperparameter explorations https://t.co/JmMRPJOH7S https://t.co/o49J9osrZ5 |
| 2022-01-09 | Modeling and parametrizing a probability distribution with a neural network using PyTorch Article: https://t.co/0yF9TIAeBj Python GitHub: https://t.co/cJXhdtJ4Jp |
| 2022-01-09 | Software with lower chromatic complexity are easier to read and maintain (and probably have fewer bugs). This Python library measures cyclomatic complexity https://t.co/CPYYskmWA9 |
| 2022-01-09 | Rotki - a python based crypto portfolio, tax accounting package that respects privacy https://t.co/yCfbyWl9Nv |
| 2022-01-09 | Returns, realized volatility and investor attention dynamics in Bitcoin https://t.co/0rygjSFijr https://t.co/FG2EVs93rk |
| 2022-01-09 | On the ‘Mementum’ of meme stocks - paper Cointegration, momentum, synchronicity of signal… #alpha https://t.co/z9PE8E9BDw https://t.co/UdJjLaCPR7 |
| 2022-01-09 | Aesara, a Python library to define, optimize, and efficiently evaluate mathematical expressions involving multi-dimensional arrays. https://t.co/ZwbBR0wixy |
| 2022-01-08 | Regime factor modeling paper https://t.co/SWrrIc7i3A https://t.co/657QON2TAu |
| 2022-01-08 | Corporate Bond index liquidity risk and the link to returns #liquiditybeta #estimators https://t.co/oMAQn87dgX https://t.co/R1QZBQr3Zf |
| 2022-01-08 | Market and Funding liquidity measures article by Ricardo Rebonato does not use transaction data https://t.co/OHhw6chAwh https://t.co/Di4czWB1xM |
| 2022-01-08 | Percentage Price Inpact and other liquidity and liquidity cost estimators for Crypto Markets - paper https://t.co/X5NQQGtacF https://t.co/IFF8GZHn08 |
| 2022-01-08 | Effective spread and CMBL estimator proxies of liquidity costs for Bitcoin and the significance of yield - paper https://t.co/pMOiMODitb https://t.co/bfWlGRZvx2 |
| 2022-01-08 | Transfer Entropy, Volatility and Liquidity dynamics of Bitcoin and other Cryptos during the pandemic - paper https://t.co/sHMqXT6wgl https://t.co/IfZYHjzVXd |
| 2022-01-08 | Wrapping cryptos for interoperability - paper https://t.co/9LB55rwW2V https://t.co/mCCv0gQ7cm |
| 2022-01-08 | Crypto Liquidity Dynamics - #AMM Arbitrage Bounds and Transaction Costs - paper https://t.co/wwPueaXXQ3 https://t.co/hNA2EaI9cw |
| 2022-01-08 | Liquidity Connectedness in Cryptocurrncies - paper - increases during periods of high volatility - adding least interconnected cryptos may provide some hedge value when BTC/ETH are trending downard https://t.co/inW7VQ9vIN https://t.co/PdwtDwzhww |
| 2022-01-06 | Rise and fall of cryptokitties - network analysis and imputed probability of profit estimates https://t.co/fHf9ZiBRXX |
| 2022-01-06 | Bitcoin price clustering - paper https://t.co/Z5q6PGxrTr |
| 2022-01-06 | TunaTA - Distance correlation to help tune technical analysis parameters using Optuna Python GitHub: https://t.co/pY3cmMfA8r #TA https://t.co/eRlTJMfajB |
| 2022-01-06 | And the link to the ebook content that was missing in the previous tweet https://t.co/4fUcoiodAS https://t.co/ihOTYvmEYn |
| 2022-01-05 | Bayesian Methods for Hackers #ebook Python https://t.co/XZ0prsJOyD https://t.co/yrh1e65aaz |
| 2022-01-05 | Nixtlats - Deep Learning for Time Series Forecasting - implements M3 and M4 international forecast competition winning models: ES-RNN, N-BEATS, N-BEATSx Python GitHub: https://t.co/epYOVXsLWD Web site / documentation: https://t.co/MiG1WfnrZD https://t.co/xg6nD6IIyP |
| 2022-01-04 | DrForest - Dimension reduction forests (DRFs) are a method for nonparametric regression that also quantifies local variable importance #ml Paper: https://t.co/2hqRg7pwYr Python GitHub: https://t.co/hVBoV7V6FA Synthetic data Example - Jupyter notebook: https://t.co/DxmLzEXYMF https://t.co/aC1KZ1YgyR |
| 2022-01-03 | Collection of DeFi derivatives businesses… https://t.co/9hS0RFPl00 |
| 2022-01-02 | ETNA Time-Series Library - 4Ps: - Preprocessing - Pipelines - Plotting - Prediction Python GitHub: https://t.co/wm4qZGFo50 |
| 2022-01-02 | Dynamask - identify salient time-series model features visually Paper: https://t.co/PCJhc2EsZI Python GitHub: https://t.co/CM8bOB15Jg https://t.co/3jejJuTBHY |
| 2022-01-02 | Hidden Markov Models HMM - expectation maximization using HMM-learn, then Random Forest boosted #timeseries #kalman #lstm Python GitHub: https://t.co/SwLoXgJ9yi |
| 2022-01-02 | Feature based Forecast Learning - FFORMA uses meta-learning to train a time-series ‘classifier’ to select/combine different forecast models. Improved since M4 competition. Origins from paper by @robjhyndman https://t.co/vsCiWuUvYW R (#rstats) GitHub: https://t.co/34H1yLgLFM https://t.co/F9MYsGzc2S |
| 2022-01-01 | Surprised and happy @CuratiaLLC will be offering a new twitter building block product targeted to financial professionals will include my tweets as well as market microstructure maven @ltabb and AQR principal and quantitative luminary @CliffordAsness https://t.co/5Ueul3khIn |
| 2022-01-01 | Ark Investment research report by @yassineARK and @kenoshaking re: on-chain data (and analytics) #Bitcoin $BTC https://t.co/5H37OkLTLD https://t.co/AUbdzJDet8 |
| 2022-01-01 | Terality = Pandas serverless, cloud service not bounded by memory constraints Article: https://t.co/v9tClyhGJo Site: https://t.co/e6NAvet9rX Demo notebook: https://t.co/j7E8G7OYA6 |
| 2022-01-01 | Symbolic knowledge extraction Paper: https://t.co/MSIYJH2r5n Python GitHub: https://t.co/BYgrm7oelA https://t.co/2nXY6RcGqF |
| 2021-12-31 | Front-running is illegal in international stock trading in most markets but not in NFT Crypto. Article: https://t.co/TTjOPuuPJY Python GitHub Notebook - using graphs to detect front running behavior: https://t.co/ZIREV9ovP9 https://t.co/pZJtzeIAOZ |
| 2021-12-31 | Bitcoin Realized Volatility Modeling in a Python Jupyter Notebook https://t.co/u38O06rpUQ https://t.co/KbBHa6AEoo |
| 2021-12-31 | Financial Graph Attention - graph attention networks, to learn the latent interactions among stocks and sectors Paper: https://t.co/mIo75oRnIT Python GitHub: https://t.co/89TGjbrLJg https://t.co/ZHAuSq1Mxk |
| 2021-12-31 | RL Trading of Cryptos Paper: https://t.co/VdpeqLKd4I Python GitHub: https://t.co/JirAWPylwc https://t.co/PU9lPoZQA6 |
| 2021-12-31 | Ostensibly, 64 Crypto Unicorns joined by a new crypto analytics unicorn in Dune Analytics https://t.co/fnqEf3NfEv |
| 2021-12-30 | Introduction to Cultural Analytics & Python - dynamic, Jupyter based #ebook: https://t.co/ZZx0ICeqoP Python GitHub: https://t.co/sjosW1GLyA https://t.co/YKWGQPypaA |
| 2021-12-30 | Good insights around database scale-up buzz (eg Databricks, Snowflake) and buzz-kills (eg RethinkDB) https://t.co/ccAXqpDfyb |
| 2021-12-29 | Running a Streamlit using Google Colab for cloud-compute should be easier than running a local-tunnel in Google Colab (eg should be a bit more like https://t.co/YsMIBGVCAN) A Meta Prophet stock prediction example to illustrate the approach. https://t.co/JmTfXUakpD |
| 2021-12-28 | Not surprising that a company called Meta, focused on Metaverses would be on the acquisition trail for synthetic data and images (AI.Reverie) and winning military mandates would be a key driver. https://t.co/fkzQDyqSLI https://t.co/3D85NWlDWS GitHub: https://t.co/Q2apD7Ia1Y |
| 2021-12-28 | VentureBeat’s Ode to Synthetic Data https://t.co/ka522ScJk0 |
| 2021-12-28 | Today’s desktop computing power is quadrillions of times faster and has much more RAM than original mainframes. This short article puts it in perspective. https://t.co/HLzsiiLHn7 |
| 2021-12-27 | DB: https://t.co/zRXDTnasz5 (3 parts) BNY Mellon: https://t.co/Fk8zYlwFoz HSBC: https://t.co/ciXY6kjyBs UBS: https://t.co/s9KD8aoKDO:: SC: https://t.co/ryjRV2rDtW |
| 2021-12-27 | Institutional Crypto research in 2021: BAML: https://t.co/VimFF7rNYA https://t.co/chNs5R7mux MS: https://t.co/4PpldeUxEM https://t.co/sLsoE3ouzQ GS: https://t.co/yik5DeJUgE Citi GPS: https://t.co/4EAKJsRx4D JPM: https://t.co/MLQ65IWom5 DB Wealth: https://t.co/xOTYqY6XNO |
| 2021-12-27 | For a good intro to modern electronic corporate bond markets and liquidity dynamics, here are three papers: On corporate bond liquidity dynamics; https://t.co/H3mIF6g5u9 On corporate bond ATS: https://t.co/dZuq3gbePD On Fixed Income microstructure: https://t.co/jbmwcR7hpS |
| 2021-12-27 | Unsystematic S2FX and S2F factors impact on Bitcoin valuation is formulaic according to the others of this paper https://t.co/IHXj06q6c7 https://t.co/mqtWJXQoK2 |
| 2021-12-27 | Intraday volume classification and analysis of cryptocurrencies - liquidity paper https://t.co/Itm0Nht33v https://t.co/XTQWheFZuZ |
| 2021-12-27 | Mini-rocket time-series nearly determinsitic classification and regression Python Colab: https://t.co/rku8y3wLCg. Paper: https://t.co/XEPwnkbnJ8 |
| 2021-12-27 | Brazil equity market microstructure - market maker rule variation with other major markets and market quality impact of nuanced differences https://t.co/FpYwXPtRI2 https://t.co/R7lqAjcFrQ |
| 2021-12-27 | Fraidycat aggregates your echo chamber of micro-influencers, TikTok luminaries and other social mavens with open source JavaScript and periodic polling. https://t.co/AGhmEpwusY https://t.co/YttWnkKqrr |
| 2021-12-27 | Perspectives on Crypto / Web 3 impact on long-term classical geopolitical dominance https://t.co/EQrcfJfcVO |
| 2021-12-27 | Synthetic financial time-series data: ydata-synthetic #TimeGan Python GitHub: https://t.co/OvFfzFLGUw Google Colab stock data generation example: https://t.co/kKm8SNvzhi https://t.co/rAOLe5d4Vx |
| 2021-12-27 | Microstrategy investor day and their reflections on their treasury digital asset strategy https://t.co/jZq8nL1W5v https://t.co/9XdU29EXSU |
| 2021-12-27 | European AI Adoption Benchmarks & Hurdles - report https://t.co/eB3is09kRe https://t.co/3V9QcmZMRT |
| 2021-12-27 | European Deep Tech Startup report https://t.co/ogrSe7ssuI https://t.co/fQAkdZoyC2 |
| 2021-12-26 | A qualitative analysis of Systematic Internalizer impact on modern European equity markets - market microstructure paper https://t.co/PKDQx9o8Io |
| 2021-12-26 | TheBlock Digital Asset Report: Market Map Ecosystems and 2022 Outlook https://t.co/4eZMM8KLmm https://t.co/1ZZm00U7jS |
| 2021-12-26 | CEPChain - Complex event processing integrated with off- and on-Blockchain along with their Smart Contracts - paper https://t.co/oSk351yHbK https://t.co/xbxZL9uGu0 |
| 2021-12-25 | Sample Convolution Interaction Network SCINet - applied to financial and crypto time-series prediction using TensorFlow Paper: https://t.co/T1OWpHrNLQ Python GitHub: https://t.co/zI8o3InsXT |
| 2021-12-25 | Python Cheat Sheet https://t.co/dfuUKvk1NW https://t.co/IzEAFUIjLw |
| 2021-12-25 | Good easy read on transformers, sets vs sequence methods, and attention in NLP data science https://t.co/dQEJto7glx https://t.co/cHMaFRwRm9 |
| 2021-12-24 | Attack oriented intuition for advanced Cyptography without mathematical formalism. Paper: https://t.co/ZAUHUIgJVT https://t.co/VHdVwCZZvy |
| 2021-12-23 | FinTech, BigTech & Big Banks - competitive dynamics - paper https://t.co/UvtYxX3Qmz https://t.co/mZAtcR9T3F |
| 2021-12-22 | In other news… Glupteba grafts to the Bitcoin Blockchain immutably and surreptitiously https://t.co/tHI5nAVEKA #cybersecurity |
| 2021-12-22 | Gloomy, almost dystopian perspectives on the ‘dirty’ Crypto industry and synthetic trust #ESG #Trust #DeFi https://t.co/C6nXRqRf8I |
| 2021-12-22 | Code bloat and other perspectives on DNA from a somewhat cheeky and narrow mind of a coder… https://t.co/QkorKm2cvV https://t.co/57hLJQo52Z |
| 2021-12-22 | Dabblers in streaming realtime machine learning have a new tool. Incremental learning, concept drift handling, #scikit-multiflow #ml Python GitHub: https://t.co/IHCvhi9UMC Paper: https://t.co/w6dKPTMUrx https://t.co/z12Rr4avOL |
| 2021-12-22 | Bitcoin mining in China - 109k addresses and perspectives on realized impact of government intervention https://t.co/ni4kDoTkZ7 |
| 2021-12-22 | @zerohedge collection of Twitter and Bank Research perspectives on Web3 and the Metaverse https://t.co/XJc9tLJ9Jt https://t.co/IhlxIA1HLz |
| 2021-12-22 | NBER paper analyzes the transaction behavior as well as network and other ownership patterns of Bitcoin. Concludes Bitcoin is far from decentralized with skew concentration in miners, holders, defi exchanges and systemic risk. https://t.co/WwLmb3TZaF https://t.co/swxtG8Oeiw |
| 2021-12-22 | TheBlock research on Digital Assets 2021: Market Landscapes, Custody, M&A, Flows… https://t.co/4eZMM8KLmm https://t.co/MC0BRiDVOT |
| 2021-12-22 | DeFi, NFTs https://t.co/qTV2OTeO9h https://t.co/HSxQvdnlHf |
| 2021-12-22 | Coinbase perspectives on the Metaverse https://t.co/wfR30ZYIuK https://t.co/KlSZVsPlyw |
| 2021-12-21 | SVB FinTech Deck https://t.co/uQt3qJ3lsk https://t.co/yelOtFbeH1 |
| 2021-12-19 | PyTorch Time-Series Transformers with Attention https://t.co/3Wn7HhaEiN Python GitHub: https://t.co/FUGwwp0bE4 https://t.co/zGWWFC7Yka |
| 2021-12-19 | Synthetic factor-based structural time-series generation Python GitHub: https://t.co/lbTF1HrE2i https://t.co/MxMotd2uQj |
| 2021-12-19 | Sklearn evolutionary / genetic algorithms for hyperparameter tuning https://t.co/OcLIy0cw4a https://t.co/JL3lojg2E1 |
| 2021-12-19 | Curated DeFi Links https://t.co/evk9m78EUS |
| 2021-12-19 | TensorFlow LSTM Deep Learning, Change-point detection and #TSMOM time series momentum trading strategies with fast reversion Paper: https://t.co/uwbqmHFmoI Python GitHub: https://t.co/WUcS6scnOy https://t.co/yqfJq3VOpz |
| 2021-12-19 | Simple OpenSea NFT Explorer App Built in Python & Streamlit https://t.co/0zBqxvCFTD https://t.co/LvJr1gdLW6 |
| 2021-12-19 | Many simple methods to estimate volatility including: •Garman Klass •Hodges Tompkins •Parkinson •Rogers Satchell •Yang Zhang •Standard Deviation Estimated with Python Code: https://t.co/M2ck0l6h6c https://t.co/9BfC7inAkQ |
| 2021-12-19 | Random forests and LSTM networks (more precisely CuDNNLSTM) used to analyze effectiveness in forecasting intraday directional movements of constituent stocks of the S&P 500. Paper: https://t.co/PAQdDSSTCR TensorFlow, Python GitHub: https://t.co/rLc4Evasj7 https://t.co/zMPJpOiWI2 |
| 2021-12-18 | Saturdays mornings used to be dominated by Bert & Ernie, now they are by self-supervised BERT translation of natural language to SQL #NL2SQL Two sets of Papers/Python: #1 https://t.co/HUOKyXCN5Q https://t.co/NvNRhkgsjz #2 https://t.co/tHlrrV17D0 https://t.co/zSoYhAaHaA |
| 2021-12-18 | User experience can be transformed when natural language is translated to useful visualizations #NL2VIS using Python https://t.co/lM0m57cswF uses a visual grammar that flattens Vega-Lite to a sequence for ease in supporting #NLP https://t.co/xzbZpSPlOx https://t.co/jbFEEFNWpS https://t.co/fGAZojjEsG |
| 2021-12-18 | Markets and empirical science measurements need Nanosecond resolution @eddelbuettel R #rstats nanotime handler: https://t.co/zOX86pY727 Since Python 3.7 the time.time_ns() function returns nanoseconds as an integer since the epoch (but accuracy depends on OS & hardware) |
| 2021-12-18 | Interpretable Neural Networks With PyTorch: feedforward neural networks that are interpretable by construction using Python and PyTorch https://t.co/Gzd3vNTlIk https://t.co/gXVFhFzu09 |
| 2021-12-16 | Seven Layers of Meta … on the Metaverse https://t.co/xgErfYSH95 https://t.co/PlMk1r6tY7 |
| 2021-12-16 | FinTech 2021 IPO Retrospective… https://t.co/MlbUKuQL5j |
| 2021-12-15 | PyTorch vs Tensorflow usage, Huggingface deployments and other metrics… https://t.co/afKDmCb3AY https://t.co/Xo9uNQdZTS |
| 2021-12-15 | Wavelet transforms + multivariate adaptive regression splines for financial time-series prediction Python GitHub: https://t.co/fRoTd1fDfY Paper for inspiration: https://t.co/J0q95kkssr |
| 2021-12-15 | Interpretable Deep Learning for Multi-horizon Time-Series Forecasting - Google #Ai Blog https://t.co/ITX9OAEQ9V https://t.co/rwMSiMaeld |
| 2021-12-15 | Limit order book events #lob - (Binance crypto exchange) visualized as heatmaps https://t.co/40NH9S3okt Online: https://t.co/uQR7HnO1eM |
| 2021-12-15 | log4j-scan A new open-source Python tool to scan for vulnerabilities https://t.co/ZyShHJRJ17 https://t.co/5U2nHbQwvg |
| 2021-12-15 | Python snippet for high-low bid-ask spread estimator https://t.co/VSfAjN2PsV https://t.co/EmVv8gFuAO |
| 2021-12-15 | Bayesian method to model Bitcoin users https://t.co/nC3qH9rLz9 https://t.co/fvI7AzoucL |
| 2021-12-15 | Bitcoin liquidity paper - Glosten structural model applied https://t.co/9tEkDRzDkM https://t.co/2lwGDqRyon |
| 2021-12-15 | Crypto Liquidity Estimators - paper https://t.co/X5NQQGtacF https://t.co/QO5mLJ96b2 |
| 2021-12-15 | Customizing GPT-3 https://t.co/h5W1uDJv18 |
| 2021-12-14 | Propagator vs stationary Kyle-based linear market impact models compared in this #TCA paper https://t.co/8Ola7Xmm17 https://t.co/EQnMf9Uh68 |
| 2021-12-14 | Bayesian Active Learning - BaaL library in Python https://t.co/pqb8iE0N3b |
| 2021-12-13 | Article highlights some of the recent and notable events in the convergence of TradFi with DeFi in Capital Markets - e.g. 1st Reg A+ deals, Digital Art Tokenization… https://t.co/mAWFc21ICl |
| 2021-12-13 | https://t.co/OSJgcMHZbh #ebook Interactive Deep Learning open source ebook using Jupyter notebooks and Python https://t.co/oHE1joIStb https://t.co/gZoc3H81Kk |
| 2021-12-12 | Intraday cross-sectional risk factor variation changes: FAMA + Momentum on S&P500 https://t.co/ysydb8hh2S https://t.co/FikdHkQIk9 |
| 2021-12-11 | Generalized (stationary by log transformation) Order Flow Imbalance and the link to market impact on stocks in the CSI500 #TCA Paper https://t.co/iB4siNj7OG https://t.co/LLdM0k8bAC |
| 2021-12-10 | NeuralProphet - comparison vs Prophet (functional flexibility differences discussed in this article) https://t.co/0INtCeGdZg |
| 2021-12-10 | Graph Neural Nets - a to z. #GNN https://t.co/jdVGG2ZW0w https://t.co/OMaGysROhf |
| 2021-12-08 | Modeling FX Alpha and Market Impact #TCA - paper https://t.co/KRQIZfksYJ |
| 2021-12-08 | Metrics for valuing Bitcoin and other Layer 1,2 and 3 digital assets… #ARK https://t.co/uKsSaCZMgM |
| 2021-12-08 | Continuous Latent Process Flows (CLPF), a generative model of continuous dynamics enables inference on arbitrary real time grids, a complex operation with piecewise variational approximation. Paper: https://t.co/Pcm4Gw0ptR Python GitHub: https://t.co/8TVPy1OY0J https://t.co/RDm1a5MOzQ |
| 2021-12-08 | Deep learning LSTM model applied to FX rate predictions - paper https://t.co/GhweI8mRKX https://t.co/YDOxQZzlBV |
| 2021-12-07 | Systematic quant bond (credit) trading powered by algorithmic and electronic execution is on the time | in FT https://t.co/C1NLiEaGGV https://t.co/3xojqFUMeB |
| 2021-12-06 | Differential #ML Regression Jupyter Notebook Python GitHub and Colab: https://t.co/Qeu0gZh7c1 |
| 2021-12-06 | Differential #ML PCA Python GitHub and Colab: https://t.co/HrIZ6eJnsv |
| 2021-12-06 | Differential #ml applied to financial derivatives: Bermudan5F.ipynb applies differential regression and PCA to the determination of risk factors and continuation values of Bermudan options #Jupyter Colab Notebook: https://t.co/FbF06xiVfD |
| 2021-12-04 | In addition to tsts and torchts there is now Pytorch Forecasting for time-series prediction https://t.co/21sp1DJNop TSTS https://t.co/21sp1DJNop |
| 2021-12-04 | Pycaret has improved its automl capabilities with a new time-series module… https://t.co/wAjromjKku |
| 2021-12-04 | tsAI deep learning time-setisa library is inspired from recent Kaggle time series competitions… https://t.co/zI2O5RL6F5 |
| 2021-12-04 | “algorithmic regulation needs to look much more algorithmic itself” and other AI tidbits from NeurIPS https://t.co/och5nF9Yug |
| 2021-12-04 | Web3 for the uninitiated https://t.co/S9PYNfoTI6 |
| 2021-12-04 | Lisa Xu’s collection of perspectives on DAOs driving NFT/Web3 ecosystems https://t.co/vKi5nPMOn3 |
| 2021-12-04 | Article and code for using Google Trends data to improve stock and crypto trading outcomes Article: https://t.co/a3yCw9J46u Python GitHub: https://t.co/boOySZoOGQ |
| 2021-12-04 | And Synthetic Time Series Data generation using NeuralProphet https://t.co/pB4WK8uyIy https://t.co/j4ir61r081 |
| 2021-12-03 | Asymmetric transaction costs for bonds in times of stress is the basis for this new bond liquidity risk model - #TCA #Liquidity paper https://t.co/jq8uSY9jJD https://t.co/3Q9KsP70n2 |
| 2021-12-02 | Our Robotic Overlords are nearly ready https://t.co/N5XNns9tnp |
| 2021-12-02 | State of the art in deep graph neural networks - article https://t.co/e7y2GNoYOT |
| 2021-12-02 | “…machine learning can aid mathematicians in discovering new conjectures and theorems.” #AI #Math #Paper https://t.co/8QGpkcA29S |
| 2021-12-02 | Bitwise report on DeFi projects growth to $15T https://t.co/6SzDstNRsI https://t.co/NYO97EdVXS |
| 2021-12-02 | PyTorch Forecasting for TimeSeries using deep learning and Pandas dataframes directly https://t.co/QGkpNUzGVH Python GitHub: https://t.co/21sp1DJNop Documentation: https://t.co/4RRiPpRzYc https://t.co/soPbysHbdB |
| 2021-12-01 | Long-term bond yield modeling using LSTM-LAGLASSO Paper/slides: https://t.co/aEit5IPKl1 https://t.co/CusF3FolAq |
| 2021-12-01 | Meta’s Neural Prophet - a neural twist on Prophet for time-series Site: https://t.co/oTPGbdyH2n Python GitHub: https://t.co/TTpQdeOFNT Article: https://t.co/pGpYmbAtxu Video: https://t.co/ExrZM6BQSP Comparison with ARIMA: https://t.co/jQzcjYzbJn |
| 2021-12-01 | Graphs are great. Encoding them using an optimizer to reduce complexity often makes them more accurate, efficient and useful in classification and prediction activities. Opt: Minimize structural entropy Paper: https://t.co/qD7mYfCdTd Python GitHub: https://t.co/UbbtuFeHdo |
| 2021-12-01 | The importance of collective information from graph embedding in financial time series deep-learning prediction Paper: https://t.co/lX9BJ7MJBK Python GitHub: https://t.co/04oI26qdDw https://t.co/Ba7ef4Mgl4 |
| 2021-12-01 | Nature research on #NFTs Paper: https://t.co/xeLdXICnIw #Dataviz feature extraction: https://t.co/uQApPKyNY0 To feed model: “1) visual characteristics, 2) previous sales of related NFTs, and 3) the popularity of the buyers and sellers” https://t.co/LzFjySMvJe |
| 2021-12-01 | WYSIWYG layouts for Jupyter ipywidgets: ipyflex is based on react flex layout library and as you probably expect, supports panels and tabs in layouts Python GitHub: https://t.co/dfJSdhYl48 |
| 2021-12-01 | Intraday price direction prediction efficiency of constituent stocks - LSTM vs Random Forest Paper: https://t.co/b2m4Hit6e6 Python GitHub: https://t.co/rLc4Evasj7 https://t.co/7DjwIytevU |
| 2021-11-30 | Web3 NFT Community startups are emerging… https://t.co/Ih2GVwDTSW |
| 2021-11-30 | Sequencing meme stocks as Markov Chains for prediction - article https://t.co/JF9GrSeOTt https://t.co/3rdviCxFqR |
| 2021-11-29 | Deep learning paper compilation of methods and features (aka variables) in fx and stock price / return prediction - paper https://t.co/1ZJagv64an https://t.co/e0Uqkg1SGJ |
| 2021-11-29 | Binary/Ternary Asset Price Direction Classifier - paper https://t.co/8j8Er0Fjey Volume at price and tick trade aggressiveness in four cohorts of features https://t.co/nEtkALdINg |
| 2021-11-28 | Deep Learning for Time-Series - in three parts: https://t.co/hcV8mYOSv0 https://t.co/HbOMRcNSaI https://t.co/vd2j6wQQEy |
| 2021-11-27 | For forecasting right-skewed time-series, sometimes a Tweedie will do… https://t.co/s0JRaZwxwq |
| 2021-11-27 | Short Iron Condors, back testing, expired RICs and nice bits of Python financial options and RDP code to explore… https://t.co/kWi6Wm4R6g |
| 2021-11-27 | Crypto design perspectives… https://t.co/Kq4zPQJEA6 |
| 2021-11-26 | FT: “In crypto, most exchanges provide not only matching services but also custody, clearing and settlement to name a few…That means that, in reality, they look more like a broker since a client is effectively facing off against the exchange.†https://t.co/VKXTWFkgMv |
| 2021-11-26 | Grayscale report quantifies the Metaverse as a $1.4 Trillion market - good weekend read https://t.co/IcXXql5OM0 https://t.co/wy6AIR77Ge |
| 2021-11-26 | The ‘Tesla-financial complex’ | in FT “We don’t really have the language to describe Tesla any more,†says Michael Green, chief strategist at Simplify Asset Management. “It’s like explaining to a person in a two-dimensional world the concept of ‘up’.†https://t.co/3NZ9Anz8Fw |
| 2021-11-25 | Mckinsey on the impact of Advanced Analytics on Strategy https://t.co/DxOAPP0Sni |
| 2021-11-24 | Optuna and Hyperparameter Optimization https://t.co/sjklwdaSNu |
| 2021-11-23 | DataPrivacy is only one arc in the tech shift to Confidential Computing https://t.co/iRiJEPLlig https://t.co/gymVTdI3Lw |
| 2021-11-23 | Quantification of scoring and predictability of win-outcomes across professional sports - paper https://t.co/AWBvcTQkXr https://t.co/kKtmho0hvK |
| 2021-11-21 | Predicting Tokyo Stock Volume Paper: “Long-term, Short-term and Sudden Event: Trading Volume Movement Prediction with Graph-based Multi-view Modeling” with OHLC hourly time-series and news feature extraction https://t.co/JDDy2hiPXY Python GitHub: https://t.co/TWxbpWHo9R https://t.co/NJJviEDR94 |
| 2021-11-21 | Paper: Structural break-aware pairs trading strategy using deep reinforcement learning And Wavelets and Scalograms applied to stocks in Taiwan https://t.co/2RjcU7EfAM https://t.co/I7rvy9xAy7 |
| 2021-11-21 | ASX stock liquidity modeled with microblogging activity and cost based market liquidity (spreads: CMBL) #twitter #tca https://t.co/XUvyZWGUWu https://t.co/hqq5671z1A |
| 2021-11-21 | A semi-parametric model for fx futures volume forecasts (2029 paper) https://t.co/voXtDuRdCu |
| 2021-11-21 | Are Facebook and Google funding misinformation / disinformation? MIT Technology Review https://t.co/IyOwiWGLLb |
| 2021-11-20 | On Graph Neural Nets, Topology and Differential Geometry https://t.co/B9g7N0BMZd |
| 2021-11-20 | Market impact with restrictions on stocks, heterogenous trader beliefs modeled in as an iterative equilibrium Kyle framework way - #TCA paper https://t.co/Jf8AlKP0A9 |
| 2021-11-19 | Sequoia thought piece on data privacy and surge in consumer interest in tools and crypto-tech opportunities https://t.co/9zK8XpIwta |
| 2021-11-18 | AlphaEvolve paper highlights the potential for AutoML tools to be used to generate stock Alpha systematically using evolutionary algorithms (analogous to formulaic alpha) https://t.co/Z1XuuzJjMt https://t.co/KRJWXZugfZ |
| 2021-11-17 | Recent Kaggle Time Series prediction competitions reveal a notable pivot away from boosted decision trees to neural nets “The field of time series follows the path of computer vision and NLP, where neural networks dominate the landscape." #TSAI https://t.co/x18MqtX27H |
| 2021-11-17 | Paper on the relationship between futures limit order depth to spread https://t.co/9VI3BorymI https://t.co/3xjAsOUZ7n |
| 2021-11-17 | Market Fragmentation in US equity markets and routing decision frameworks are examined in this new #TCA paper https://t.co/kANA1YEwIg https://t.co/TbIVFydmyH |
| 2021-11-17 | A bid-ask spread estimator: EDGE - Efficient Discrete Generalized Estimator culled from OHLC data that maintains market microstructure stylized facts with tick data - paper https://t.co/OiqvcXolEm https://t.co/HDwhjvcqEf |
| 2021-11-16 | Much ado about Twitter new API, event processing architecture and a raft of different commercial drivers https://t.co/iUp5RxCPtx https://t.co/D9pUSif1U2 https://t.co/LnpHU3AcjO |
| 2021-11-16 | Where do data science practitioners want automation in their MLOps, AutoML and Pipelines? Paper: https://t.co/0n1uDrlhdf https://t.co/mVUBY1eKSx |
| 2021-11-15 | Microsoft Azure AutoML SDK: https://t.co/8SKj4H30x1 Article: https://t.co/CM6AvtZVR2 Research: https://t.co/JqJ3feyait Jupyter Configuration: https://t.co/VlApSnT0ti AutoML on Azure: https://t.co/hBdaw4V51R https://t.co/lGsY92kETw |
| 2021-11-15 | Optimal flow trading near NASDAQ close #TCA (2018) Paper https://t.co/xZ9YZYiOgP Python Jupyter Notebook: https://t.co/AeLugZstxR https://t.co/mwvGNnbhWh |
| 2021-11-15 | #TCA Paper (2020) - optimal execution in presence of linear, temporary market impact https://t.co/aDq23CN6Uo Jupyter Python Code: https://t.co/2cHnRTsdWD https://t.co/rGgJVJskBg |
| 2021-11-14 | Hawkes and other time-series methods for momentum and other pattern identification and labeling https://t.co/ptSNIagXa1 |
| 2021-11-14 | Streamlit wrapper for prophet timeseries prediction Python GitHub: https://t.co/itXAd5Vh0w https://t.co/6Xb2wOi0mZ |
| 2021-11-14 | Micro-services Meta-Transformation Nirvana https://t.co/mUwBmmv2qD https://t.co/IODZAXSLAd |
| 2021-11-14 | Simple Crypto Bots driven by Technical Analysis #TA rule automation and PyJuque library Python Jupyter Notebook GitHub; https://t.co/JLtQpX9nHD Article: https://t.co/ZufZ80NFIa PyJuque Crypto #lob Strategy Automation: https://t.co/S4AcYl8kwc |
| 2021-11-14 | @a16z opines on Payment for Order Flow #PFOF Market Microstructure debate https://t.co/TPpeeogViu https://t.co/u1GF2azaha |
| 2021-11-14 | @a16z opines on Payment for Order Flow #PFOF Market Microstructure debate https://t.co/TPpeeogViu https://t.co/zdtrmtTEml |
| 2021-11-14 | Sometimes a Time Series Spline is all you need Bayesian Adaptive Spline: https://t.co/7vAjwtafPR MARSpline: https://t.co/ho5QMQRRwS MARSpline adapted to intraday stock prediction: https://t.co/zVl3OgnFm5 Optimized Paper https://t.co/scG0dJ94Pg Code: https://t.co/If4Jfo0Uav |
| 2021-11-14 | WIRED on #AR and the Metaverse… https://t.co/8WpO51xAB3 |
| 2021-11-14 | #HBR on #NFT Value Creation https://t.co/qju7eCqLrE |
| 2021-11-14 | Deep Learning Statistical Arbitrage paper https://t.co/jdWtdQ5s9m https://t.co/J9FOfWy9YF |
| 2021-11-13 | Stanford Brief on #AI in Financial Services #StanfordHAI with many links to research https://t.co/ECnU20iXHV https://t.co/DDvicuUiMW |
| 2021-11-13 | MetaFlow, an open-source AWS based tool for Python and now R data scientists to manage their workflows. https://t.co/oRYEeEYdVP Along with a UI service https://t.co/vez5p0tVw9 #rstats https://t.co/Gyt5iB9hkW |
| 2021-11-12 | SearX - Hackable meta-search engine - marketed to data privacy seekers Python GitHub: https://t.co/dyDi6SMZoF Running instances: https://t.co/hHmId0gkSm Homepage: https://t.co/Y5oSoBAgq4 Architecture: https://t.co/ikZvLNSV6B https://t.co/f6lTxU9IvD |
| 2021-11-12 | Good short and dense intro to time-series analytics and methods (without heavy maths) https://t.co/ltlbPlryPi |
| 2021-11-11 | Versat, Covid-washing and impact on Data privacy https://t.co/cJ3weMAdMv |
| 2021-11-11 | Zuckenberg’s pivot to the Metaverse is… “banal…" https://t.co/1ApTMU7VuF |
| 2021-11-09 | Dynamic mode decomposition (DMD) is a data-driven dimensionality reduction algorithm like #PCA https://t.co/4wKkgnAnTm |
| 2021-11-08 | Momentum and gradient descent from convex to stochastic… https://t.co/DtrKlafkqo https://t.co/iuNPHp5XDW |
| 2021-11-06 | Metaverses meet the Sports DataVerse… https://t.co/A33AzM13CA https://t.co/UoMMhAyFC8 |
| 2021-11-06 | Differential Machine Learning (Regression) for supervised principal component analysis to reduce the dimensionality of financial derivatives for valuation Googler Colab Notebook: https://t.co/P0OOljfdVO YouTube video https://t.co/RoVMzfzOKm |
| 2021-11-06 | Carbon Risk Management (CARIMA) model with FAMA Factor and ESG handling with Brown Minus Green (BMG) support OpenTaps is a mixed R #rstats and Python Open Source Project: https://t.co/L3FlnRcQOZ |
| 2021-11-06 | Time-Series Grid embeddings and #NN classifications Python GitHub: https://t.co/GBSBB85Ye8 https://t.co/6nVtUnn4mq |
| 2021-11-06 | Topological Analysis of Time Series using Giotto-TDA Python GitHub: https://t.co/vKWtsL7kDi Paper: https://t.co/vzg2cpQNjj Giotto Time Series library https://t.co/kKuWTxnWo5 Detecting stock market crashes article: https://t.co/K9EFXMqUde & Code: https://t.co/vDTfAwiL1h |
| 2021-11-06 | More Candlestick NN time-series to image encoding… https://t.co/bXD3cbth4p |
| 2021-11-06 | Time-Series TS Classification using fusion features (TSC-FF) of sequence features extracted from raw TS and visualization features extracted from Area Graphs converted from TS. Paper: https://t.co/v7VSXc5nUP Python GitHub: https://t.co/7zclg43vag https://t.co/D8mqHskZZb |
| 2021-11-06 | Markov Transition Fields (MTF) time-series to image transformation Article: https://t.co/BfxHUwuBur Jupyter Python Notebook: https://t.co/HpbvSy8r0r |
| 2021-11-06 | This paper with code shows how to convert ECG time-series data into three images using Gramian Angular Field (GAF), Recurrence Plot (RP) and Markov Transition Field (MTF) for classification and prediction Python GitHub: https://t.co/RApxGLIh3G Paper: https://t.co/d2yhJHci12 |
| 2021-11-06 | Gramian Angular Fields (GAF) are images representing a time-series in a non-Cartesian coordinate system. Article + code example on tick data: https://t.co/4dUFQNJcir https://t.co/y9hAc82MDW More Python GitHub examples: https://t.co/FDvmNMxfvJ https://t.co/PieuzZqwrf https://t.co/MlbV9NPlXG |
| 2021-11-06 | Encoding OHLC information as 103 types of Candlestick Images for Pattern Classification in stock price prediction Paper: https://t.co/GAkMSuZGQ1 Python GitHub: https://t.co/pP1mtPJIxX https://t.co/BEJlykX7fp |
| 2021-11-05 | AutoML for Tabular Data XGBoost + Optuna: Python GitHub: https://t.co/KJMTO36EBz https://t.co/9eCtF3tZe5 |
| 2021-11-05 | Multivariate time-series prediction using Long-Range Transformers that learn interactions between space, time, and value information jointly. Paper: https://t.co/5nR5v5LW52 Article: https://t.co/ppHbtTPHDb Python GitHub: https://t.co/5nR5v5LW52 Docs: https://t.co/5nR5v5LW52 https://t.co/2veO8uXe7G |
| 2021-11-05 | Convexity and Volatility in derivatives - simple primer https://t.co/Tu3GUc6v8K |
| 2021-11-04 | #ETH #DeFi ecosystem market map https://t.co/neSki3hiLx |
| 2021-11-04 | #DeFi Primer - June post but still relevant for the uninitiated https://t.co/ueNDs2eBv8 https://t.co/WbfgboIOdH |
| 2021-11-04 | Presentation on predicting terror attacks by following Bitcoin transaction breadcrumbs and using metrics like cumulative abnormal volume and graph analysis https://t.co/2IpcoRHcbZ https://t.co/4amwNRva9n |
| 2021-11-04 | NBER paper on Bitcoin trading on non-regulated decentralized exchanges - eg volume commonality https://t.co/1WJpdsp0DC https://t.co/D5oI34QZn7 |
| 2021-11-04 | Asset Tokenization Platforms Market Map #Crypto https://t.co/PVkcE7A1Yy https://t.co/NTJXgBBZkq |
| 2021-11-03 | HMM for classifying stock markets https://t.co/UfTwsDXZAl And related post on forecasting volatility https://t.co/D2ZFAF2g1g Adapting the approach for Bitcoin https://t.co/sSDoQ65Dck |
| 2021-11-03 | A very visual primer for SHAP machine learning expandability https://t.co/9UhBrUAAKE |
| 2021-11-03 | Microsoft’s Metaverse Meanderings in TEAMS https://t.co/r94o8dfhF8 |
| 2021-10-31 | Open-source, AWS / Colab based time-series pipeline and forecasting tool - benchmarked vs M5 Article: https://t.co/pPMZvqhZrL Python GitHub: https://t.co/vx51WSq0oo #Colab Notebook: https://t.co/38JqWR8vXl |
| 2021-10-31 | Reddit raises funding from Fidelity at $10B valuation and takes a decidedly crypto route with community engagement https://t.co/WR5vkvl1ba |
| 2021-10-31 | Optimal trading using a Linear Quadratic Regulator (LQR) framework that includes a price mean-reversion signal into the optimization program with linear market impact and quadratic staging - #algo trading paper https://t.co/Oa1J9GCAbu https://t.co/BgfrtEShSM |
| 2021-10-31 | Geometrically optimal trading in the presence of transaction costs (and discontinous zones) - #TCA paper https://t.co/F1Xsuy0dJn https://t.co/MMwnHUWezO |
| 2021-10-31 | Deeptime for time-series includes deep kernel, learning & model classes for dimension reduction, clustering, covariance and Markov model estimation & follows Scikit semantics. Python GitHub: https://t.co/SlqkO539ai Paper: https://t.co/V8qr1DgOxb Site: https://t.co/1eC6UwrdkL |
| 2021-10-31 | A menagerie of metaphorical reasons for composable models in AI in @gradientpub https://t.co/Me4uvXRun6 |
| 2021-10-30 | ARK Invest perspectives on Bitcoin on-chain valuation metrics: https://t.co/uKsSaCZMgM myths: https://t.co/TUp73nE0Ol https://t.co/U3Lh8EtI1H |
| 2021-10-29 | NFT Markets… https://t.co/3JRtXTO1mP |
| 2021-10-28 | Open Source and key shifts in Financial Services - #a16z https://t.co/C2Uml4ENR4 |
| 2021-10-28 | Short paper on trends in machine and deep learning in traditional finance and capital markets https://t.co/lcc0YAaAPt |
| 2021-10-28 | Forecastframe Python Pandas based class library for feature engineering and model interpretability and integrates with external forecasting libraries including Prophet https://t.co/4QpUoedJYK |
| 2021-10-28 | Roughness in Volatility #Hurst https://t.co/JzmSwgYlfZ |
| 2021-10-28 | Machine learning as a “quantifier reversal” https://t.co/bAagxZwRpM |
| 2021-10-28 | ANEA is a tool to automatically annotate named entities in unlabeled text based on entity lists for the use as distant supervision. #NLP #Spacy Paper: https://t.co/ARZnWyEt2Q Python GitHub: https://t.co/IiTFU0dHSB https://t.co/8QILbcsmAj |
| 2021-10-28 | interactive data comic using proprietary drawing tools and a scripting language #DSL #DataViz https://t.co/FMFtLqqvXc https://t.co/BDzI9BlaUu |
| 2021-10-28 | DeFi Maladex protocol for quantitative trading / market-making and token economies #Cardano #DEX #AMM https://t.co/FYp9nro41H https://t.co/5j23gH41KC |
| 2021-10-28 | A substack on DAOs https://t.co/9IeJiA6hnl |
| 2021-10-28 | Excellent article on #DAO legal and tax considerations https://t.co/FespWZELMI |
| 2021-10-28 | Metaverse Meanderings… https://t.co/JFfhW4zdVC |
| 2021-10-26 | Paper models various #crypto returns as a function of Google Trends and density of relevant posts across social media - e.g. Reddit, Twitter https://t.co/JjfPgRUWC1 https://t.co/vS9VNLsiLd |
| 2021-10-26 | Sequoia Capital is reimagining the VC model to align investor preferences and invested company interests https://t.co/4yge43ElkU |
| 2021-10-25 | Time-Series Transformers Paper: https://t.co/IS0DTI9Pgu Python GitHub: https://t.co/cH2A4E1SNE Alternative implementation: https://t.co/GpHWD049X3 |
| 2021-10-25 | Private languages that map forgetables to visuals and heightened memorization… https://t.co/ljRwKZVN9f |
| 2021-10-23 | We have open roles for our Analytics Product team in Gdynia, Poland #datascience #Python #Finance https://t.co/4ukNFUnH3R |
| 2021-10-23 | Generalized Outlier / Anomaly Detection Taxonomy, Paper | Python Source: Outlier detection (OD), anomaly detection (AD), novelty detection (ND), open set recognition (OSR), and out-of-distribution (OOD) detection Paper: https://t.co/KuQL07XXbY GitHub: https://t.co/eU2MSGMCGx https://t.co/IYjMz6Yk5v |
| 2021-10-22 | Underlying Asset Kernels - Neutral Density (RND) using Rookley’s Method, and Historical Density (HD) using GARCH Method and BSplines Python GitHub: https://t.co/lM4PBNr1Oi https://t.co/i1Y057ey8c |
| 2021-10-22 | Stock synchronization index given by the transcript #stock entropy of pairs of stocks - paper https://t.co/O1YrCobUIZ https://t.co/GK9CX6ypQd |
| 2021-10-21 | AI, Umps and Strike Zones #MLB https://t.co/XIDBy8OQKg |
| 2021-10-20 | Stock price prediction using Generalized Compound Hawkes Process based model on limit order books #lob - paper https://t.co/sOprph1qXe https://t.co/W9WmOiT1Lq |
| 2021-10-20 | Predicting bond defaults using only public data (e.g.macro economic) and transformer-based natural language processing models to generate embeddings of the project descriptions published for each muni-bond. https://t.co/19wDLS4dkS https://t.co/lXRivkFGul |
| 2021-10-19 | @marked_man @TonyBaer And the waiting spot is too close to the track and adjacent to the beam. |
| 2021-10-19 | @marked_man @TonyBaer The bacteria and virus-infected phone, the lack of card or digital payment, the obscene cost of the call, who doesn’t have a cell phone anyway so why would we need a payphone and why shouldn’t the call be free because we are the product - it’s a missed opportunity to sell adds… |
| 2021-10-18 | Crobat - Crypto limit order book #lob analysis Python GitHub: https://t.co/Z068vTjm95 Based on this Bitcoin analysis: https://t.co/4lehqWdD6t and the embedded Python code https://t.co/limFa8V8pM for implementing Order Flow Imbalance (OFI) and Trade Flow Imbalance to BTC-USD https://t.co/JFKat7qB6E |
| 2021-10-17 | Robust and deep Limit Order Book models examined in this paper by JPMorgan researchers https://t.co/jlgJ8mDAbv #lob model paper https://t.co/d7iMFPQkYn |
| 2021-10-17 | Paper examines hidden #liquidity on exchanges: hidden or “iceberg†orders that allow traders to hide (at least) a fraction of their liquidity-supplying standing limit orders #metrics https://t.co/CJ0j3iIWxv https://t.co/EaQFvDRqp2 |
| 2021-10-14 | Dynamic Mode Decomposition vs PCA for Time Series Prediction - article https://t.co/8FaEDyWzeM PyDMD GitHub: https://t.co/nh8iSUTNFF https://t.co/WUSB1PIia1 |
| 2021-10-14 | Microsoft + Nvidia have created a language model with triple the parameters of GPT-3: ‘The Megatron-Turing Natural Language Generation model (MT-NLG) is more than triple the size of GPT-3 at 530 billion parameters.' https://t.co/dEV3OLAAtC |
| 2021-10-14 | Refactor or Rewrite? An often unpopular perspective… https://t.co/jGvyV7cRat |
| 2021-10-14 | The inevitable and valuable consequence of the quantified self? Augmented reality glasses that remember and recall… #privacy https://t.co/wHE0SapGrn |
| 2021-10-13 | Graphs and Multivariate Time-Series predictions: instance-wise graph-based framework to utilize the inter-dependencies of different variables Paper: https://t.co/0o4w0M9jMO Python GitHub: https://t.co/TnWIhefRlZ |
| 2021-10-13 | From Lipschitzness to Kernels to Hyperparameters and Embeddings: the new lexicon of machine learning terms and their definitions https://t.co/TLwBvUTda7 |
| 2021-10-11 | Generative Genomic NFTs https://t.co/yqIue0TVSC |
| 2021-10-10 | Metaverse market structure article updated… https://t.co/jX9KbPtVYc https://t.co/Idt6SlmApv |
| 2021-10-09 | #BDT Derivatives Model in R #rstats Nice - via @Rbloggers https://t.co/zxuzl4CMUK |
| 2021-10-09 | Supply Chains and Metaverses But it’s all a transient flow, part of an endless situated circulation that computes our world into being every minute. The metaverse is already here, it just hasn’t been digitized yet. https://t.co/sdmLVXuz4C |
| 2021-10-08 | The Dysfunctional Supply Chain in our New Normal… https://t.co/WalFXlnxtE |
| 2021-10-07 | Housing price inflation dynamics via strategist Leonard Kiefer https://t.co/p2RI7RvrkO |
| 2021-10-06 | Deep Learning on Tabular Data - paper surveys the current state of the science https://t.co/CQ5g8Wft3U https://t.co/cGp56uO0DZ |
| 2021-10-06 | WIRED on the Exponential Age ‘IF THE PRIMARY cause of the exponential gap is our failure to predict the cadence of exponential change, the secondary cause is our consequent failure to adapt to it.’ https://t.co/mDktK1tUFa https://t.co/BEvNbMLkcm |
| 2021-10-06 | Low code data analytics workflows based on Drag and Drop, DAGs and Pandas: https://t.co/Jr0A8WEz6K https://t.co/vhAGj2I95G https://t.co/Uyam7GK6Y5 |
| 2021-10-06 | Paper: Predicting one-day-ahead measures of liquidity in Vietnam stock market; AMIHUD measure on the basis of historical values of AMIHUD and SPRD, RESPRD, VOL and TO measures. https://t.co/pmDXgMSthc https://t.co/royynheMbS |
| 2021-10-06 | Web 3 Ecosystem Primer #Crypto #DeFi https://t.co/hliZ21DDX0 |
| 2021-10-06 | For those who are new to Python and need a free (and open-source) online course https://t.co/m3wddl2yjT https://t.co/beNXZFQOAw |
| 2021-10-06 | HEX, DAGs and yes, the future of Jupyter notebooks may be reactive https://t.co/Cpm7aJvmep |
| 2021-10-06 | The Microstructure of Cointegrated Assets “fair prices, as a function of the observable state of multiple order books. We compute the microprices of two highly cointegrated assets, using Level-1 data” @Markov #Hawkes #LOB Model Python GitHub: https://t.co/vCXdw87jsG https://t.co/OCZT5pe2QL |
| 2021-10-06 | #TCA Paper reimagines (market/price)-impact as a State-dependent Hawkes process on Limit Order Books https://t.co/lZIGgzqwiK #lob #tca https://t.co/S0ysYWrqq1 |
| 2021-10-06 | This paper’s econometric model of stock returns uses financial ratios (dividend yield, earnings-to-price ratio, book-to-market ratio as well as consumption-wealth ratio) that are adjusted with an exponential transformation to reduce non-stationarity https://t.co/oKqVYEj9xV https://t.co/Nua6542PGE |
| 2021-10-05 | Good technical analysis of BGP Protocol / DNS and how it relates to the Facebook & Instagram Outage https://t.co/Wu7F89oSd5 And the severity described here: https://t.co/AVrX2b30g3 and here: https://t.co/czlIlSdKlK |
| 2021-10-05 | Corrected here: https://t.co/bbJYGVrq6U Thank you! https://t.co/f174Z7gOfS |
| 2021-10-05 | Paper on Options Order Imbalance Commonality between individual call and put options and the market - paper https://t.co/FjdhXy7QY5 https://t.co/Fpp6AzJvU9 |
| 2021-10-04 | Ml AI Data #MAD Ecosystem and Deals via @mattturck Article: https://t.co/1l8INLVjf2 Company Ecosystem: https://t.co/AY0PzqQnDn Airtable spreadsheet company list: https://t.co/jbMHwrbcQd https://t.co/KhmHUN8DeT |
| 2021-10-04 | Liquidity in Crypto - paper https://t.co/e4sU6MLZNs |
| 2021-10-03 | New #ML #ebook PATTERNS, PREDICTIONS, AND ACTIONS: A story about machine learning https://t.co/d4zVQaxGQA |
| 2021-10-03 | Crypto Volatility: Paper on intra-week, intra-day, and intra-hour patterns in volatility and volume for two leading cryptocurrencies and for three exchanges. #DeFi #CeFi https://t.co/Q9m61GoCOQ https://t.co/BaSggNJx2C |
| 2021-09-30 | ‘Detect ultimate controlling entities in global corporate networks. α-ICON uses company-participant links to identify super-holders who exert control in networks with millions of nodes.’ R #rstats GitHub; https://t.co/1tJb1GUzRN Paper: https://t.co/d3u9gdyYxG https://t.co/tFqO3RpDJ6 |
| 2021-09-30 | Role of random strategies in financial systems from a micro-economic point of view. https://t.co/1JaJ2vDP45 |
| 2021-09-30 | NBER Papers Sankey charted with the Tidy R #rstats code here: https://t.co/jylGosEB8b https://t.co/N4zbMT4RjO |
| 2021-09-29 | Opacus, a PyTorch / Python library for differential privacy in deep learning with selectable PrivacyEngines GitHub: https://t.co/VdZYHEWIDI Paper: https://t.co/RJHSC1GRsR https://t.co/4TZ2VqthAo |
| 2021-09-28 | Multi resolution deep neural net with wavelets for stock price prediction paper https://t.co/LrOioszX9l https://t.co/rvKPn64rLr |
| 2021-09-28 | Paper on global stock market correlation and volatility dynamics with embedded Stata code https://t.co/L9iv3CKccR https://t.co/VpeZUmhv8p |
| 2021-09-28 | Former Google CEO Eric Schmidt opines on the ascendancy of #misinformation https://t.co/gG4goh7Z9b |
| 2021-09-27 | Stationarized order flow imbalance: stationary-log-OFIs #LOB #OFI paper Dalian Commodity Exchange / Coke Futures https://t.co/YERvdB7y1D https://t.co/E5WOZTcxjf |
| 2021-09-27 | #DataViz Taxonomies https://t.co/AFIM8roUXO |
| 2021-09-26 | Growth of open source projects/startups by GitHub use - list by @RunaCapital https://t.co/YvFIPXlguj https://t.co/RpO2ZsoWJm |
| 2021-09-24 | Ok, this is a couple of years old, but the post has a still relevant discourse on formulaic models and parameterization for realized volatility estimation https://t.co/LlYywP1ixM |
| 2021-09-23 | Machine learning on streaming time-series - aka River Python GitHub: https://t.co/UJbTQxpHJL Docs: https://t.co/FYaQEhLQNI https://t.co/XZRGZuxrTx |
| 2021-09-23 | Trade Classification in Fast Stock Markets - inferring trade direction #lob (several algorithms implemented including original Lee-Ready and new one from Simon Jurkatis) Python GitHub: https://t.co/eGN4CAYdga 2019 Paper: https://t.co/ufdc5Kz5lg |
| 2021-09-23 | Paper on modeling differences between market-moving tweets and retweets seconds after the event before and after market hours https://t.co/XcBDzn5acr https://t.co/R4Yn2JyVid |
| 2021-09-23 | PyWATTS - an open-source Python-based non-sequential workflow automation tool for the analysis of time-series Python GitHub: https://t.co/uVfpLPM8Zr Paper: https://t.co/2ky6V5u1hZ |
| 2021-09-22 | AutoFeat for automated feature generation / engineering Example Jupyter Notebook: https://t.co/aVwyohD9GH Python GitHub: https://t.co/tsYWPHcHjQ |
| 2021-09-22 | AutoTensorFlow AutoML https://t.co/bRivytoXbj |
| 2021-09-22 | Multiple AutoML libraries demonstrated in a single Jupyter notebook tutorial: AutoGluon, AutoKeras, AutoPyTorch, AutoSklearn, EvalML, H2O, FLAML, PyCaret and several others https://t.co/rk2qWzXm4T #tabular #timeseries |
| 2021-09-21 | Salesforce ~17 hours ago releases Merlion for time-series AutoML forecasting and anomaly classification Python GitHub: https://t.co/xRRmDtP6Ct Paper: https://t.co/opRaGG7pux https://t.co/vNh2jFJxQM |
| 2021-09-20 | “In a mostly remote world, a strong manager is someone who gets the best out of the people they’re managing, and sees the forest from the trees—directing workers in a way that’s informed by both experience and respect." theAtlantic on Remote Management https://t.co/Z6Xf8VCtKA |
| 2021-09-20 | #DataViz inspired from particle physics for representing CME Limit Order Book #LOB information https://t.co/fXOxBi8tTc https://t.co/j3Egizecfm |
| 2021-09-20 | BCG on The Future of Work (pic is an idealized topology of the new office environment) https://t.co/BrjCR3CkL8 https://t.co/0x4uRkjuPg |
| 2021-09-19 | Solve {O, P}DEs using PyTorch https://t.co/2CBhMxEzLg |
| 2021-09-19 | Neural hash functions and applications in Machine Learning article https://t.co/TuznaZiSW8 https://t.co/z3KebUdxCn |
| 2021-09-19 | AutoML for Graphs - AutoGL is PyTorch based Web site: https://t.co/Rp6Bth0mU6 Python GitHub: https://t.co/h87DkZUile Docs: https://t.co/uxDJurjRuw https://t.co/UnfAJu2CVb |
| 2021-09-16 | Patterns and Anti-Patterns as Indexation eclipses active investing and thinking https://t.co/5kRmxCl3Mj https://t.co/Bgz6NRsgf7 |
| 2021-09-16 | Paper: “Learning Equilibria in Symmetric Auction Games using Artificial Neural Networks”, published in Nature Machine Intelligence https://t.co/Cy0WOE0r7e Python GitHub: https://t.co/KuQ4fyJkxU |
| 2021-09-16 | European Startup Pay in Cash & Stock Options jump 60% year-on-year for techie talent - embedded comp calculator https://t.co/mt2F0Rwyfd |
| 2021-09-16 | @MrFuntactic …Or the birth of new markets… https://t.co/EnSzJiIMnZ |
| 2021-09-16 | ETNA is an easy-to-use time series forecasting framework. It includes preprocessing, feature generation, and predictive models with unified interface Python GitHub: https://t.co/v9UFU19vs8 #SOTA https://t.co/wtfZyvFJsB |
| 2021-09-16 | LibKGE is a PyTorch-based library for efficient training, evaluation, and hyperparameter optimization of knowledge graph embeddings (KGE). https://t.co/nTGCN8fufF Paper: https://t.co/S2Cz3Ak0a8 |
| 2021-09-16 | Visual Python Scripting | Ryven https://t.co/TYlItis9Qf |
| 2021-09-16 | Jump Trading announces the build out of its Crypto trading business and related software engineering with Solana, Wormhole and Serum “it’s likely to grow significantly in myriad and unpredictable ways over a sufficiently long time horizon.†https://t.co/kCER7qW3DW |
| 2021-09-15 | This Data vs Dispatch blog focuses on #DataViz https://t.co/51FreXVqLr |
| 2021-09-14 | Kedro data science pipelines in Python https://t.co/ZrVxuE9Owe https://t.co/z7EihAPJsR |
| 2021-09-13 | There is so much you can do inside Colab including using pyngrok to run a JupyterLab instance with three lines of code: !pip install colabcode from colabcode import ColabCode ColabCode(port=10000, password=“your password”) https://t.co/t23e4J5v2D |
| 2021-09-13 | Physics-based Deep Learning #eBook https://t.co/NlhnibdKmQ https://t.co/pbSS31F2Wo |
| 2021-09-12 | FT opines on the Crypto Herd and a very negative outlook https://t.co/02mjSuPXzK |
| 2021-09-12 | Using a feed forward deep neural network (DNN) to forecast one minute ahead depth of #lob limit order book volume of stocks in Tel Aviv https://t.co/8Y15LrkfYd #lob #liquidity paper https://t.co/fJS68gL3tW |
| 2021-09-12 | Time Aware LSTM (T-LSTM) is designed at the architecture level to handle irregular elapsed times which is the case with financial markets. Python GitHub: https://t.co/HS5ahKi9II |
| 2021-09-12 | Text-graph enhanced #KG Knowledge Graph representation learning model Teger. This paper models the text corpus with a heterogeneous entity-word graph. https://t.co/83MUy6LKfa Pytorch #KG https://t.co/imxT7gfViU DGL-KE #KG https://t.co/BzlHs9oyy2 https://t.co/cLmSszyy5h |
| 2021-09-12 | Time Series operations, date handling, manipulation - Python https://t.co/Z6hAEYKeEs |
| 2021-09-12 | Pytorch for Time-series prediction = TorchTS https://t.co/MQKFvxGhHs |
| 2021-09-12 | TSFlex is a Python Library for flexible time series processing & feature extraction, making few assumptions about input data and maintains datetime index https://t.co/bQG3vAfuFr https://t.co/9OKjjQyBfU |
| 2021-09-10 | Vertical FinTech Subsector adoption… https://t.co/NjybZwfKkF https://t.co/tmW4MS0uQG |
| 2021-09-10 | “McKinsey Global Institute says that companies are 23 times more likely to get new customers, six times more likely to retain existing customers, and 19 times more likely to be profitable when they use insights derived from data and analytics." https://t.co/FKxafliUtc |
| 2021-09-07 | Bitcoin fragmentation, cross-impact an market impact dynamics analyzed in this paper - trade and order imbalance model features https://t.co/FU3LzAU4Cu #TCA https://t.co/A6C3WyJjd3 |
| 2021-09-07 | BTC Bitcoin #LOB Limit Order Book Modeling - Glosten GMM - paper https://t.co/oXAZwtsOmq https://t.co/i4msogIyjv |
| 2021-09-07 | Legal dynamics of Web scraping and close adjacencies: browsewrap, clickwrap, GDPR https://t.co/JbZ4oFUkZt |
| 2021-09-07 | Deterministic, Independent- of-Corpus Embeddings (referred to as DICE) for numbers, such that their cosine similarity reflects the actual distance on the number line. #KG numerical / quantitative knowledge embedding Paper: https://t.co/V4WRykl2Ow https://t.co/16lDrUcMD6 |
| 2021-09-07 | Knowledge Graphs #KG with numeric / quantitative embeddings - paper https://t.co/4TAw7xq5SW AmpliGraph GitHub: https://t.co/sBdGBTxzM0 Background slides / video on #KG https://t.co/te7vrCvpwX https://t.co/IwHFdXip1c |
| 2021-09-07 | Paper presents current state of the art research in knowledge embedding - from the simple to fusing complex relationships https://t.co/SgC7OZBbgK #KG https://t.co/MkSyt7UBHk |
| 2021-09-07 | KEPLER for Knowledge Embedding https://t.co/f6xDh4H1KU GitHub: https://t.co/44QUf139k0 WikiData5m https://t.co/uJdis8xmSK #KG https://t.co/cTrAVF1Afi |
| 2021-09-07 | GPT-J GPT-J is a 6 billion parameter model released by a group called Eleuther AI to democratize huge language models for #NLP & #NLG https://t.co/vCLn1ndpga Google Colab / Python: https://t.co/WjtYw9RhnM |
| 2021-09-07 | Price infomativeness in ETFs - paper https://t.co/UATqXuoD4y |
| 2021-09-04 | Paper on predicting VIX using adaptive machine learning and a wide swath of economic time-series https://t.co/s2TusZP962 https://t.co/WYYNmbpQCN |
| 2021-09-04 | BAMT - Bayesian Analytical and Modelling Toolkit. https://t.co/7yA6lserZb #SyntheticData https://t.co/dVhLHeje31 |
| 2021-09-03 | FINQA, with Question-Answering pairs over Financial reports with numerical reasoning Paper: https://t.co/GtUGGOQhYY |
| 2021-09-03 | Primer on Graph Neural Networks https://t.co/qYkX3fQFao https://t.co/xQRqXFUBSH |
| 2021-09-02 | Pwc on remote work dynamics survey https://t.co/L8Q1r4emaE |
| 2021-09-02 | Ambient Banking and Embedded Finance… https://t.co/ZXNXMie5qR |
| 2021-09-01 | Market impact of stocks trading on the Shenzhen exchange - #TCA Paper Paper: https://t.co/6mpI9ZRv3D λ(b), μ(b), and θ(b) and order execution and flow imbalance https://t.co/CSIXqIbMIx |
| 2021-09-01 | Volatility of Crypto spreads and other liquidity measures - paper #BTC #ETH https://t.co/njK02qL75B https://t.co/A4OWICOo5R |
| 2021-09-01 | Pipelines are important in data science across finance and other commercial endeavors and Jupyter notebooks makes it harder with hidden state.==> Ploomber to the rescue Blog Post: https://t.co/lZejtek2dD GitHub: https://t.co/rhJeWxQYGz https://t.co/9Y2kadrSfU |
| 2021-09-01 | Stock Bid-Ask spread based estimators, bias and liquidity inferences - paper https://t.co/flymgdN3Oo |
| 2021-08-30 | Impulse response to #Liquidity metrics - tightness, depth, breadth and immediacy - for stocks in India - paper https://t.co/n6A2iHslBG https://t.co/FzhLq7K5Fk |
| 2021-08-30 | News and information transfer to stock markets using Twitter content, Scipy, multiprocessing libraries, & SESTM / transfer entropy models #NLP Paper: https://t.co/ZIKiwqKfmg Jupyter / Python GitHub: https://t.co/PmFyS1PSpy https://t.co/hYRb6HpuLF |
| 2021-08-30 | BLS economic data and modeling in R #rstats https://t.co/s5znRlf2SH https://t.co/JJSsuLVgPe |
| 2021-08-30 | Pairs trading - modeling structural break-aware pairs trading strategy (SAPT), by leveraging machine learning techniques - paper https://t.co/2RjcU7EfAM https://t.co/opi0ItImPS |
| 2021-08-30 | Entropy and Stock Market Depth - #Liquidity paper https://t.co/hcV8rt8GrQ https://t.co/MSLxtsjYCG |
| 2021-08-30 | Deeper limit order book using Feed Forward Deep Neural Network (DNN) - paper (alas, uses old 2012-2018 stock data set) https://t.co/nkXbjTHA75 |
| 2021-08-30 | Facebook paper on new Neural Database architecture - enables machines to search efficiently through unstructured text for facts Blog post: https://t.co/gTsU4dB22P Paper: https://t.co/l8pTDqiAxb Python GitHub: https://t.co/fUoWNOCDGt https://t.co/BsjhXWQOF7 |
| 2021-08-30 | DeFi Adoption Index… https://t.co/wyP3USbLoU https://t.co/DUqJFW9H8J |
| 2021-08-30 | Startup from the prism of under-resourced disruptive potential https://t.co/QNIDATn5H2 |
| 2021-08-29 | Latent Liquidity (and intraday volatility) - paper embedded in 2020 Journal of Portfolio Management https://t.co/uoQCl0KWcd https://t.co/y8sXN2Yslv |
| 2021-08-29 | Paper on #Crypto #Liquidity measures including high frequency https://t.co/X5NQQGtacF https://t.co/vIJioyMb0X |
| 2021-08-29 | Paper on market structure and key attributes of DEX and Swap crypto trading and automated market making https://t.co/Ucg79egy0M https://t.co/7OWcLZfKG5 |
| 2021-08-29 | CeFi vs DeFi architecture, attributes and synergies Paper: https://t.co/167Xi7V4i5 https://t.co/8730VfS4rz |
| 2021-08-28 | Paper on visual misinformation and disinformation: videos, memes https://t.co/qYt2Ph7BpW |
| 2021-08-28 | Time Series prediction using PyTorch https://t.co/m3PIjE1ppx #automl https://t.co/EeVHdsMoUz |
| 2021-08-28 | Paper - #DLT and the evolution of Securities Markets | Columbia Business Law Review https://t.co/vFoslyHTH5 #DeFi |
| 2021-08-28 | HyperGBM is a Python library for full-pipeline AutoML: end-2-end data cleaning, preprocessing, feature generation and selection, model selection and hyperparameter optimization. #automl for tabular data https://t.co/aG4EP0Kg5k https://t.co/T2xO4W95rH |
| 2021-08-28 | Embedded Pythonic time-series database - tstorage https://t.co/AxGgN20Tlb |
| 2021-08-28 | Syft + Grid provides security & privacy in Python deep learning. Syft decouples private data from model training, using Federated Learning, Differential Privacy, and Encrypted Computation with TensorFlow & PyTorch https://t.co/yPH9OcZUCr https://t.co/Q5bpPMy4Ya |
| 2021-08-27 | Spinning out firms with a different lazer focus and DNA has never been easier to do https://t.co/kJrT0axnVb |
| 2021-08-27 | Customized maps in Python https://t.co/nUmgl2voOb https://t.co/3rcgzT2IgV |
| 2021-08-24 | Continuous Futures - python code: https://t.co/7QzzUkJWIQ https://t.co/qcRYt00MFf Metadata for contracts and simple but common rule-based methods: https://t.co/WnG50poeSz Background: https://t.co/uPbZtOK12c |
| 2021-08-24 | Venture Capital investments - human experts vs boosted decision trees (w/o clear base) - paper https://t.co/uM8HIZL2Oq Same authors use graph embedding and digital traces: Predicting future funding https://t.co/6vM8ojR7WU Predicting startup survival https://t.co/UdAd4FlEXj https://t.co/NIIAh5ga9N |
| 2021-08-24 | Linear Model Trees combine the learning ability of Decision Tree with the predictive and explicative power of Linear Models. https://t.co/Bruo9Vdren https://t.co/ZAaI72A4ET |
| 2021-08-23 | Crisis detection / classification using Gradient Boosting Decision Trees: https://t.co/gDMh96Pjb8 https://t.co/GncACeyjHL |
| 2021-08-22 | DeltaPy - Python based time-series augmentation Paper: https://t.co/Q0OSdJaUVn GitHub: https://t.co/oWtk8UOdPi https://t.co/8DDBZ4cjbL |
| 2021-08-22 | Time-Series Augmentation methods compared PLOS Paper: https://t.co/lkGspZGjJl Python GitHub: https://t.co/toUxTUr6ZX and methods: https://t.co/8Qjm9VC2D4 https://t.co/sVrCXswOMk |
| 2021-08-21 | Structural acceleration rather than seasonal flight to remote work for coders and other techies https://t.co/XraKV542ix https://t.co/subu1ZSPDj |
| 2021-08-20 | New compendium of machine learning #ebook by @cohenori Article: https://t.co/jBnYK9wNLA #eBook as Google Doc https://t.co/Id72GjmNuz GitHub markup version of ebook: https://t.co/UaeyErbb6z |
| 2021-08-20 | Causality and Time Series - beyond Granger causality to identify only the true causes of a target time series, given some graph constraints using directed acyclic graphs (DAGs) #ICML Paper #icml2021_reading Blog Post: https://t.co/9GvazvTnJA Paper: https://t.co/Y6lgYwK7ML https://t.co/nsCN8SPi0h |
| 2021-08-20 | Multi-Horizon Limit Order Book Modeling by Oxford-Man Quants using Intelligent Processing Units, GPUs with a public FI-2010 dataset. #Graphcore #Attention #LOB Paper: https://t.co/tIw3RcerQh Blog and video: https://t.co/5hTirHHWp8 Python GitHub: https://t.co/m4iyj3maOX https://t.co/xKWqx9RCXV |
| 2021-08-19 | A dark perspective on ESG and Capitalism https://t.co/sZrkoIyyXV |
| 2021-08-19 | If you love Basketball Analytics, please review this substack by by @owenlhjphillips https://t.co/adSfRtbSbr |
| 2021-08-19 | Expected Future Flow Shortfall (EFFS) as an alternative to traditional market impact - #TCA paper by Campbell Harvey and others… https://t.co/RfGcnfb0vz https://t.co/EMSvpro5cF |
| 2021-08-17 | CNN and RNN Neural Nets for Time Series https://t.co/4YjIbNhlPB |
| 2021-08-17 | Intrigued with the emergence of @bluesky - but the potential is much greater than cryptographic messages or DAO https://t.co/OIP8tW1RCr Rather, the potential is for a new ecosystem with multi-verse and real-world crossovers governed by multiple ESG ideals. |
| 2021-08-17 | Cryptos compared to traditional asset classes: paper concludes: most of the variation among cryptocurrencies and classical assets can be explained by three factors: the tail factor, the memory factor and the moment factor. https://t.co/iBZ6A6emDH https://t.co/iqtZNw9gh9 |
| 2021-08-17 | Glostens structural model applied to Bitcoin - trade informativeness and #lob liquidity - paper https://t.co/9tEkDRzDkM https://t.co/XZ3c3GbfQx |
| 2021-08-15 | Predicting startup success by automating venture capital success factors as features Paper: https://t.co/GrZcZDs5Mg GitHub: https://t.co/261Rus6YH7 Article on Gartner prediction that most VCs will be using #ML to make predictions soon: https://t.co/iUeCFVKAYB https://t.co/UippqMcPFT |
| 2021-08-15 | Paper compares Python time-series library capabilities https://t.co/1Wv3Myr9vA https://t.co/qK9ttYnPH3 |
| 2021-08-13 | JP Morgan - institutional perspectives on Cryptos https://t.co/weRPkdD2mD |
| 2021-08-13 | Interactive Linear Algebra #eBook https://t.co/SHgQSA4XfJ https://t.co/Nu7OEugvQ0 |
| 2021-08-13 | The startup AI21 Labs trains a massive language model supporting multi-words / n-grams - Jurassic-1 Jumbo — contains 178 billion parameters, or 3 billion more than OpenSIs GPT-3 (but less than than PanGu-Alpha, HyperCLOVA, and Wu Dao 2.0). #NLP https://t.co/3MI59GEiu9 |
| 2021-08-13 | TruLens - a Pytorch & Keras TensorFlow compatible unification of machine learning libraries with explainability Paper: https://t.co/E4ksdKpj5J Library / web site: https://t.co/rVh4GfDOga GitHub: https://t.co/0IJGms8HwV Example Jupyter Notebook: https://t.co/4qnrQIDNC5 https://t.co/r86BBigRa4 |
| 2021-08-13 | Bayesian Additive Regression Trees (BART) paper infers most factors in stock factor models are trash in this nonparametric framework that captures non-linear effects. https://t.co/v1MIIifVaq |
| 2021-08-12 | LSTM and Limit Order Book features for trading stocks - #LOB #ML paper https://t.co/iz2ntLrerX https://t.co/ilfsMGVhar |
| 2021-08-12 | Stochastic Time-series Generative Adversarial Network, a hybridization of the modular financial textual network and a financial numerical network. https://t.co/V4CxRjJhDq #NLP #GAN |
| 2021-08-12 | Paper provides overview of multiple approaches to sentiment analysis of stocks with embedded Python code using the ntlk library https://t.co/9IFQzvVlnC |
| 2021-08-10 | Bank investments in Crypto and Blockchain Companies… https://t.co/ZuV3aapFjA https://t.co/foWghkxPeh https://t.co/4dZ6rgJkEx |
| 2021-08-10 | New BIS Report: Quantifying High Frequency Trading Arms Race https://t.co/Bbg5teSjUJ #hft https://t.co/bfZ3vIUtxy |
| 2021-08-10 | On Natural Language Understanding (NLU) / Machine Comprehension https://t.co/b3pczLvJxQ https://t.co/FVA4Txoth7 |
| 2021-08-09 | Snorkel #Airdrop, startup has reached Unicorn status >#1Bn valuation with their advances in data labeling https://t.co/MbGk4SgTYi |
| 2021-08-09 | Sovereign Bond #Liquidity Effects and Spillovers - paper https://t.co/mDhx35wLok https://t.co/6FIfgV4Sil |
| 2021-08-08 | Collection of Python #ebooks https://t.co/c0o1wLa5L5 https://t.co/r71BP1pJ6C |
| 2021-08-08 | Liquidity estimators for cryptocurrencies - compared and contrasted: amihud, roll, percent effective spread and many more - paper https://t.co/X5NQQGtacF #crypto #liquidity https://t.co/LQM2bYjnon |
| 2021-08-08 | Interday Bitcoin Dynamics including abnormal return spikes - paper https://t.co/Y0T1Nb8qgS https://t.co/4N6orCKZ49 |
| 2021-08-08 | Intraday Bitcoin Dynamics - Paper https://t.co/dcYBcsURVJ https://t.co/S2p8cFmaAW |
| 2021-08-08 | Negative Selection in Algorithmic Trading - paper https://t.co/sDyQEIQC6L https://t.co/QxID7EPERZ |
| 2021-08-08 | Protecting Terrorist Attacks - Paper https://t.co/I9eolIeeXW https://t.co/2rGB64diWW |
| 2021-08-08 | Named Entity Recognition using BERT and RoBERTa pre-trained language models - paper https://t.co/pF9KYeEPeC #nlp |
| 2021-08-08 | Stock predictions using XGboost, fundamental, technical, and sentiment features - SHAP (For descriptions and methodology, not for predictive value) Paper: https://t.co/CCWdYXLoVc |
| 2021-08-08 | Photonic Quantum Computing, Entanglement and … Aliens - paper https://t.co/uDW1DehqUW https://t.co/ApUYr6EyNZ |
| 2021-08-08 | Reinforcement Learning and Algorithmic Trading - Dissertation https://t.co/BDpKPn24BY https://t.co/ezC2846xaL |
| 2021-08-05 | Transformers with Self Attention - a Primer https://t.co/EEeYEvzZXD https://t.co/07GRbh6YPm |
| 2021-08-05 | Crypto Coherence (Wavelets) and other analysis to determine hedge effectiveness against cross-asset risk spillovers and Covid spikes https://t.co/kfcu5sydrj https://t.co/ROvIpKcZyQ |
| 2021-08-04 | ‘No Code’ hits mainstream https://t.co/eqor2nOJSO |
| 2021-08-03 | Reproducibility for analytical papers would be much easier if code and data sets were available as a general case. https://t.co/4BFnPlkPnk |
| 2021-08-02 | Time Crystals are seemingly all the rage these days… https://t.co/gSeS5tSC0g https://t.co/H3BadnM0lX |
| 2021-08-02 | @superbvibe @zerohedge Ahh, you were right. https://t.co/LhFUhoOmo8 Many ways of displaying the comparison, in this case FRED allows for indexing the market and the fed to 100 at the recession start… Feel free to make your own transformations or graph them natively. https://t.co/P1iC3n2FD0 |
| 2021-08-01 | And this Dystopian Metaverse Perspective: “The metaverse was born in Neal Stephenson’s 1992 Snow Crash, where it serves as entertainment and an economic underbelly to a poor, desperate nation that is literally governed by corporate franchises." https://t.co/yYLs9iG2WJ |
| 2021-08-01 | @zerohedge Lol, I’m sure some of the more robust multivariate ML models have that baked-in too. https://t.co/VYLS3W3iAT |
| 2021-08-01 | Ethereum $ETH volatility explored in this paper using multiple time series and econometric techniques: https://t.co/rMFFD3CEhm https://t.co/04IOZnmWtv |
| 2021-08-01 | Using limit order book dynamics combined with word embedding of financial news to forecast stock volatility ML-NLP model Paper: https://t.co/hjxWO3hsXr https://t.co/DpUSxEWIjL |
| 2021-08-01 | Factor modeling in portfolio optimization paper by BNP quants - a cross-sectional risk model using the stock return betas and a small number of style factors and macro-sectors indicator functions as explanatory variables in a cross-sectional regression. https://t.co/4IVronxhY4 https://t.co/OYjf8J3Cor |
| 2021-08-01 | Facebook $FB is a Metaverse Company - but what does that mean? https://t.co/82PK3qYtwu |
| 2021-08-01 | Blenderbot - Facebook $FB blends into the Metaverse with a chatbot that can search the Web, be articulate with an ability to summarize and recall previous conversations outperform the standard encoder-decoder architectures. https://t.co/8tZNgb4eYJ Paper: https://t.co/N6D2e6GXQG https://t.co/ToBIqIvpZO |
| 2021-08-01 | A16Z on new Cloud Economics and the imperative to optimize to improve margins https://t.co/RaBiukmhsg |
| 2021-08-01 | Chasing a rabbit down a hole to illuminate the essence of Bitcoin… https://t.co/RyEoa4i062 |
| 2021-07-31 | Modeling #lob limit order book dynamics - in particular, order execution imbalance (OEI) impact on price movements and order book evolution on stocks in Shenzhen - paper https://t.co/Am6u1ClSeP |
| 2021-07-31 | Pykg2vec is a Python library for learning the representations of the entities and relations in knowledge graphs and includes 25 state-of-the-art knowledge graph embedding algorithms. Paper: https://t.co/xWi0z3jToq Python GitHub: https://t.co/lJNpA58h8K https://t.co/lKrtUb333E |
| 2021-07-31 | FinBERT - pre-trained language model for financial communication Paper: https://t.co/A2BaZebUrX Python GitHub: https://t.co/4vvZHfThdw Jupyter notebook example: https://t.co/8SFdwUwEBM https://t.co/UpJ0r2y6cn |
| 2021-07-31 | Jupyter extension Text2Code converts english queries into Python code. https://t.co/Hn7kvokLrr https://t.co/PBG0NXIVoV |
| 2021-07-30 | Aurum report on 2021 hedge fund strategy performance https://t.co/rc1fHg7y61 https://t.co/veYrg0GbQd |
| 2021-07-30 | Ampligraph for Knowledge Graph Embeddings and #KG prediction Python GitHub: https://t.co/sBdGBTxzM0 https://t.co/I1Rn4izLqm |
| 2021-07-30 | And the ability to host, fun and view these Gradio models is provided by https://t.co/VFoVlUgloX |
| 2021-07-30 | Ode to Gradio - integrated multi-model, multi-domain #ML model training, containerization and Deployment with UI Paper: https://t.co/Ilhl8Nytau Python GitHub: https://t.co/yBxHlg6zFx Python Examples: https://t.co/0D2MGHf98T https://t.co/xoryORMFxQ |
| 2021-07-30 | And the org site for Storywrangling powered by the Twitter deckhouse feed (10 percent of all Tweets) and UVM Supercomputer to do the n-gram analysis Online site: https://t.co/D5nD4xTUe4 Real-time view: https://t.co/Ho0ljepWQ4 |
| 2021-07-30 | Storywrangler is the first visualization tool to look at multi-word phrases. Powered by UVM’s supercomputer, the Twitter analysis tool analyzes the rise and fall of n-grams: stories, words & ideas each day. Paper: https://t.co/FnbDztiZg8 Python GitHub: https://t.co/ThTiiNHvtv https://t.co/OmI7GeR9u3 |
| 2021-07-30 | Google utilized its building detection model from satellite imagery to create an Open Buildings dataset, containing locations / dimensions of 516 million buildings in Africa #AltData Dataset: https://t.co/h9P4WSmAse Paper: https://t.co/3LJi2iV8e8 Source: https://t.co/K3Qlr9yPxO |
| 2021-07-30 | Facebook open sources on GitHub, Driodlet - a Facebook research project: a modular Python-based embodied agent architecture and platform for building embodied agents with grounded dialogue, interactive learning and human-computer interfaces. https://t.co/mTuV24QXNk |
| 2021-07-30 | A point process model for order flows in limit order books is proposed, in which the conditional intensity is the product of a Hawkes component and a state-dependent factor. - in jtrading. https://t.co/MIUS5pQYDT https://t.co/mdcr9b4fCv |
| 2021-07-29 | Ode to Data Mesh https://t.co/Mmn32DyPTt https://t.co/YJuaXY8KIT |
| 2021-07-27 | Saber Labs, the development team behind Saber — a Solana-based cross-chain exchange for swapping stablecoins and wrapped tokens — has raised $7.7 million in a seed funding round. https://t.co/uWHWOwh2ww |
| 2021-07-27 | Aave looks at creating Ethereum-based Twitter to harvest the kinetic energy in social media interactions #DeFi https://t.co/5ohbS0KY5l |
| 2021-07-27 | FinTech disruption profiled by @McKinsey https://t.co/3BKBPnCtNb https://t.co/Y09arPY1uT |
| 2021-07-27 | FX Pairs Trading - co-integrated next day LSTM based predictions Python GitHub: https://t.co/nV2dD06GWV |
| 2021-07-27 | Reverse engineering information implicit in charts using machine learning (GMM) deep-dive https://t.co/70nhdw0oCD https://t.co/IWUg4s8Vvh |
| 2021-07-27 | Another deep-dive blog and python EDA code on the collective wisdom of expert forecasts (of bank stocks) using ensemble machine learning with two models (Dawid-Skene and Platt-Burges) https://t.co/ZCphs7rvtD https://t.co/88Dyx1adUv |
| 2021-07-27 | Petrochemical impact on forex rates - a well described quantitative deep dive exploration with Python scripts https://t.co/zhyhsM0YTE https://t.co/JvMZmABNzV |
| 2021-07-27 | Tutorial on Knowledge Graphs, applied to news querying #neo4j https://t.co/kQf1tfZQ8J |
| 2021-07-27 | A new system of rumor (vs factoid) detection and knowledge graph evidence based validation of the rumor Paper: https://t.co/sGekKnOXSl GitHub (Code not yet released): https://t.co/0FONXhYj1x https://t.co/oNrTwdoxrR |
| 2021-07-27 | 2/2 Another recent paper on Conversational Question Answering Paper: https://t.co/CWjmyFvYw4 Python, TensorFlow GitHub: https://t.co/D6ZI56h6Nq https://t.co/Lnl488toWH |
| 2021-07-27 | 1/2 Conversational Question Answering lives at the intersection of microservices, NLP, machine comprehension, and knowledge graphs Paper: https://t.co/7r5Ekar3JZ GitHub: https://t.co/gheBP7Zzv3 https://t.co/X4Rqm88ksN |
| 2021-07-27 | If in the future, every firm is a FinTech firm and peddling in the #Metaverse, then this article on how $FB is metamorphosing is a really good read today. https://t.co/vPbt9m6RJ5 https://t.co/6hIs69lBag |
| 2021-07-27 | PoW, PoS, ESG in #DeFi https://t.co/BiEIkHP3Xv |
| 2021-07-27 | Goldman #DeFi ETF Application https://t.co/1AkutGGqmr |
| 2021-07-27 | Goldman vs Solactive ETF constituents #defi https://t.co/AtccWBAo0E |
| 2021-07-26 | Compose is a machine learning tool for automated prediction engineering GitHub: https://t.co/Zj7eOH1pIX Blog Post: https://t.co/Cg4mk7J20E #evalml #featuretools #composeml #ml https://t.co/RiLu9hT1Ih |
| 2021-07-26 | Deep Mind’s Perceiver model tries to decouple the architecture of the network from the data it processes to process signals simultaneously (not just sequenced priors) #ml neural net inspired from biological nets Article: https://t.co/8U6PaeLCaB Paper: https://t.co/6yrtsE2jDG https://t.co/5OoCBelGy6 |
| 2021-07-26 | Bayesian stock price prediction - paper https://t.co/RO7htvn1gP https://t.co/xqmKI1ZOQC |
| 2021-07-25 | Time zones: 99% of the non-polar regions for timezones and countries, as well as 98% for (first level) country subdivisions QGIS Python: https://t.co/dgv1Mbba2K Blog Post: https://t.co/fjFPIlekhI ISO 3166 Polygons https://t.co/SAXO7cy3MZ https://t.co/R4kik31caq |
| 2021-07-24 | Apple’s Trinity - no code #automl based on TensorFlow framework and useful for spatio-temporal and complex feature engineering. Paper: https://t.co/ZeScuZ1JHs Background: https://t.co/Z3fzTHNgE6 Article: https://t.co/mJkp0FqzDD |
| 2021-07-24 | Bitcoin volatility dynamics as spillovers across crypto exchanges https://t.co/RmvDoZr6Rk $BTC #Binance #Coinbase https://t.co/bIshJGe1rd |
| 2021-07-24 | Bitcoin and other liquid Crypto volatility dynamics - xGARCH models - paper https://t.co/fReoODEvN4 |
| 2021-07-24 | Corporate Bonds #TCA Paper https://t.co/CmRVPx7gKZ https://t.co/WcCIfTvwh5 |
| 2021-07-24 | German Bonds - liquidity measures https://t.co/qfSazMcYxW https://t.co/UHZiaqoFgI |
| 2021-07-24 | Asymmetric liquidity in corporate bonds - paper, liquidity measures commonality, principal components and empirical inferences https://t.co/29RQY2nGj0 https://t.co/2ETxZrZ2QC |
| 2021-07-24 | Paper on Bond ETF Arbitrage (along with the impact of leverage on arbitrage dynamics and liquidity) https://t.co/XOUH5dUHbv https://t.co/bulk69Gp4b |
| 2021-07-24 | Clustering structure of market microstructure measures collected at 10 second intervals - spread, volatility and other metrics - dendrogram #dataviz paper https://t.co/bpRMCZXW0z https://t.co/0yu4NapuJC |
| 2021-07-24 | @ltabb Yes Larry, very limited retrospective of 2019 HFT exploration of CAD/US cross-currency stock arbitrage - inherently not risk-less, and not profitable unless on bigger scale with other low-information flows or synergies helping aggregate economics. |
| 2021-07-22 | Dynamics in high-frequency arbitrage - paper https://t.co/NNLcCppF9M https://t.co/Yh2wbCzTc0 |
| 2021-07-22 | NLP on 10Ks for Stock Alpha Signal generation “Alpha factors… do not display monotonicity in quantiles of factor returns. The sentiment word litigous achieved the highest Sharpe ratio at 2.23." Python GitHub: https://t.co/2ummWsgbnW |
| 2021-07-22 | Automating data flow and ML pipelines using Perfect as an alternative to Luigi or Airflow Python GitHub: https://t.co/iOWewZUrFc https://t.co/f5nAx5TzSx |
| 2021-07-22 | Wired on #DeFi https://t.co/AOiwiOf9kV |
| 2021-07-22 | A very high-performance, Pythonic language for bioinformatics / genomic research (written in c++) https://t.co/88920fcrlv |
| 2021-07-22 | Satellite imagery is currently growing at 80 Terabytes per day. Paper shows a cost-efficient approach to combining satellite imagery with machine learning (SIML) with transforms of each satellite image into a vector of variables - no image storage needed https://t.co/0LI24ATjQA |
| 2021-07-22 | @lightspringfox Good thread on Crypto exchange derivative stylized facts and market maker dynamics |
| 2021-07-21 | WikiGraphs- knowledge graphs of Wikipedia entries Pdf: https://t.co/H341KhaRss GitHub: https://t.co/1nGoiFqift https://t.co/cCSULAfExQ |
| 2021-07-21 | Paper on prediction of bond liquidity Includes trade size-adjusted liquidity measure https://t.co/Pxmr4jQ7Pt https://t.co/P5G44HVHbr |
| 2021-07-21 | Twitter features for stock prediction and embedded Python code - paper https://t.co/xSoeWrH0u0 https://t.co/dcOogafYx2 |
| 2021-07-21 | DeFi Risks - Paper explores the various contours of risk - e.g.: - protocols - validator cartels - leverage - smart-contract bugs https://t.co/v7GZbvbjvN https://t.co/b9fPXfoBPW |
| 2021-07-21 | Bitcoin $BTC as a portfolio diversifier analyzed in this paper under several portfolio optimization scenarios https://t.co/wXSO55AATR https://t.co/bjR2xEZvMk |
| 2021-07-20 | Gradio is a new tool to build quick user interfaces for ML pipelines https://t.co/yBxHlg6zFx https://t.co/hwUwo7XryH |
| 2021-07-20 | Not your fathers forecasting method: Time series forecasting competitions like M3 and M4 have spawned interest in temporal boosting methods, theta curves, bagging, and other extensions to classical univariate methods. Paper: https://t.co/Nv7522AAFY https://t.co/AY2j06DIiP |
| 2021-07-19 | Network analysis of ARK funds with Python code Article: https://t.co/95JUh2zZSg #DataViz https://t.co/93AoMg7TpB Python gist: https://t.co/ATWqp1YXWd https://t.co/ZmYpGyrXrC |
| 2021-07-19 | Twitter sentiment analysis on stocks - paper on basics with embedded Python / Keras code featuring Recurrent Neural Network (RNN) using Long Short Term Memory (LSTM) models https://t.co/hTFLCBGmnV https://t.co/GJxqzOqBcI |
| 2021-07-18 | “a venture-backed seed-stage startup has an estimated 1 in 40 shot—or 2.5% chance—of becoming a unicorn today." https://t.co/sqHEPNKvkO https://t.co/jfWTdmMx3g |
| 2021-07-17 | Simple, for the un-initiated, a 3-feature LSTM and Random Forest model implementations for intraday and next day stock prediction (with transaction cost estimate) Paper: https://t.co/v4WGhswr50 Python Github: https://t.co/rLc4Evasj7 Keras, CuDNNLSTM, |
| 2021-07-17 | Implementation of the Recurrent Implicit Quantile Networks (RIQNs) for time-series prediction and anomaly detection (out of distribution) Paper: https://t.co/yTl3DFHGis Python Github: https://t.co/4RgOigvdQb Sklearn, Gym, Pytorch |
| 2021-07-17 | Intraday Bitcoin Dynamics - price, returns, seasonality, volatility… https://t.co/wYqnWtd3eo $BTC https://t.co/OCQcqVi7Jl |
| 2021-07-16 | The Barrier of Meaning in #AI https://t.co/qveByCKRtx |
| 2021-07-16 | Excellent new NBER paper on high-frequency trading impact on speed & trading costs “market designs that eliminate latency arbitrage would reduce the market’s cost of liquidity by 17%….on the order of $5 billion per year in global equity markets alone." https://t.co/somqkB6cKj https://t.co/ChzybjdxuT |
| 2021-07-16 | Easley, O’Hara and a coterie of others pen this paper on stock information flows and compare with FAMA factors and related variables: VPIN, volume, information-variance, news article volume, volatile and Amihud illiquidity https://t.co/MW26GdbgtF https://t.co/Ddcjltqo0N |
| 2021-07-15 | Bond Liquidity - size adjusted, beta-liquidity, transaction costs - paper https://t.co/Cr6Z7Omhd6 https://t.co/kDzIO6cUpq |
| 2021-07-15 | Trading stocks around the open and close - empirical analysis https://t.co/ZOZrn2d0h7 https://t.co/ys5WVIyhpa |
| 2021-07-13 | Natural Language Processing: Good intro to #NLP and #NLG - and recent development of Google’s trillion parameter Switch Transformer models https://t.co/iEY1YIeIVL |
| 2021-07-13 | Using Gramian Angular Fields to encode time-series as images Python GitHub: https://t.co/nDW4MHAn2n Paper: https://t.co/fKT5UImSvS https://t.co/QcDwD3ieYV |
| 2021-07-13 | Econometric analysis of COVID-19 volatility impact on S&P500 and FAANG and FATANG big techs - paper https://t.co/RdrjcBJ9jn https://t.co/EHEKReLaF8 |
| 2021-07-13 | Dissertation on High-frequency Electricity Trading: https://t.co/8H7awWiWwa |
| 2021-07-12 | Timeseries classification with TensorFlow, Keras and a Transformer model https://t.co/qSvOrMlobX |
| 2021-07-12 | @daraladje And in #DeFi and in a traditional capital markets pivot, it is not hard to imagine how GPTxx could be part of a new collaborative paradigm for institutional participants. |
| 2021-07-10 | Collection of papers on volatility estimation https://t.co/9Le1S2sVik |
| 2021-07-10 | Tutorial on time series models in Python https://t.co/rMHzZz5UJP |
| 2021-07-09 | A cheeky perspective on #MLOps - and some of the key startups https://t.co/Ln74kw86Hj https://t.co/vxnNHTooIg |
| 2021-07-09 | New Paper on Codex, a GPT language model fine tuned on publicly available code from GitHub, and it’s Python code-writing capabilities. https://t.co/hpsZHmDcpw #NLP #NLG #OpenAI #AI https://t.co/K2OZfD1QS3 |
| 2021-07-08 | And this Python neural net library using LSTM to predict tick direction https://t.co/akrqNEKJ6U |
| 2021-07-07 | Python pipeline generator of #ML LLVM bytecode for higher performance https://t.co/KWQ3vHE4tP |
| 2021-07-07 | This Paper expands a bit on classical tick / trade classification rules for Bitcoin https://t.co/8S83pQf3j2 https://t.co/hyS3s1qBOn |
| 2021-07-07 | DAO based DeFi Index(es) gets funding boost from Galaxy Digital https://t.co/AAfXdjyvA3 |
| 2021-07-07 | Ode to Hyperparameter Sweeps in a Jupyter / Colab Notebook https://t.co/RPnBA8pRVs https://t.co/GrmpzprEfA |
| 2021-07-07 | And related 2020 paper by Jurkatis for full-information trade classification that uses quote matching: https://t.co/mElgDUrzsz |
| 2021-07-07 | Stock Trade Classification Algorithms in Python • Lee and Ready, 1991 • Bvc - Easley, et al., 2012 • Ellis et al. (2000), • Chakrabarty et al. (2007) • Jurkatis (2020) Also, order imbalance and transaction cost estimator https://t.co/eGN4CAYdga h/t @macro_srsv |
| 2021-07-06 | DeFi Blockchains for Bonds?! FT Article: https://t.co/I4m8eH5sjQ Report: https://t.co/UXH903eczo https://t.co/odTAllYQce |
| 2021-07-06 | Jupyitelite - Jupyter notebooks running Python code in a browser using wasm and NO Python servers https://t.co/MzdIRJyXDf |
| 2021-07-06 | Article discusses post trade processing on blockchains https://t.co/NfPft8E8ms |
| 2021-07-06 | VS Codecompletion extension - #lowcode (using Huggingface) https://t.co/6UiqqUn5Y5 |
| 2021-07-06 | In FT: The end of ESG factor outperformance? https://t.co/FAp6NmmQeW https://t.co/165NXUvqPI |
| 2021-07-06 | MIT Sloan eSg rethink: social media business models https://t.co/Thosr14nMO https://t.co/3VUTnuVsGk |
| 2021-07-06 | #FOMO #FAIL #REKT When a DeFi Stablecoin has a one-day bank run. Iron Finance’s Titanium (TITAN) token plummets — from US$64.19 to zero — in a single day.  https://t.co/fPHpDdLdwO |
| 2021-07-04 | ML-Ops Antipatterns - paper https://t.co/4v5fgM4npF https://t.co/YwcVsiNoi4 |
| 2021-07-04 | TStorage - time-series in memory / storage written completely in Go language Blog post: https://t.co/L0fgKgbamz Go Github: https://t.co/AxGgN20Tlb |
| 2021-07-04 | MIFIDII impact on European market and index volatility - paper https://t.co/VaxzfoGprk https://t.co/oB7AHUA0qn |
| 2021-07-04 | Python Date arithmetic for financial instrument arithmetic - eg modified following - bizdays https://t.co/uLYyyCVFEl And Pandas market calendars for market-specific exchange and OTC holidays and early closes… https://t.co/PV0yM1lsg0 |
| 2021-07-03 | SPACs account for 8% of FinTech deal transaction value (albeit, from a tiny base) https://t.co/8tP7ik30Is https://t.co/S8fT0odst9 |
| 2021-07-03 | Walled Garden vs Chain Surveillance permissioned #DeFi https://t.co/dsSyYfE3z2 |
| 2021-07-03 | Volatility has many forms… https://t.co/v7rgxY4OEs #VIX #IV #RV https://t.co/Hgq7R97Vpz |
| 2021-07-03 | Paper - seasonal and trend decomposition of a univariate time-series based on Loess (STL) https://t.co/l7GteHzX3e https://t.co/b9RpFK022i |
| 2021-06-30 | Portland Heat Wave Extrema NYT Graphic replicated in R in this Github Gist by @CedScherer #rstats #dataviz https://t.co/6ZV23a212O https://t.co/r8rgh5pBnz |
| 2021-06-30 | Low code, no code, and now auto(mated) code generation enter our lexicon - a GPT-3 by-product https://t.co/OcX2ddZBAd https://t.co/7DVkwE6wm8 https://t.co/YYiHta5NBG |
| 2021-06-29 | Paper - using Complex Networks to model markets with high frequency trading https://t.co/6gu8eM3S6h |
| 2021-06-29 | MBSTS - Paper and R Package for implementing general structural time series models, flexibly adding on different time series components, featurizing & fitting them to multivariate correlated time series data #RStats CRAN: https://t.co/nxTbtqvcvU Paper: https://t.co/49sfDl11lQ https://t.co/Yxj3GRXFwi |
| 2021-06-29 | Automating a pipeline along with the TODS Python library to detect outliers in time-series https://t.co/QwjvjViLhk |
| 2021-06-29 | Sometimes a small collection of Jupyter notebooks can be helpful to initiate the technically inclined to the vagaries of financial time series… https://t.co/yzLN2t9pVF |
| 2021-06-29 | fathon is a python package for DFA - Detrended Fluctuation & Cross Correlation Time-Series Analysis Multifractal Multifractal Detrended HT Time-dependent Hurst exponent Cython Github: https://t.co/CtiHvl0iHF |
| 2021-06-28 | Open Ebook - https://t.co/lAEUmA82Pw https://t.co/2uz0HVCHiv R #rstats GitHub: https://t.co/lAEUmA82Pw https://t.co/qsCKHwLuWI |
| 2021-06-28 | Temp: Time-Series utilities on top of Spark “AS OF joins, rolling statistics with user-specified window lengths, featurization of time series using lagged values, and Delta Lake optimization” GitHub: https://t.co/16yPrmoUdx VWAP and other agg stats: https://t.co/vFmIAgWrsg |
| 2021-06-28 | Paper reviews Python open source time-series libraries https://t.co/x2TLKTefXa https://t.co/K4w238eqy0 |
| 2021-06-27 | Synthetic timeseries (aka to mock a time-series) in Python with seasonality and trend dynamics https://t.co/GrRe1krCRA |
| 2021-06-27 | A non-quantitative perspective of Bitcoin liquidity dynamics across trusts and futures proxies of on-chain liquidity https://t.co/MVFlNPwhQ7 |
| 2021-06-27 | StellarGraph is a Python library for machine learning on graphs and networks. GitHub: https://t.co/FRQFcFlqTD Time-series Colab / Jupyter example: https://t.co/FRQFcFlqTD |
| 2021-06-27 | Andreessen on Crypto’s distributed consensus… https://t.co/jG76hPA2ne |
| 2021-06-27 | Sunday is a perfect day to model Similarities of Stock time series… 2020 Paper: https://t.co/ELtWohqERf Python Github: https://t.co/0McTv5t0sG https://t.co/W0W1mLwrG5 |
| 2021-06-27 | Modeling time series better by focusing on ARIMA residuals with CatBoost and LightBGM (and including categorical variables) in R #rstats #tidy https://t.co/pKkKtlGPaG |
| 2021-06-27 | Low Code, No Code - multi-part blog analysis https://t.co/QkDd5HyFEM https://t.co/hZbM6dFJhQ https://t.co/mREIFfHIua |
| 2021-06-26 | DeFi Infrastructure stacks mapped and discussed in this blog post https://t.co/p7bZHNcbYs #solana vs #etherium #crypto #defi https://t.co/ysi18sqjRu |
| 2021-06-26 | Boston Fed CEO opines on Tether’s disruptive risk to money markets system #Tether #Crypto https://t.co/LMyrV06V1Y https://t.co/7GbyDWFwJZ |
| 2021-06-26 | The paradox of (startup) genius https://t.co/sGSI3mFjoO |
| 2021-06-23 | On Tokenized Securities https://t.co/JHcaLk8sKS |
| 2021-06-23 | Analysis of Crypto volatility at Covid19 crisis inception using realized volatility based HAR models - paper Heterogeneous Autoregressive Model https://t.co/YWXhxyciaL https://t.co/7HphG6Jh7u |
| 2021-06-23 | KATS for Time Series https://t.co/3NNEvcKE2w Python GitHub Repo: https://t.co/n9bb8ZQ86L #automl #ml #timeseries https://t.co/x9wZHM6hiu |
| 2021-06-23 | Time Series Patterns - AmplitudeBasedLabeller and Hawkes Python GitHub: https://t.co/ptSNIagXa1 Jupyter: https://t.co/t17fq8UqgY https://t.co/RpHIsftb9o |
| 2021-06-23 | Marc Andreessen opines on future of Venture Capital and Tech innovation https://t.co/WvOjuFudTy |
| 2021-06-23 | NLP and NLU Python streamlit examples… https://t.co/94BYSnAHQK https://t.co/lHm4fJpcih |
| 2021-06-23 | Bitcoin, Blockchain and Jupyter Python https://t.co/Ll44sh6CUQ OR https://t.co/pXdDbKesq1 https://t.co/AStvG2kNyd |
| 2021-06-22 | @cgledhill I remember in the early 80’s before PKZIP we also had ARC, LHARC and PKARC (and ZOO) |
| 2021-06-21 | FT Retrospective on meme-ification of the stonks and crypto markets https://t.co/HYccUrLAWK https://t.co/y8jnHPP1N8 |
| 2021-06-18 | 102 Stock Anomalies analyzed… App / Web Site: https://t.co/ChQk5PFqrx Paper: https://t.co/cwmIKCPpiz Data (alas, no GitHub yet): https://t.co/ymuwwKonSs #alpha https://t.co/D4QcUadDWx |
| 2021-06-18 | Hmmm. Dystopian Affective Computing? https://t.co/RW3g7D3nlt https://t.co/oCBKZNVuFj |
| 2021-06-18 | Facebook open sources AugLy a data augmentation tool for machine learning model building in a world where #ml opportunities are increasingly multi-modal: text, video, audio and image https://t.co/B4QXe94DeB Python GitHub: https://t.co/z1pGkqVist Colab: https://t.co/3Kg0ZHE2JS https://t.co/fiYSIIAVJN |
| 2021-06-16 | Large pre-trained language models are the focus of this paper https://t.co/09qAMdkjXA #NLP https://t.co/gM6vostwle |
| 2021-06-16 | Cryptocurrency factor model with a mispricing factor under almost stochastic dominance - paper https://t.co/xmvaGkSrNW https://t.co/kGhqPnGS5c |
| 2021-06-15 | Ode to OCaml https://t.co/x7uhJ1DFN3 |
| 2021-06-14 | Optimal deep learning based trading using convolutional transformers - paper https://t.co/p9wsm48tZA https://t.co/4sOgYvHxXY |
| 2021-06-13 | Encoding structural conformation within a (knowledge) graph is the focus of Graphformer a Microsoft Research Github project: https://t.co/YKzHBCYvFu And paper: https://t.co/qpWylXwILd https://t.co/iuP1RTmR4k |
| 2021-06-13 | EleutherAI’s 6 Billion parameter Transformer and DeepMind’s Jax based GPT-J model for NLP tasks is open-source and has a far more permissive license than GPT-3 https://t.co/pr2E9SOlYX Trained on ‘The Pile’ https://t.co/ekB0yk8Wky GitHub: https://t.co/xYKd5QXXLk |
| 2021-06-13 | DeepLOB Paper (2018) https://t.co/UPxk7ssiCO Jupyter Notebook: https://t.co/a7gvuawYEa |
| 2021-06-13 | Market by Order (MBO) data for predictive modelling with deep learning algorithms. #lob #hft https://t.co/UvFMqOBPbw https://t.co/DIrdPVh3xI |
| 2021-06-12 | Dissertation on optimizing market structure to mitigate manipulation and products like synthetic combinatorial financial options and prediction and synthetic markets https://t.co/gcudSGskKO |
| 2021-06-12 | Blog post on an algorithmic trading platform https://t.co/LNhnOMeIdc |
| 2021-06-11 | Perspectives on startup valuation and how discounted cashflows factor (or not factor) in… https://t.co/b3ggSNbel7 |
| 2021-06-11 | Paper compares xgboost with deep learning and ensembles of both on Tabular Data #ml https://t.co/I2RQeif9uQ |
| 2021-06-10 | Deep reinforcement learning extending LSTM for trading non-stationary FX markets using intraday data and modeling transaction costs - paper https://t.co/r4ytrE87YU |
| 2021-06-10 | Structural model of high frequency price pressure in stocks - paper #hft #lob https://t.co/Mn8i5DQ5kj |
| 2021-06-10 | AmpliGraph’s machine learning models generate knowledge graph embeddings, vector representations of concepts in a metric space based on TensorFlow Python GitHub: https://t.co/sBdGBTxzM0 #KG #ml https://t.co/KPrsnh6CpS |
| 2021-06-09 | Containers for analytics, trading and other high value content have cybersecurity threats and tradeoffs https://t.co/z8AWAjCG7j https://t.co/TVrLf4pcjZ |
| 2021-06-09 | IdeasAI - a GPT-3-powered business idea generator with no human in the loop. https://t.co/EqQ4Tl34dO |
| 2021-06-09 | Trading_Gym is a unified environment for supervised learning and reinforcement learning on top of reinforcement learning concepts framework. Python Github: https://t.co/x6Ngl2l5ce Risk parity example: https://t.co/bCuHKtTSvK |
| 2021-06-08 | Oxford research around multi-period prediction based on limit order book model features using deep learning on special acceleration hardware - Graphcore IPUs #lob #hft Paper: https://t.co/3SnWludcmz |
| 2021-06-08 | ForecastML for multi-stage ensemble forecasting in R #rstats Github: https://t.co/hr03GM9c3n https://t.co/PwRdRT8VE7 |
| 2021-06-08 | On the exponential growth of TinyML https://t.co/0t8DlXOWaX https://t.co/W9QyJe8oNu |
| 2021-06-08 | Article on Graph Neural Networks #GNN (and over-smoothing mitigation) https://t.co/5viqZEem2r https://t.co/WGJYBzVgmf |
| 2021-06-07 | On Uniswap optimal fee - crypto market microstructure analysis https://t.co/zqgnTxcQl8 |
| 2021-06-07 | Deep Reinforcement Learning for Stocks Paper: https://t.co/8p2S9ST20x https://t.co/fhX2QL1pyb |
| 2021-06-06 | Timeserio for time-series deep learning pipelines based on Pandas dataframes Doc: https://t.co/knxeE2FU0q Python Github: https://t.co/d7H2XcYJL0 Examples: https://t.co/d7H2XcYJL0 https://t.co/xMzeq29xy1 |
| 2021-06-06 | Structural break and GMM fit tests for anomalous regime changes in stocks in R #rstats https://t.co/MQEQqRbXEu |
| 2021-06-05 | Example of GreyKite prediction implementation using FRED time series data https://t.co/ej7PezXJLf |
| 2021-06-05 | Granger causality networks in multivariate time series using deep learning Python GitHub: https://t.co/bWcSTyNO8Q (2018) Paper: https://t.co/Fv0Ynfava1 #ml |
| 2021-06-05 | Deep learning primitive code generator and compiler / DSL Language docs: https://t.co/mOCpFW8lXp Jupyter notebook examples: https://t.co/b70dzX2et6 Python GitHub: https://t.co/BSHtfyH8TS (2019) Paper: https://t.co/cLVYbfdrcW |
| 2021-06-03 | @RetirementQuant OLS is the perfect place to start the journey! Applying feature transforms on some of the independent variables sometimes improves fit and is a good segue way to automated feature engineering, activation functions and non-linear machine learning approaches. |
| 2021-06-03 | Differentially private #DP synthetic data generation with Unform, Bayesian and other methods Python GitHub: https://t.co/gfnRk9qbYF #syntheticdata https://t.co/mHs4WcJNOL |
| 2021-06-03 | Automated Feature Engineering (creates many non-linear transformations) for classification and regression Paper: https://t.co/JdE9J3bMUC Python Github: https://t.co/tsYWPGV6si Jupyter / Python Example: https://t.co/aVwyohlyP9 #automl https://t.co/IOXjWd1dp2 |
| 2021-05-31 | TSE Stock Index Futures - new Co-location Dataset used to model Realized Volatility #HAR https://t.co/UvRrrEwOAg https://t.co/YzLWRPZSIh |
| 2021-05-31 | Reinforcement learning and continuous buying/selling applied to algorithmic trading of stock shares in China - paper https://t.co/wjAGKAA1Go https://t.co/McfBAeYPMO |
| 2021-05-30 | Frameworks over forecasts and flow and other cross-asset strategy idioms https://t.co/5TZgRqosya |
| 2021-05-30 | Using SABR analytical formulas to avoid replication in computing convexity adjustments in fixed income derivatives - (2020) paper https://t.co/rHcaUESqLO https://t.co/dpQQ4zc2F9 |
| 2021-05-29 | An event-driven trading strategy based on corporate event detection from news articles. In particular, a bi-level event detection model that utilizes global and local information to identifies corporate events is the focus in this paper. https://t.co/pDtVsixU5O https://t.co/JNlCWPJsxw |
| 2021-05-28 | Differential Machine Learning for computing financial derivatives faster - using TensorFlow Paper: https://t.co/Z4aOTM8ptO GitHub Jupyter Notebooks: https://t.co/UmAvKwH9y5 https://t.co/fbjRq3Y0Ra |
| 2021-05-28 | NocoDB - a new open-source AirTable spreadsheet workalike for data bases https://t.co/XX5QC6kzBT https://t.co/6hv42PQO8V |
| 2021-05-28 | MindsDB - explainable, low-code #AutoML based on PyTorch https://t.co/WOd35kp8uP #Python https://t.co/E3jDm1oqye |
| 2021-05-28 | @micahjay1 Perspectives on Tech Product Manager DNA - excellent thread by @micahjay1 |
| 2021-05-27 | Re: TensorFlow Decision Forests #ml https://t.co/slwAZ3Mdfi |
| 2021-05-27 | On Factor Momentum: https://t.co/BGVTnN5lmY |
| 2021-05-27 | Knowledge Graphs #KG Python Github for kglab: https://t.co/2zlK2YhCzf Examples: https://t.co/8kCLqFbnc0 |
| 2021-05-27 | Provocative BIS Report ‘The Digitilization of Money’ Unbundling and Rebundling of Payments https://t.co/H9yXJlW3Xr #DeFi #Banking #FinTech https://t.co/W3wKnpgazS |
| 2021-05-27 | Quantum Computing Algorithm developed by IBM and Barclays applied to Trade Settlement Optimization #QUBO https://t.co/tiR1WLrUJj https://t.co/xZEfzEiUEs |
| 2021-05-27 | #Affective emotion monitoring and data science based research by Microsoft has profound #privacy and virtual #TEAMS meeting efficacy implications https://t.co/yAgHZcQriZ https://t.co/piFML4gLU2 |
| 2021-05-27 | @mbostock opines on the ascending power of Javascript for analytics and visualizations - including open-source Arrow, Arquero, tidy.js, Observable Plot and Vega-Lite #dataviz https://t.co/hFVrtxjrNL |
| 2021-05-27 | Tsmoothie - A python library for time-series smoothing and outlier detection https://t.co/IGo2rDbRvr https://t.co/uBBifmnQim |
| 2021-05-27 | tsai is an open-source deep learning for time-series package built on top of Pytorch & Fastai with prediction dynamics visualization https://t.co/J3JOKLJFP8 #Python https://t.co/ov2Vj4GPNV |
| 2021-05-25 | Paper on Tick Rule Trade Classification applied to Bitcoin https://t.co/uM7RwTc0RH https://t.co/VePo43nMvG |
| 2021-05-24 | Time series trend analysis in Python with PyTrendSeries https://t.co/GoE766fY5b |
| 2021-05-23 | Re: ‘Instability Coins’ #crypto #tether https://t.co/S1HVXTH3GT |
| 2021-05-23 | Mdpi paper on predicting NBA game outcomes https://t.co/t0q23mTnB6 https://t.co/iisJ3AEY3j |
| 2021-05-22 | Simple pairs trading algorithm article with embedded python code: https://t.co/7eiRS2wdn1 |
| 2021-05-22 | Similarity measures in machine learning - 17 types https://t.co/nFn55xzbfV |
| 2021-05-22 | Saturday’s are for synthetic data Time-series synthetic data article https://t.co/0xtqLmI3Qh Google Colab Notebook (alas, requires Gretl Cloud key) https://t.co/5BULlqZc2g Or GitHub Python Gist https://t.co/pyurkIPqzF |
| 2021-05-22 | Article discusses Google research effort to convert knowledge grahs #KG using natural language generation of data into text #NLP #NLG Blog post: https://t.co/twjRvSMHMQ Paper: https://t.co/SfuGgp4JtV Data: https://t.co/cvRy9Fx0e7 |
| 2021-05-22 | A variational autoencoder (VAE) is a deep neural system that can be used to generate synthetic data. This article provides a foundation for understanding VAEs with example code: #syntheticdata https://t.co/tREOUPgk9T |
| 2021-05-22 | “…when data is scarce, synthetic data can be used to replace the held out validation set, thus allowing to train on a larger dataset." https://t.co/phF7P83IYp #syntheticdata |
| 2021-05-22 | Synthetic Data use cases https://t.co/qRD7sJ4hLp |
| 2021-05-22 | Orbit = Object-ORiented BayesIan Time Series Blog post: https://t.co/kXImIMQwGd Python Github: https://t.co/EAbOkwFoKt https://t.co/xVNSyEqG51 |
| 2021-05-22 | “Market participants and policymakers currently underestimate potential liquidity risks, generated by MTFs… the introduction of MTFs is associated with stronger network-wide liquidity co-movements, thus facilitating propagation of liquidity shocks†https://t.co/rKW2RcIw8X |
| 2021-05-22 | Jupyter Python Notebook Code for a Bachelier implied volatility grid for a given strike and expiry of the option for Bermudan Swaptions https://t.co/vfHMRFg48n 2019 related paper: consistent neural network based calibration for volatility models https://t.co/fPWZDFfDt0 https://t.co/MHLaE8TBv3 |
| 2021-05-19 | ARCH time-series modeling #volatility Python GitHub: https://t.co/58I2FYFhBn Jupyter Python Notebook: https://t.co/nCwguHYyMP https://t.co/DnmKSsHq9u |
| 2021-05-19 | FCA Paper on Cash Equities Liquidity post COVID-19 on LSE #TCA https://t.co/PxajNfNGPp https://t.co/nXfCOW1iAj |
| 2021-05-19 | (Missing) Link to Paper: https://t.co/dbJltsCkVx |
| 2021-05-19 | Paper: Exponential Kernels with Latency in Hawkes Processes: Applications in Finance by @MarcosCarreira Python Github: https://t.co/M615VCHRnK #lob #hft https://t.co/sOnlpPl2H5 |
| 2021-05-19 | Basics of Institutional Trading of Crypto https://t.co/4vVBpFWYjm |
| 2021-05-19 | OpenFinance perspectives https://t.co/pTkGGVlRpa https://t.co/o6SKEYb9CQ |
| 2021-05-18 | Economic policy uncertainty #EPU and impact on cryptocurrency market - paper https://t.co/9dVjqRjBSa https://t.co/glNrU3nuau |
| 2021-05-18 | Paper models cryptocurrency herding differences during bull and bear market regimes https://t.co/9dVjqRjBSa https://t.co/xPv3YpLp1C |
| 2021-05-18 | Paper models stealthiness of institutional micro-order placement / trading in FX markets https://t.co/c1bdPpEZsd https://t.co/LzYBYRylzQ |
| 2021-05-18 | Agent based discrete event simulation ABIDES for synthetic generation of limit order books vs algorithmic trading paper - reinforcement #ml, double deep Q, https://t.co/Rkfm8elq1O https://t.co/tFAW30jWAT |
| 2021-05-18 | Survey of machine learning developments in algorithmic trading with links to relevant papers - GANs, Multi-Agent, Deep Hedging… https://t.co/wdh1oczQWW |
| 2021-05-16 | FT on Tether, Stablecoin valuation risk https://t.co/G682edYSRq |
| 2021-05-15 | Neuro-symbolic framework for distilling interpretable theories out of streams of raw, unprocessed sensory experience. ‘Raw Data’ https://t.co/dDpfR0vYaf |
| 2021-05-14 | LinkedIn open sources GreyKite - interpretable components; produces robust results; has automatic changepoint detection for trend and seasonality time-series Engineering Post: https://t.co/KKxWHsi9Dd Python Github: https://t.co/EWSoddyIdG Paper: https://t.co/3qSwXAqnxT https://t.co/M5RjImNlPI |
| 2021-05-12 | Low-code, no parametrization brute-force regression and classification #ml modeling https://t.co/G1dnLZ2lWL https://t.co/PZafXQWYBs |
| 2021-05-12 | Neural Rough CDEs for time-series https://t.co/ZWtoZVCyAI https://t.co/Omb3FFAwiu |
| 2021-05-12 | Bid/Ask Spread dynamics of M&A stocks https://t.co/P5pLhFF4tq https://t.co/VfHZWrbo9s |
| 2021-05-11 | The Challenge in Quantifying NBA Defense… https://t.co/ieiDRSastC |
| 2021-05-10 | Bitcoin mining visualization https://t.co/ETyGkqAAnz #dataviz |
| 2021-05-10 | Equity based Market Depth - #EMD stock #flow volume indicator - paper https://t.co/WhqvONxJ9Y https://t.co/PGhsbegU4n |
| 2021-05-08 | AI applied to #Covid19 prediction and mitigation Paper: https://t.co/vebS1fakmB Clairvoyance #AutoMl for Medical Time-Series prediction https://t.co/OQnuF61kJI #Python #ML https://t.co/HpCbKKJfth |
| 2021-05-08 | Time-series #prediction based on PyTorch with DeepAR, (Multi) Attention, Transformers and GRU support and model interoperability. Also includes cloud provider integration + model serving capabilities. https://t.co/Qn8VPMwZHx Flows: https://t.co/7mYrTUnopS #Python #ml https://t.co/SHgPk2pdqM |
| 2021-05-08 | Goldman’s Crypto Desk goes live https://t.co/vPMvcUO3lq |
| 2021-05-08 | Insight on Data / Analytics Stacks https://t.co/msbgrSgFNT |
| 2021-05-08 | Python EDA for #DeFi Graph Liquidity Protocol for Aave and Compound user segments https://t.co/KU2apEeqPT |
| 2021-05-08 | #AI / Code Generation using Transformers https://t.co/Om1HtjXYg9 More on Transformers https://t.co/Pvt4mtKimw |
| 2021-05-02 | Dissertation on Liquidity in Financial Markets - Corporate Bonds, Stocks https://t.co/UbYVVXj14J https://t.co/jQnzIERbLy |
| 2021-05-02 | Blog post describes modelling invariance so as to suppress unimportant or distracting features and improve overall machine-learning performance. https://t.co/tB6W2KceVy https://t.co/h2emOVmLwW |
| 2021-05-02 | Ensemble Factor Model Explained https://t.co/uTp1geraIm |
| 2021-05-02 | Sunday’s are for Synthetic Data: Value propositions for synthetic data explored in this blog post https://t.co/qRD7sJ4hLp https://t.co/cXdVuonqFN |
| 2021-05-02 | The NewYorker on Kafka, GPT-3 and the ascent of synthetic literature and style generation https://t.co/vI9Jma4vi1 |
| 2021-05-02 | Synthetic Tabular and Time-Series Data Generator using TensorFlow Synthetic Stock Generator - Jupyter Notebook: https://t.co/CWoP0eOdqt YDataAi Python Github: https://t.co/OvFfzFLGUw YDataAi: https://t.co/BeCfKLF9cO https://t.co/TUVfXELf6w |
| 2021-05-01 | Gradient Methods - visual deep dive Momentum, AdaGrad, RMSProp, Adam… https://t.co/jmSMzhpwwI |
| 2021-05-01 | Google is rethinking fixed offices using inflatable walls and reconfigurable seating https://t.co/6Fmh3Sjke1 |
| 2021-05-01 | Ruptures for change-point detection in time series using Python https://t.co/vmpdrcEq0z Paper: https://t.co/7wArJbeUMO https://t.co/4Up8eLphmO |
| 2021-05-01 | Change-point detection in high dimensional time-series Paper: https://t.co/dI3Gq7vHp4 #Rstats R code: https://t.co/3794DkHzIF |
| 2021-05-01 | TsBNgen is a Python package to generate time series data based on an arbitrary Bayesian Network Structures. Short Paper: https://t.co/eKgMKZ755d GitHub with Python Source: https://t.co/Z8b8hbajsN Documentation: https://t.co/d2ctYAMEb6 |
| 2021-04-29 | Goldman believes Quantum is five years away from mainstream finance use-cases including 1,000 fold improvement in MontCarlos FT Article / QC Ware mention: https://t.co/3I0vudtuaq Linked research paper: https://t.co/wFk8bvSEv6 |
| 2021-04-28 | Forbes list of promising #AI Startups to watch https://t.co/5qzRHBTyqj |
| 2021-04-27 | Paper models spillover, inpulse-response and crash risk between US and China stock markets (using TVP-VAR) https://t.co/qjW5b1N3a9 |
| 2021-04-27 | New post-pandemic future-of-work report by @McKinsey https://t.co/oddl5ioXHq https://t.co/Cr33Dmjj19 |
| 2021-04-27 | Standard Initial Margin Model (SIMM) Acadiasoft open source implementation in Java: https://t.co/4Zxnp1Wtd2 ISDA Spec: https://t.co/ZkJreCaTfA |
| 2021-04-27 | Categorical correlation, correlation ratio, Theil U and other data associations Article: https://t.co/bI4sN0I3g7 Data -python = Dython library: https://t.co/8EZMwxIZ9G Python GitHub: https://t.co/7UrzDk1Nmw https://t.co/mJeYa41f57 |
| 2021-04-26 | ESG Premium Stock - analysis in FT https://t.co/h0j1OuHIDN |
| 2021-04-26 | CEO of Paypal opines on contextual commerce, super-apps, crypto and Defi https://t.co/0uUWamlTTV |
| 2021-04-26 | @JaySinh68681549 ‘assumption that the noise in the time series is uncorrelated and Gaussian in nature, with zero mean and unit variance.’ |
| 2021-04-26 | Encode a time-series as an SDE (stochastic dynamical equation) Python GitHub: https://t.co/LTHjgGhJkI https://t.co/FmiBuq0ZD6 |
| 2021-04-26 | Multifractal Detrended Fluctuation Analysis MFDFA is a model-independent method to uncover the self-similarity of a stochastic process or auto-regressive behavior in time-series MF-DFA Stock-Index Model Paper https://t.co/hBg2Fc5d7M Python GitHub: https://t.co/u48J878Qh0 https://t.co/5GbbrL2wuq |
| 2021-04-26 | K-Means Clustering of Stocks based on financial ratios Paper (2020) https://t.co/XnyLCAnBhe Python GitHub: https://t.co/6HiQVYgyd0 |
| 2021-04-25 | Efficient, no Adaptive, no Fractal no… Complex Markets Hypothesis https://t.co/G3wmNYly5J |
| 2021-04-25 | Anomaly detection in Bitcoin price time-series using RNN regressor + RNN Autoencoder on Kaggle minute bar-data (2012-2020) (poor results, but method may offer more promise on other data sets). https://t.co/UkIqrVqg19 |
| 2021-04-25 | TimeSeries-GAN or TSGAN, generates realistic synthetic time series data from a sampled noise data using 1-D convolutional neural networks (CNNs) were used in the generator and discriminator Python / Keras Github https://t.co/Y5RM5vE5FU |
| 2021-04-25 | Autoencoding in Python code to identify anomalies in images https://t.co/Yj6LhWYIhf https://t.co/XhSqoh4QF6 |
| 2021-04-24 | Thodex - $2Bn Turkish Crypto Exchange Heist-and-Run https://t.co/3ioAu760kb |
| 2021-04-24 | Factor expressions (S-expressions) for high performance quantitative trading applications (written in Rust) with Python library interface https://t.co/JE7Bdu61qO More on S-expressions https://t.co/adLDGF2HID |
| 2021-04-23 | ETF Liquidity Commonality related risks in emerging Asian markets - paper https://t.co/YCRI7iYhAe https://t.co/Djl95RuqCw |
| 2021-04-23 | Block chain considers a public listing https://t.co/KzavaiBkEp While planning to expand to list stocks on its DeFi platform https://t.co/zfyN4MVA1N |
| 2021-04-23 | FT on the dark-side of crypto mining https://t.co/vqJ9Js1FM3 |
| 2021-04-23 | Distributed DAG computation framework for Python that abstracts Pandas, Spark and Dask. https://t.co/nYOrUd3a7Q |
| 2021-04-22 | FT on Quant Spring?! https://t.co/HrQnDGoCws https://t.co/PW8wJqrVvZ |
| 2021-04-22 | Basics of Gaussian Mixture Models and #NFL Player Tiering https://t.co/YmXwd3SjRF |
| 2021-04-22 | Kalman Filter (KF) applied here in this paper to optimally estimate dynamic beta where measurement noise covariance and state noise covariance are assumed to be known in a state-space framework. https://t.co/EAh7hIx7F6 |
| 2021-04-22 | Simple, but dynamic #ml digital asset trading model discussed in this paper https://t.co/Qf9dKhsZQr #Crypto #BTC #ETH #features https://t.co/f2nLEABDSD |
| 2021-04-22 | Information shocks and stock trading volume - paper https://t.co/befrXfzM8G https://t.co/fTJOCGYF5n |
| 2021-04-22 | Hedge fund performance and linkage to family ties - paper #tigercubs https://t.co/PLmb2WetX0 https://t.co/Nuhv7zJXG4 |
| 2021-04-22 | Crypto / digital asset service providers profiled globally in this BIS report https://t.co/IMFAPhvqyw https://t.co/rttHYHvgGN |
| 2021-04-22 | Market intraday momentum linkage to gamma hedging demand across markets - empirical paper https://t.co/bCNQWHqZjC https://t.co/YHhtVLMSdp |
| 2021-04-22 | Global stock index performance linkage to national COVID policy responses… https://t.co/12vKK7Owd8 https://t.co/ZZNEBTUzjX |
| 2021-04-22 | Machine learning models can de dockerized… https://t.co/61v3kfc9Sm |
| 2021-04-22 | mbrl-lib is Facebook’s contribution to Python open-source for Model-Based Reinforcement Learning algorithms https://t.co/dVSMR0hb7E #ml https://t.co/yKEXJghLft |
| 2021-04-20 | Data_describe is an open source Python based EDA tool https://t.co/eGxZYewjg5 Tutorial: https://t.co/A5A5aaJwfB https://t.co/IIGmHVkd0b |
| 2021-04-20 | Blockchain interactive #dataviz https://t.co/tqXR7VCj8t https://t.co/2xSo8LNC3R |
| 2021-04-20 | Crypto correlations, covariances and portfolio considerations - paper https://t.co/ydzubhzvGT https://t.co/P2etM6Mriq |
| 2021-04-20 | Identity Inference using blockchain / graph-based neural nets https://t.co/hQAluukwxM https://t.co/kOdYw0tpe5 |
| 2021-04-20 | Rolling ETF liquidity spillovers - paper https://t.co/hQAluukwxM https://t.co/cTLIFOIIIK |
| 2021-04-20 | BIS report on Bond ETF Arbitrage - redemption and creation basket differences https://t.co/SNPTKMMN8F https://t.co/qLav3272b8 |
| 2021-04-15 | Bitcoin Dashboard in R #rstats https://t.co/5MYRBPQ4oC https://t.co/T1PqZmk6cV |
| 2021-04-15 | Factor rotation value / momentum by @RobinWigg in FT https://t.co/M47VT81P7I |
| 2021-04-15 | R-Charts https://t.co/2aOFcMkbpR eg correlation charts https://t.co/3QFux6W8z2 #rstats |
| 2021-04-15 | Semi-covariance for Gold and Stocks paper / excel example discussed https://t.co/oZDaxo35X6 https://t.co/J2foNNrfKI |
| 2021-04-14 | Not conventional wisdom: “Put simply, blockchain analysis is a highly effective crime fighting and intelligence gathering tool…†https://t.co/Py1sS67zV0 |
| 2021-04-14 | Mljar is yet another automl library in Python optimized for tabular data, feature engineering, with explain and compete modes Article: https://t.co/4GEnJA5plO GitHub: https://t.co/IkZodNpHWP https://t.co/Sg9cuuSVh3 |
| 2021-04-14 | Hybrid visual and functional meta-language and WebGL IDE with polyglot interoperability with R and Python (albeit 3.4) coded in Java and Scala #Enso #Rstats https://t.co/df2nUW5dT9 https://t.co/ch1CfK0VSZ |
| 2021-04-13 | Flow forecast is an open-source deep learning for time series prediction. Includes DeepAR, transformers, attention models, and GRU support. Python GitHub: https://t.co/7mYrTUnopS |
| 2021-04-13 | “In the absence of a hegemonic answer to the question of what money is to us, strangeness reigns. Even as money has been injected with new political vitality, its actual life has become more baroque.†#NFT #Spac #Crypto and Degenerative Finance? https://t.co/pXcb3rLQg9 https://t.co/P6pkahJYbV |
| 2021-04-13 | WATTNet: Analysis of trading FX with Hierarchical Spatio-Temporal Representations of Highly Multivariate Time Series, a new temporal convolution model applied to NDF markets Article: https://t.co/GvbnKFyaKq Python source: https://t.co/tof9xGC7ul Paper: https://t.co/WkIKthsqgB https://t.co/TVzsKj6G4l |
| 2021-04-13 | Analyst features in stock price prediction paper https://t.co/LAMNtSA6iH https://t.co/0RvZvalWCG |
| 2021-04-12 | Bayesian Linear Regression https://t.co/3WmZNxyYeq https://t.co/tCjfQcxVkh |
| 2021-04-12 | Orbit - a Bayesian Exponential Smoothing for time-series prediction Paper: https://t.co/aSMJV9kV5j Python GitHub: https://t.co/EAbOkwFoKt https://t.co/SQhdZeKlDu |
| 2021-04-12 | Global time-series (vs isolated prediction) model also implemented here in R with a menagerie of tsfeatures #rstats https://t.co/vF6zfz0oEd https://t.co/QYC4We0lvL |
| 2021-04-12 | Clustered Ensemble Global Forecasting Models (GFM), can traditional univariate forecasting models that work on isolated time-series Paper: https://t.co/lLTLTYDUdB Python GitHub: https://t.co/chPcFUAnbY https://t.co/gb7gayzyha |
| 2021-04-11 | Symbolic streaming time-series anomaly detection - paper #SAX https://t.co/CpztPy3YtB https://t.co/fdJmwbAO2a |
| 2021-04-11 | Machine Learning in Algorithmic Trading - paper https://t.co/FEyYXfiTYJ https://t.co/x04gikz0n9 |
| 2021-04-11 | Quantifying forex randomness #fx Paper: https://t.co/P9SknU1Hgm |
| 2021-04-11 | DeepSNAP, a Python library to assist efficient deep learning on graphs, supports graph manipulation and pipelines https://t.co/33fCKKXwFf |
| 2021-04-11 | Cubic splines applied to Cryptocurrencies https://t.co/dP7VkTh9ri https://t.co/BvB4l7hBNC |
| 2021-04-10 | Jump contributions for stocks in Shanghai - paper https://t.co/CdKZN3G8ez https://t.co/IETWJpVv9y |
| 2021-04-10 | Updated High Frequency Trading paper with stats on price shocks, order imbalance and pnl effects using (albeit, quite old) Nasadq OMX #hft dataset. https://t.co/GBgwbtqZwo https://t.co/HIdJr5Yi8w |
| 2021-04-10 | So many movies, so many thoughts, so many concerns, so many opportunities… https://t.co/QZII5rVQ3H |
| 2021-04-10 | Short primer on language models, transformers and #NLP https://t.co/3CegXlybGY |
| 2021-04-10 | Cryptocurrency web-scraping implied sector classifications https://t.co/yUm4J1QDL9 https://t.co/oEYHdpIIqj |
| 2021-04-09 | Realized jump betas for Japanese Stocks - paper https://t.co/YeVKvJJARL https://t.co/ejXDonlQBm |
| 2021-04-09 | “Delphi Digital, a digital asset research firm, calculates a Coinbase valuation between https://t.co/sQ6wvfTQQ2 |
| 2021-04-08 | Sometimes technological innovations and open-architectures inspire changes in old workflows. Here are some thoughts on Jupyter, open-source and at-trade and pre-trade TCA. https://t.co/WOVGlgSHxF |
| 2021-04-08 | NBA Shot Quality Model in Python, Jupyter Notebook https://t.co/SW6u3L2auN https://t.co/O1woQBbvf7 |
| 2021-04-07 | We are expanding our team of Pythonistas who Product Manage Trading Analytics, in Gdynia, Poland. https://t.co/2RyVrpfYIn |
| 2021-04-06 | Tokyo Stocks - Realized jump beta is defined as the realization of covariation between market jump return and the contemporaneous asset return divided by market jump returns. https://t.co/EbcvmBNhuH https://t.co/RPDYg022nx |
| 2021-04-05 | Intraday stock market betas stylized facts - rise in beta dispersion around open and decline in beta dispersion in FOMC days Recalcitrant Beta Paper: https://t.co/Woqgta1yY5 https://t.co/VnZXXW514T |
| 2021-04-05 | Stochastic and deterministic chaotic properties in the S&P500 https://t.co/F1uMqsRTj4 #wavelet #chaos paper https://t.co/tThtZxtwrq |
| 2021-04-05 | Data brokers and their inorganic strategies https://t.co/YwprwCUKfS |
| 2021-04-04 | If data is a store of value, then data vaults are needed… https://t.co/E6eyqXncjk |
| 2021-04-04 | Multi-Graph Tensor Network #MGTN Tensors, Graphs and Neural Nets applied to irregular and multi-modal data sets that often appear in finance #TenorFlow Paper: https://t.co/PzMcDcT69s Python code: https://t.co/Wym5hrELMN https://t.co/3JtXOa86IF |
| 2021-04-02 | Bayesian stochastic local volatility modeling applied to intraday TOPIX stock returns https://t.co/KwcxMSJ7Q1 https://t.co/ZnyM7jVZT6 |
| 2021-04-02 | ZeroHedge retrospective on #Archegos collapse #Hwang https://t.co/8NYBbik83H |
| 2021-04-01 | E-greedy ebbs and flows of product development https://t.co/Jn67C7Td7S https://t.co/vpVuBF58yN |
| 2021-04-01 | Paper on coherence between temperature, stock market returns, currency exchange rates and COVID-19, using Wavelet analytics https://t.co/xCMRoPj3ro https://t.co/PRXk97ETdh |
| 2021-04-01 | Sequential anomalies in univariate time series - #anomaly paper https://t.co/kUzD6U9QDr |
| 2021-04-01 | ‘Approaching (Almost) Any Machine Learning Problem’ in Python by Abhishek Thakur #ebook pdf: https://t.co/ZoiQh5Fb7l Datasets: https://t.co/4dQizg4p5A https://t.co/58yvkFIr1S |
| 2021-03-31 | Hmmm. A tale of regulatory arbitrage, massive leverage and Tiger cubs that don’t change their spots. https://t.co/zIkowezYE6 |
| 2021-03-31 | Data Cascades and their damaging effects on #AI projects - paper https://t.co/3bXrwfuWjK |
| 2021-03-30 | No real Fintech sub-sector surprises for US Banking investments… https://t.co/obowQBlDGK https://t.co/AQFe3IksrZ |
| 2021-03-30 | A working link for #lob #oib paper referenced in the prior tweet https://t.co/Lhx0p6t68v |
| 2021-03-30 | @de_kovalevskiy Found a new replacement link https://t.co/Lhx0p6t68v |
| 2021-03-30 | Orderbook Imbalance reversals and trade matching - #lob paper https://t.co/jGONVRzZJu https://t.co/w1e66GwDDL |
| 2021-03-30 | Intraday, international fixed income spillover liquidity effects - bonds liquidity paper https://t.co/jGONVRzZJu https://t.co/8ev80tXm5D |
| 2021-03-29 | And a Causal Reasoning exemplar https://t.co/UKHuBucBv3 https://t.co/OS3cgpuCn7 |
| 2021-03-29 | Judaea Pearl on Causal Reasoning: https://t.co/PLlx1UmVQt Podcast - Causal Reasoning, Counterfactuals, Bayesian Networks, and the Path to AGI: https://t.co/Up2h25WR4Z On a more practical note, Microsoft’s dowhy Python library for causal inference https://t.co/AlRI5GEf3W https://t.co/WRJxmVzGLb |
| 2021-03-29 | @RobinWigg opines on Archegos Capital in FT https://t.co/6xebMBLDg4 https://t.co/nNlXCgzhSZ |
| 2021-03-29 | An inherently lazy, low-code way to classify and predict. CLI and Streamlit App: (https://t.co/BKgFAZPPGf) https://t.co/G1dnLZ2lWL |
| 2021-03-29 | Informal univalidated analysis of Bill Hwang’s block liquidation cascade yesterday… https://t.co/Z8WSvMH9Pc |
| 2021-03-29 | Distilling simple stock patterns Article: https://t.co/NPtv4CqgUh Python code: https://t.co/mAn5OBS47l https://t.co/RnRrDXsIeI |
| 2021-03-29 | @chanep That sounds like a great new list. |
| 2021-03-29 | COVID-19 impact on Cryptocurrency returns - econometric analysis and paper: https://t.co/hcYkmrncVD https://t.co/W4n8KUjKuk |
| 2021-03-29 | Top #AI Influencers https://t.co/XLJQTPV2AH |
| 2021-03-29 | Morgan Stanley Wealth report on Cryptocurrency / Bitcoin https://t.co/NFBXeX4XuV https://t.co/rW512ONePb |
| 2021-03-29 | ‘Blending Art and Science: Bitcoin Valuations’ report by BofNYMellon #Crypto https://t.co/CiufaIdYuI https://t.co/j43Ikv00wj |
| 2021-03-27 | NFT Ecosystem https://t.co/DFCzjfr6z9 |
| 2021-03-27 | ‘The Promises and Pitfalls of Machine Learning for Predicting Stock Returns’ - paper https://t.co/L9zukUjuJP https://t.co/SsFiyCrvUW |
| 2021-03-27 | PecanPy provides cache-optimized compact graph data structures and precomputing/parallelization to result in fast, high-quality node embedding (in Python) https://t.co/PgYmMJ4tY4 |
| 2021-03-27 | Linearmodels - are regression models for Python that extends statsmodels with Panel regression, instrumental variable estimators, system estimators and other models for estimating asset prices: https://t.co/GMilTdwyzO https://t.co/P7Bm4SfJWj |
| 2021-03-27 | BOCD - Bayesian Online Changepoint Detection in time-series Article (simplest case: Gaussian data with fixed variance and changing mean) https://t.co/nG0K40qBRC Python Source: https://t.co/XRKwWzylJ9 |
| 2021-03-27 | Dynamic connectedness of stocks💩 VAR (TVP-VAR) Paper https://t.co/ujR8hpnZTo |
| 2021-03-27 | Classifying volume-based trading patterns using Catboost https://t.co/SdoKK00JvS #ml paper https://t.co/bw9VMEnXem |
| 2021-03-26 | Covid-19’s has changed structure of the stock market globally since the spread of the virus to reduce connectedness across markets globally. Paper: https://t.co/zznTgAtN5l https://t.co/K6YNc4Hb6D |
| 2021-03-26 | Covid19 and Beta Instability… Jupyter notebook with Python code: https://t.co/bOg2lKk63w Paper on Covid19 on stock return and volatility predictability https://t.co/I1PlxcJ7Mn Global stock markets have mean-reverted with some altered behavior https://t.co/Jg7EcS77az |
| 2021-03-26 | When only a metaheuristic Optimizer will do… Python GitHub: https://t.co/1pEN84wnwe https://t.co/iSrp3v5lF5 |
| 2021-03-26 | Differential Machine Learning for Financial Derivatives Paper: https://t.co/oRWxrL1thG Colab Jupyter Notebook: https://t.co/Xw29bfbvVC |
| 2021-03-26 | Simple Colabs Jupyter notebook using TensorFlow and Monte Carlos on options https://t.co/O4JccMs0T5 |
| 2021-03-26 | Jupyter notebook to detect anomalies in time series using autoencoders. https://t.co/j4QuRGs84d |
| 2021-03-25 | alkymi âš—ï¸ - Alkymi is a pure Python library for describing and executing tasks and pipelines with built-in caching and conditional evaluation https://t.co/1cpjwRZAOQ https://t.co/jKqdz7vfzr |
| 2021-03-25 | Arc - open source data transformation pipelines for Jupyter https://t.co/70pnDhSoeP GitHub: https://t.co/Bzdr1anTbP |
| 2021-03-23 | Automated market making #AMM in #DeFi markets - paper https://t.co/aLRRiPELoV |
| 2021-03-23 | Data Science in Julia for Hackers #ebook https://t.co/6nOB4HONQY https://t.co/MgBbF4K6fI |
| 2021-03-21 | Particle Swarm Optimization and metaheuristics in financial applications paper https://t.co/aSF8fWtduc (Un)Related Python #PSO implementations Sci-kit-Opt: https://t.co/YH3U3dmXLu Pyswarms: https://t.co/nCoI2Wj0fG SwarmOps: https://t.co/hG4omPfvGS |
| 2021-03-21 | Deep learning with SMA technical analysis explored in this article https://t.co/Ew7ShZK2BW |
| 2021-03-21 | 🔥 ‘Open Source Cross-Sectional Asset Pricing’ Nearly 100% of the literature’s predictability results can be reproduced: Paper: https://t.co/6dJWA35rrr https://t.co/OwXnW2Z7gj R #rstats Code: https://t.co/5RPV34yFmg Signal Inventory, Excel: https://t.co/nwdjSdwGP2 https://t.co/jFn00FZeWH |
| 2021-03-20 | Alt-Ed, EdX for #ml, and analytics are trending upwards as traditional university enrollments are declining during the pandemic. https://t.co/CfoM6xt2ki Google professional certificates for data analytics (along with a range of other certificates) https://t.co/EBuRvSf5nP |
| 2021-03-20 | Hampel filters for outlier detection in time-series https://t.co/7BQZNoLKhg Seperate but related pyHampel Python library https://t.co/3Qme1IOPkR |
| 2021-03-20 | New ‘Spatial Modeling for Data Scientists’ #ebook #flow #econometrics https://t.co/rrvVvdm7m3 Pdf: https://t.co/TS79EP66jX https://t.co/4xVOJLqShC |
| 2021-03-20 | Adaptive smoothing splines using mgcv in R #rstats using Generalized Additive Models https://t.co/Wdaj2sRk4y And in Python with a Bayesian Twist Gammy: https://t.co/i7Eh2QmRO5 And embedding GAM with a neural twist in NNs: https://t.co/LWIDYPvZDw + https://t.co/PoLi3pgfEn |
| 2021-03-19 | HedgeWeek perspectives on Digital Assets https://t.co/sCXCDhNBdQ #Crypto #Bitcoin https://t.co/0Lj1pNXPOs |
| 2021-03-19 | Darrell Duffie co-authored paper on Market Fragmentation - isolating market impact is one noted benefit https://t.co/YzLjrIYNVG https://t.co/ygU3w3U9zJ |
| 2021-03-19 | ESMA Report on market structure trends and risks in Europe https://t.co/7suA31vF4y https://t.co/XSKp7ucCZa |
| 2021-03-18 | PECUZAL automatic embedding of univariate and multivariate time series / state-space https://t.co/A9YSHdXh5B Python GitHub (albeit, performance optimization needed) https://t.co/XyzAjrv72d |
| 2021-03-17 | A crash course in Reinforcement Learning using TensorFlow Paper: https://t.co/EuOhLyCIAg Jupyter Notebooks on GitHub: https://t.co/KrhVtqJTuh https://t.co/yg0TPMbFFn |
| 2021-03-16 | Swap curve fitting using TensorFlow Quant Finance (TFF) https://t.co/Mja3NcY5FC https://t.co/LTYPUEeEDO |
| 2021-03-16 | Liquidity spillover effects of trades executed in European sovereign bond markets https://t.co/4jGSllrHL2 https://t.co/QxH0WVFdF8 |
| 2021-03-15 | To replicate or not, that is the question https://t.co/H0ZNUCRdC5 AQR authored paper on thematic / hierarchical factor replication - large global data set used https://t.co/ygodEnCt9g |
| 2021-03-15 | Simple synthetic time series generation - AR, sinusoidal… Python source: https://t.co/kzT34szPYa Article: https://t.co/pB5RVRgcLZ https://t.co/QUSGy77sye |
| 2021-03-13 | Tokenization is good, to #NFT yourself seems wrong on several levels https://t.co/0Q7IakcUmg |
| 2021-03-13 | Regression tree ensemble model applied to volatility prediction - paper https://t.co/KvbO4Irkns https://t.co/f4YUEnnJhm |
| 2021-03-13 | Empirical working paper discusses using transformed options data and adaptive group Lasso to predict stock returns https://t.co/KvbO4Irkns https://t.co/dwKleODyqu |
| 2021-03-13 | Time-Series prediction - a new canonical wrapper for fbprophet, pmdarima, tsa, flux and dlm libraries https://t.co/Tplpj5q7lC https://t.co/R3cL3IeI2X |
| 2021-03-12 | WIRED on @lowercarbon and other catalyzers reshaping Silicon Valley dynamically with climate change https://t.co/zxEBaOXC49 |
| 2021-03-12 | Notes on #ML (for job interviews) https://t.co/4sjfgFgX3P https://t.co/XmCgKGfCuT |
| 2021-03-12 | Good deep dive on $FB microcosm: challenges to understand and mitigate impact of AI, bias, mis-and dis-information (and an internal project to understand societal impact). https://t.co/P4jtxMWXiP |
| 2021-03-12 | Illiquid asset valuation using synthetic dividend strips with private equity examples but with roader applicability (eg VC). R #rstats code & synthetic data: https://t.co/hiHIBsBCVQ Blog post: https://t.co/PWRAFgHREY Paper co-authored by @arpitrage https://t.co/sAXgG4wu1r https://t.co/6WTzwIWAQa |
| 2021-03-12 | Stock draw-downs and draw-ups analyzed https://t.co/MszUUSFrGJ https://t.co/BVsf7C3XdG |
| 2021-03-11 | Naas (Notebooks As Automated Services) - Netflix open source notebook scheduling Python source: https://t.co/KoHElcAG2b Roadmap: https://t.co/DdPiU7U9VM #Jupyter |
| 2021-03-10 | A perspective on a Kubernetes & Kafka FIX stack for the modern age… https://t.co/fl5UtdANrI |
| 2021-03-09 | Probability of intraday trades analysis on ASX stocks #liquidity paper https://t.co/wLOBho0GfQ https://t.co/V4jgjd7ITz |
| 2021-03-09 | Yet another #ml paper on stock price prediction using Analyst ratings and other fundamental and technical features with references to prior studies https://t.co/LAMNtSA6iH https://t.co/i22RKl8DX8 |
| 2021-03-08 | Paper analyzes correlations between the price fluctuations of selected cryptocurrencies and social media activities using noise-correlated stochastic differential equations Fir time-series prediction. https://t.co/4kjlPm6KiU #ml #sentiment https://t.co/WDwV8DclSQ |
| 2021-03-07 | Market impact in Cryptocurrencies is explained in part by limit order book imbalance information (similar to stocks) “There is a higher probability of mid-price decreases in regimes with low values of order book imbalance, and vice versa” https://t.co/nOldXxUtFQ #Crypto #TCA https://t.co/l5sM7F1vBs |
| 2021-03-07 | You can’t see the forests from the trees…until you analyze the gaps in the forests. ForestGapR is R #Rstats #DataViz #ESG https://t.co/bsECJPF7WX https://t.co/wRofY752RO |
| 2021-03-07 | Extracting Forest Information from LiDAR data using R #rstats and #Shiny https://t.co/MNWw4naZpT #ESG #dataviz https://t.co/0kAa3NMeLm |
| 2021-03-07 | NBA Analytics seems to increasingly gravitate to ideas from the realms of econophysics, trade performance and risk management to analyze player performance https://t.co/5MrPOAwgoB https://t.co/ZxX0b7xayp |
| 2021-03-06 | #LOB recreation model (LOBRM) using deep learning to recover the Limit order book of five price levels for small-tick stocks from TAQ data. https://t.co/qgbl2vJg4b https://t.co/4TugmMKGFF |
| 2021-03-06 | Leaning in to ambiguity, patents as recipes and other unconventional views of IP | in #HBR https://t.co/ddAjJcL21d |
| 2021-03-06 | Bitcoin and S&P volatility with predictability - paper https://t.co/nTgXg5LUkA https://t.co/0lu5HWCJ7z |
| 2021-03-05 | On Synthetic Data generation using #GAN and #VAE methods https://t.co/stVY1NsEGI https://t.co/2BaP3d2v3X |
| 2021-03-04 | Optimal trading when volume is uncertain Paper (2020): https://t.co/gPhNg6JMNJ Julia source code: https://t.co/Oe5htFKkHl Mean-CVaR Framework (Vaes and Hauser) https://t.co/kd4iL785nw |
| 2021-03-03 | On Bond ETF Redemption Baskets | in FT https://t.co/vE8bUqXUMM |
| 2021-03-03 | Thursdays are for Turbulent Spreads in Treasuries | in FT https://t.co/zmNZsvMCC4 https://t.co/3dekg8PwCl |
| 2021-03-03 | Consumer finance datafication - blog post https://t.co/c6TA5sRX6f |
| 2021-03-03 | This recent paper “How to measure the liquidity of cryptocurrency markets?†has most of the well-known, well-quoted well-researched spread estimators in one place. https://t.co/EMt0N0qJTL The spread #liquidity estimators are useful across crypto, fx, equity & other markets |
| 2021-03-02 | Cost based market #liquidity estimators compared with CHL and other liquidity proxies - paper https://t.co/IxfSc278QL https://t.co/9hE36Yb5Ic |
| 2021-03-02 | New early-stage open source Python package for fundamental equity screener tools, Portfolio, Trade, Broker and other abstractions https://t.co/JjdBkPUDHq https://t.co/Ugr9rU6fKR |
| 2021-03-01 | U.K. Footfall pre and post lockdown as a measurement of FutureWork recovery and inflection | in FT https://t.co/B3d6vCeqw3 https://t.co/nUXdtqaasY |
| 2021-03-01 | Corporate Bonds #tca paper https://t.co/CmRVPx7gKZ empirical using #trace reporting https://t.co/K7nk9d0fSJ |
| 2021-03-01 | Citi GPS Report on Remote Work https://t.co/cVmQ9HQAwr https://t.co/Z6JPdfSIip |
| 2021-03-01 | JPMorgan Research Report Perspectives on FinTech, Digital Transformation, #DeFI and Bitcoin https://t.co/MLQ65IWom5 https://t.co/w1MKWpNDe1 |
| 2021-02-28 | Feature-based representation of time-series. A feature-based approach avoids training a model directly on sequences of time-series values, but instead uses features computed in reduced time intervals to make the prediction or classification. - Paper https://t.co/vw52XOoEVH https://t.co/70b6t7GiLl |
| 2021-02-28 | Discrete Shapelet Transforms - paper https://t.co/NcL7TRki3b https://t.co/hJdcy9MnD7 |
| 2021-02-28 | @hedgefair Yes, would agree… Example: https://t.co/5ivUejbQmc |
| 2021-02-28 | @dannyrussell53 Paper by S Jaffard, P Abry, and H Wendt. Title in picture and link below: https://t.co/i6qn0EFJE3 https://t.co/pOY4O534d0 |
| 2021-02-28 | @boleroo Time-Series graph pattern matching in MOTIF building can involve fractoids or approximations of fractoids in time & space. But MOTIFs can also be based on other symbolic non-fractoid representations. Investment MOTIFs are thematic and defined by algebraic ops on time-series. |
| 2021-02-28 | Wavelet-based multi-fractal analysis of 1D signals implemented as a Python package https://t.co/UHq4JU67GC |
| 2021-02-27 | MK Motif algorithm finds pairs of motifs which are identical subsequences in a time-series which repeat more than once. https://t.co/9NJsYrH6C8 And Mueen-Keogh paper https://t.co/4lYc1uqP9C Probabilistic method https://t.co/7hXQduSRFE and paper https://t.co/7hXQduSRFE https://t.co/HPTOMnPt4c |
| 2021-02-27 | Online tool to create synthetic indexes - enombic https://t.co/tBdtnFGSyH https://t.co/MabaGCxRSN |
| 2021-02-27 | 36 Trading volume / signal dispersion anomalies - paper https://t.co/XMMETwoME1 #alpha #tca https://t.co/gijGIOfCxH |
| 2021-02-27 | REIT Trading Signals based on their options - paper https://t.co/h6wt7iztHJ https://t.co/DMHUOjrG4o |
| 2021-02-26 | Portfolio Optimization Vs Trading Rules https://t.co/M8poEcqqTW |
| 2021-02-26 | Stock Tweets - features and credibility analysis - random forest based classifier - paper https://t.co/IrivgvQCrG #ml #nlp https://t.co/0toBP3rRe0 |
| 2021-02-26 | Spikey Cybersecurity hack detailed in this paper: https://t.co/rqgNxaKnQx https://t.co/lGDX0GOQ1b |
| 2021-02-25 | R package HighFreq for intra-day and high-frequency trading analysis - OHLC bar and trade and quote (TAQ) data https://t.co/r37QvMUqVA #rstats #hft https://t.co/ZA499UFtCL |
| 2021-02-25 | Refinitiv, now an LSEG Company is hiring Financial Engineer / Data Scientist who can code in Python talent to join our growing team in Gdynia to help build the next generation of financial applications and workflows using machine learning, natural languag…https://t.co/ZhAlGgv0Ki |
| 2021-02-25 | New Command driven stock screening, technical analysis / prediction open-source terminal in Python using APIs or scraping low-cost or free data sources https://t.co/UmQyOK6TaC https://t.co/pqB9bRTQ7v |
| 2021-02-24 | Non Fungible Token Art and Beeple where the physical manifestation of Art is not the feature, ‘it is the bug’. #crypto #defi #nft #Beeple https://t.co/CgIO4Fe3af https://t.co/qhSHdxhaHY https://t.co/CjxtE9wVXu |
| 2021-02-24 | @SalArnuk Sometimes the block is enough to fully absorb the parent order, when that happens, 100% market impact is avoided for zero leaves by that large print on the tape. Blocks are a very good thing when you can get them and avoid the flow predators, even in 2021. |
| 2021-02-24 | ‘Uncertainity in Renewable Energy Time Series Prediction using Neural Networks’ - paper https://t.co/Al9yo79K8L |
| 2021-02-24 | Statistics and Machine Learning in Python #ebook with illustrated Python examples: ftp://ftp.cea.fr/pub/unati/people/educhesnay/pystatml/StatisticsMachineLearningPythonDraft_202007.pdf Or https://t.co/9KnwtffIDf https://t.co/CAcRSMK80A |
| 2021-02-24 | Dissertation - ‘Deep Learning for Time Series Prediction & Decision Making Over Time’ For multi-horizon forecasting, the Temporal Fusion Transformer (TFT) is detailed https://t.co/vkEcpq5Dxa https://t.co/CjYnzP7MnJ |
| 2021-02-24 | ML for Trading #ebook - introductory course textbook https://t.co/3Bt5xY1a3z https://t.co/jiybwYz7BW |
| 2021-02-24 | The density of trading agents - aka ‘concentration’ and market impact effects - #TCA paper https://t.co/6DrTiOIh3d https://t.co/quTu4c7ByS |
| 2021-02-24 | Multiple level limit order book order flow imbalance and market impact in simulated markets - #TCA paper https://t.co/Li3FWbBbST |
| 2021-02-24 | Cointegration of financial time-series using CointAnalysis Python code: https://t.co/2bs2wB4ttM https://t.co/zwF5ZlgZSS |
| 2021-02-24 | Fracdiff: Fractional Differentiation processes time-series to a stationary one while preserving memory in the original time-series - performance optimized https://t.co/N7m4VWjVDC And example here: https://t.co/XdcWcCwZgP https://t.co/PCUULiho9v |
| 2021-02-24 | Stratchery on AWS https://t.co/x1UZerKtpn |
| 2021-02-23 | Crypto examples illustrating time-series persistence on QuestDb (~ Postgres) https://t.co/PwYwOKfowY https://t.co/ud1hqICo8p https://t.co/V8RkHi9ZXG https://t.co/Csup3FSDxF https://t.co/T2qd5srhst |
| 2021-02-23 | A blog post on AI ethos at a small trading firm in the UK https://t.co/ZMdwjpwK0x |
| 2021-02-23 | @thienan496 Here is a link to Python code for CMA-ES to make it accessible to those facing non-convex, ill-conditioned, multi-modal, rugged, or noisy optimization problems in continuous search spaces. https://t.co/ZuN8AJzYTK |
| 2021-02-22 | @arxivabs Thanks, It’s a good abstract. I wish more effort was made to providing direct links to code and data-sets. The paper provides a link to the Zendo data set but the abstract page misses it. Code that might be relevant could be included. The empty slot is there for links. https://t.co/ElsrWHrWpq |
| 2021-02-22 | Entity linking on Reddit - 17,316 Open Entity Dataset Paper https://t.co/AOSI2F3bRB Data Set: https://t.co/XguArqbaDS ~ Code: Multi-Relation Named Entity Linking https://t.co/ZERWzBXLwN Minerva Network Meandering https://t.co/mjPVs5hJuI Twitter: https://t.co/3giDxGxgst https://t.co/qwQsSJ1hwe |
| 2021-02-22 | Bitcoin and Covid-19: wavelet coherence https://t.co/FEA0YcoPdj pyCWT Python library that could be used to reproduce similar grinstead wavelet coherence analysis https://t.co/1oCjAe2nB2 https://t.co/WPfSDyzX0l |
| 2021-02-22 | Predictive Power $PPS vs Correlation measure / metric: https://t.co/3QVtyC5Ep7 https://t.co/WJdEaOmTfm |
| 2021-02-22 | Stochastic model of trading costs - #TCA Paper https://t.co/75iV4Ibb30 https://t.co/zXjGM5XERt |
| 2021-02-21 | ‘The Impact of ETFs and Index-Tracking and Passive Strategies on the Fixed-Income Market’ https://t.co/HmBz3VDPtz https://t.co/KQQULgIj8x |
| 2021-02-20 | Short paper on current fixed income market structure - treasuries, corporates, CDSs… https://t.co/a8ygUlq3HL https://t.co/qi7Tezi7uK |
| 2021-02-20 | Order imbalance in #Cryptos article with embedded Python code snippets https://t.co/nOldXxUtFQ https://t.co/6S1vQi4uNw |
| 2021-02-19 | Electronic bond trading surge post Covid19 profiled here: https://t.co/K48LCoXKs2 |
| 2021-02-19 | Machine Learning #ebook https://t.co/ZoiQh5Fb7l https://t.co/h3HjOZ38s5 |
| 2021-02-18 | Reddit, WSB and analyzing bullish and bearish stock sentiment propagations - paper https://t.co/9B7pkQc4ZT https://t.co/7hwzursQPQ |
| 2021-02-17 | State Street research paper innovates by using single-period correlation to address the problem of time-varying autocorrelations and lagged cross-correlations of stock and bond returns https://t.co/QAlIy3uERs https://t.co/mmvXNZHQll |
| 2021-02-17 | Hyperparameter sweeps with TensorFlow and Keras detailed in a #Colab notebook: https://t.co/AFX9TyEUv6 |
| 2021-02-17 | Python Numerical Methods #ebook https://t.co/cKl78WKQay https://t.co/mn3TzZgd7L |
| 2021-02-17 | Presence of jumps and co-jumps for 54 Cryptocurrencies analyzed in this paper https://t.co/ggEXM6nhXd https://t.co/26FrglPiXB |
| 2021-02-17 | Herding behavior and overconfidence for stocks in China represented and modeled by complex graphs - paper https://t.co/6tqsInznMK</a> #dataviz #network https://t.co/B6v1yHS9MR |
| 2021-02-17 | Reddit NLP stock sentiment analysis with TensorFlow, Vader, Fourier Transforms and Reddit data api - praw Article: https://t.co/WyddIu6MQp Python source: https://t.co/JQ4HBx3VAZ Data for reproducibility: https://t.co/JQ4HBx3VAZ https://t.co/GGabB46NHU |
| 2021-02-17 | FCA paper on Dark Pools in stock Trading #TCA #marketmicrostructure https://t.co/aAn6GPG5Ji https://t.co/PJiGzRB9mM |
| 2021-02-16 | BigTech in banking https://t.co/kYKhKydhhl https://t.co/GrDORdd9Gl |
| 2021-02-16 | News sentiment correlation networks for stocks - paper https://t.co/ZaEZectLaI https://t.co/tEVSxTcJiU |
| 2021-02-16 | Amazing interactive #dataviz of college syllabus materials and textbooks https://t.co/JK3wzgJqA3 https://t.co/XLGkRkc4pJ |
| 2021-02-16 | Synthetic Time-Series with TimeGAN https://t.co/oZNKBLwUNt https://t.co/Gq8jVHbia6 https://t.co/aKJK7RJzua https://t.co/EUKgvUNtAy |
| 2021-02-16 | ‘A course in Time Series Analysis’ #ebook with R examples By Suhasini Subba Rao https://t.co/NIreVt9PUL #rstats https://t.co/SwxptNwTWL |
| 2021-02-16 | Automating simple price action rules for breakouts and technical conditions using a python library called Stolgo https://t.co/VwKIRAQ180 https://t.co/OojPtej1nF |
| 2021-02-16 | Impact of #AI on corporate strategy https://t.co/hS2qIf1okr https://t.co/mGlF3mnnnb |
| 2021-02-14 | Modeling impact of a social network in China https://t.co/Qln5E7Ivdc (xueqiu literally means “snowballâ€) on stock trading - #PLOS paper https://t.co/SKM5gmFVdZ https://t.co/JgHbO35YY9 |
| 2021-02-14 | Sunday’s are for streaming shoutouts using Streamlit You only look once #YOLO: https://t.co/S0ZSnfh5Gn And Self-driving https://t.co/0h3WXcED3H #OpenCV #Python - https://t.co/Mi9XSmIdwp https://t.co/4LHzPLacwI |
| 2021-02-14 | TransLoB - Transformers for Limit Order Books - architecture uses a causal convolutional network for feature extraction with masked self-attention - with hyperparamers for FI-2010 dataset Paper: https://t.co/Xp58CgzHGr Python TensorFlow: https://t.co/FPNrvbG0II #lob https://t.co/IUWsvSgjku |
| 2021-02-14 | Deep learning applied to Bitcoin limit order books #lob Paper: https://t.co/0VFGx11eGc GitHub Jupyter Python TensorFlow code: https://t.co/mjFvA4Ze1Q #Crypto #lob #paperswithcode https://t.co/25uOKDJ57r |
| 2021-02-14 | DeepLOB - convolutional filters & LSTM models spatial structure of stock limit order books #lob Paper: https://t.co/aCC49Vyp98 https://t.co/UPxk7ssiCO Python / Jupyter (Keras / TensorFlow code): https://t.co/jV7rnPSVEM FI (2010) dataset: https://t.co/vnbcsPYEsh |
| 2021-02-14 | Computer Vision in a Jupyter Notebook, in this case, #colabs using TensorFlow #OpenCV https://t.co/wP98NOwMS5 https://t.co/6s7hThLkwg |
| 2021-02-14 | Continuous Trend Labeling of financial time-series for machine learning based predictions - paper https://t.co/XtoWMMKz9f https://t.co/XZUDK3v2qo |
| 2021-02-14 | Modeling #lob (market and limit order book) dynamics in Bitcoin wIth simple equations - paper: https://t.co/UDq8OTF7za https://t.co/vmSnK01Y1A |
| 2021-02-14 | Black Box model risks inclusive of adversarial attacks - paper https://t.co/Bw3qbcgUvk https://t.co/sstMRxEFpo |
| 2021-02-14 | Stock liquidity proxies - #TCA paper https://t.co/P8w8QcqqoW https://t.co/qBUjU17Fkh |
| 2021-02-14 | Rolling correlation, average order book volume and market impact analyzed for stocks in Japan - #TCA https://t.co/ciHPnjFTrn |
| 2021-02-13 | Predatory Trading In Corporate Bond Markets - paper https://t.co/yfCwkyrNQH https://t.co/6M2WpaxLrl |
| 2021-02-11 | Dissertation on ‘Market Efficiency, Behavior and Information Asymmetry: Empirical Evidence from Cryptocurrency and Stock Markets’ #crypto stylized facts / efficiency asymmetric information paper https://t.co/daWS0Y8HM1 https://t.co/yFmXeuQnG8 |
| 2021-02-11 | Cross impact for exchange traded derivatives - VIX, S&P #TCA paper https://t.co/IIctasxWu1 https://t.co/nksEOvXAS1 |
| 2021-02-10 | WIRED on mutations and recombinations and the surprising evolution of the B117 variant of #Covid19 https://t.co/gfa9z1Msw2 |
| 2021-02-10 | Here is a curated list of AI #ML Video Courses https://t.co/9aG4DOvNcy |
| 2021-02-10 | And if you prefer, symbolic regression in Python - pysr https://t.co/FNjXRgq1pd https://t.co/kK24bHJdGj |
| 2021-02-10 | Deep Symbolic Regression in open source Paper: https://t.co/NZKC1iZfTc Python GitHub: https://t.co/HKWU36WtDi https://t.co/ioQlbtKBSZ |
| 2021-02-10 | 15 Papers From Google AI Research Accepted By NeurIPS 2020 https://t.co/lTKFa4m6hG |
| 2021-02-10 | Symbolic Regression in Julia https://t.co/qo8wXnnyM4 https://t.co/bG3jXEZPUq |
| 2021-02-09 | TheEconomist on Payment for Order Flow #PFOF in market microstructure https://t.co/9rM0GMM0Fy https://t.co/VXYTWBMRtO |
| 2021-02-09 | @see_jeff_tweet LOL! I. have. no. words. Links reveal themselves to me. https://t.co/srXEgib9rL |
| 2021-02-09 | Algorithms for Decision-Making #ebook with Julia code https://t.co/TnZY5ApZ1N PDF: https://t.co/rHiJs8cDcf https://t.co/UEHVNLeW8Z |
| 2021-02-09 | Stock Market Manipulation Detection Using Continuous Wavelet Transform & Machine Learning Classification - paper https://t.co/rKiqc4EfK5 https://t.co/phegw9r6gk |
| 2021-02-09 | On DeFi Financial Markets | St. Louis Fed research report https://t.co/dJs4Kvwk4B |
| 2021-02-09 | @nope_its_lily @dnegrin @6_Figure_Invest New Limit order book dynamics are confounded by retail - eg for Gamestop and Tesla and how to explain complex behavioral and PFOF impact on the system. Research of course is flowing in this direction as well to complement agent and pure #lob models. https://t.co/huMdcS3Yv3 |
| 2021-02-09 | @nope_its_lily @dnegrin @6_Figure_Invest Thanks for the follow - if you search my name @carlcarrie and #lob in Twitter you will find all the limit order papers I have posted. Hope that helps a bit. |
| 2021-02-09 | @nope_its_lily @dnegrin @6_Figure_Invest Directional indicators from limit order book #lob information can be sourced from many related ideas: Aggregations of order imbalance https://t.co/9zJGavJQwf Impact & reversion effects https://t.co/YpDuAERldQ Reduced form Level 1 approximations https://t.co/rRxhaAKw86 … |
| 2021-02-07 | Paper on Australia Dark Pool dynamics and when spreads in lit markets are a factor in order placement decisions https://t.co/SXSpUJALcl |
| 2021-02-06 | Quantification of the Self… https://t.co/UyKQcVrYzS |
| 2021-02-06 | Paper analyzes short term profitability of Bitcoin using Variable length Moving Average Strategies and Geometric Average Trading Period Returns #BTC https://t.co/YSl2x79Kd3 https://t.co/wcKRfXe0OG |
| 2021-02-06 | And a related set of perspectives on #CartaX https://t.co/JFtuz6v7wy |
| 2021-02-06 | CentroidNN for unsupervised few-shot learning / clustering converges much faster than conventional algorithms with compatible clustering quality. https://t.co/wpqnGRTCZF GitHub Python Source: https://t.co/P1mjHYo8zY Jupiter Notebook: https://t.co/u6Pte7l18E |
| 2021-02-06 | ModelX is a reimagination of spreadsheets as formula-centric objects that are interoperable with Pandas in open source Python https://t.co/Yg36woFUS1 Github: https://t.co/ToOwvcLtR0 |
| 2021-02-06 | Perspectives on an Omnibus Custody Model for #Crypto https://t.co/vKZyDFzgAJ |
| 2021-02-06 | Explainable self-adaptive forecasting: multi-step forecasts of multiple-related time series. [DeepAR] with SHAP pipelines for interoperability. Engineered on AWS, Dockerized and Pythonic https://t.co/5IBbJqSSDE Video: https://t.co/hrroSIQ1oa https://t.co/JitAcyxCvh |
| 2021-02-06 | Intro to eXplainable AI #XAI https://t.co/f2EQZQ4Go2 And referenced #ebook on interpretable AI models by @ChristophMolnar https://t.co/IAIOLoeRxK |
| 2021-02-06 | WIRED on #DataPrivacy erosion via fused interconnections of sensors, eyes and algorithms https://t.co/SGRLWiOcGC |
| 2021-02-04 | Numerical methods - papers with code https://t.co/Ay9oSm8hxi |
| 2021-02-04 | On the CartaX Exchange and the new emerging market structure for private shares https://t.co/65MdGxDHOo https://t.co/s6JJImBe4C |
| 2021-02-03 | Tim Cook opines on data privacy and big tech | in GQ ‘Rampant disinformation and conspiracy theories juiced by algorithms’ https://t.co/B7nCXNYx7p |
| 2021-02-02 | On commercializing GPT-3 https://t.co/NAO0KKSLhm |
| 2021-02-02 | Perspectives on ESG | in HBR https://t.co/t4K5kp0R2b |
| 2021-02-01 | Re: Data Ecosystems https://t.co/06rt5oqvj8 |
| 2021-01-30 | Market Microstructure Essays https://t.co/PKXjdmKMxm https://t.co/ncVsIReUMa |
| 2021-01-30 | Dark Pool - information - jumps, cumulative returns https://t.co/rj0kbF2kej https://t.co/mnLhAZjI0P |
| 2021-01-30 | Carbon-Credit - a proposal for a blockchain-based ecosysytem https://t.co/RjM2H90bq5 https://t.co/lZw2gFJiTU |
| 2021-01-30 | A paper on a new multiple-input deep neural network model, called MICDL, for the prediction of a cryptocurrency price and movement. https://t.co/Uq9NQ4Lavu https://t.co/KDt7maHIVk |
| 2021-01-30 | Stochastic market impact and fast reverting signals https://t.co/URWVgp4qSR #TCA Paper, optimal execution https://t.co/g9tt16YVky |
| 2021-01-30 | NBER paper on Cov-19 lockdowns and the network evolution of stock prices globally analyzed with #dataviz https://t.co/83R6eFCDsG https://t.co/1TE3IDC45u |
| 2021-01-29 | Gamma Squeezes are now being discussed by dentists, doormen, and day traders… https://t.co/ZwrpYtWtgH |
| 2021-01-28 | Free and open ESG Scores as easy as typing the company name https://t.co/Cvnql2CRxF Announcement: https://t.co/QCsPfMMJeh https://t.co/GW16vDMtfR |
| 2021-01-28 | Bond ETF Niche is a powerful one for Jane Street https://t.co/m0EH6Z5Hn2 https://t.co/L9ucUrP2Sy |
| 2021-01-28 | Grayscale Eyes DeFi Space With New Trust Filings https://t.co/khaikKsCxn #Crypto |
| 2021-01-27 | Patents, The Pais Effect, and UFOs? https://t.co/nRrVOA81Lx |
| 2021-01-27 | Collection of COVID-19 related data sets https://t.co/KQLgRwpaHZ #opendata |
| 2021-01-27 | Clean energy company price prediction using Random Forest and Tree-Bagging #ml paper https://t.co/AToFxvzzzB https://t.co/owsqxZmxGY |
| 2021-01-27 | Dynamic factor model applied to classification probability prediction (CPP) of stock returns #XGBoost #ml https://t.co/SNFf4GCs1L https://t.co/MpTzOYaMU6 |
| 2021-01-27 | Paper uses dynamic time warping (DTW) and a genetic algorithm (GA) to predict index VWAP (e.g. KOSPI 200) https://t.co/VXN57JJMAe https://t.co/0XlRoWiKZx |
| 2021-01-25 | Deep reconstruction errors, anomaly detection in time series - financial, twitter, IoT, … Paper #unsupervised #ml https://t.co/DYjzCuN73S https://t.co/bFpvmiP9KV |
| 2021-01-25 | Corrected #HMM Paper link here: https://t.co/wxPVqOgv59 |
| 2021-01-25 | mt5b3 - aka intelligent Automated Trading - paper https://t.co/9e7zHgjC2N https://t.co/JZOzBlspY1 |
| 2021-01-25 | Hidden Markov Market #HMM of Stock Portfolio Construction using Factor Composition https://t.co/XdGmHv4dWL https://t.co/7WEpeWWZlu |
| 2021-01-25 | NBA Shooting Motions Analyzed (with Data) https://t.co/XdGmHv4dWL https://t.co/3oimEYk1Qc |
| 2021-01-24 | Paper on Bitcoin #lob dynamics https://t.co/UDq8OTF7za https://t.co/ZhdQqBPUzU |
| 2021-01-24 | Medical Time Series Automl - ClaAIrvoyance vs the field (cesium, tslearn, seglearn, tsfresh, pysf, sktime, pyts) https://t.co/xlV88CBQ6I https://t.co/0A8FkvJOvU |
| 2021-01-24 | Synthetic replication of long index futures strategy using options, Kelly Criterion and an LSTM model to predict returns https://t.co/10oHdjtpw1 https://t.co/gI6uCnDbua |
| 2021-01-24 | Technical Analysis applied to Cryptocurrencies analyzed (14k+ technical heuristics rules) - paper https://t.co/RKWIf56QL0 https://t.co/T5OtwNuWfg |
| 2021-01-23 | https://t.co/eEebE85L6n - Serverless Analysis Toolkit Asset management related functions: https://t.co/deWbgIX43o Pandas extension: https://t.co/d3Dq2ETpTo Restful API; https://t.co/XSE02pXUDF |
| 2021-01-23 | Venturebeat opines on heightened Language AI opportunities #NLP #NLG #Chatbot https://t.co/dmPayusJmV |
| 2021-01-23 | Synthetic assets formed by using the actual stock and a replicating asset constructed from factor models, without the need to find real assets with similar properties for statistical arbitrage. https://t.co/7Y1ql5NQeJ |
| 2021-01-23 | Paper on intraday stock return patterns conditional on observed overnight returns - paper https://t.co/7EILHzKB9j https://t.co/qZ5U1i9XiG |
| 2021-01-23 | Intraday market microstructure and stylized facts paper: ‘However, in contrast to the ∪-shaped volatility and price patterns found in calendar time, trade-time price impacts and return volatility fall sharply from open to close.’ https://t.co/UPjrTTKxY3 https://t.co/MyDlPOwvAP |
| 2021-01-23 | A very visual introduction to machine learning https://t.co/bJJN3JXS9A https://t.co/fjEkFHaGfZ |
| 2021-01-23 | Commodity futures & macro-links to realized volatility paper: - economic policy uncertainty (EPU), - economic surprise index (ESI), - default spread (DEF), the investor sentiment index (SI), - volatility index (VIX), - geopolitical risk index (GPR) https://t.co/S0wuFpjowM https://t.co/vZC2TWyYZB |
| 2021-01-21 | Double Spend Vulnerability in Bitcoin… https://t.co/kHDFj9xeuz |
| 2021-01-20 | Dimidium, Oumuamua, oh my… The New Yorker https://t.co/5tI9L6WkxS |
| 2021-01-20 | And in the same thread, DataSets as Data Version Control https://t.co/H9RpHF3zDu |
| 2021-01-20 | DataSets explored and modeled as Dags in Git repos https://t.co/kHVOHfccT4 |
| 2021-01-20 | @ischmerken on #AltData ecosystems https://t.co/3IIIYvplLF |
| 2021-01-19 | Cryptocurrency vs Currency Liquidity paper: https://t.co/trffXMPsrK #KNN https://t.co/liBUth9guc |
| 2021-01-19 | Tensor Quant Finance - Python GitHub: https://t.co/LTYPUEeEDO swap curve fit Colab example: https://t.co/Mja3NcY5FC |
| 2021-01-19 | LidR for Forestry Analysis and #DataViz in R #Rstats https://t.co/Z3iIk7FCA3 https://t.co/ArbSWqYdRr |
| 2021-01-19 | Not quite GPT-3. But then GPT-NEO is open. https://t.co/1RjkZeYBqC https://t.co/pZOO8pF3EE |
| 2021-01-19 | The Datafied Family and Surveillance Capitalism https://t.co/wcnYipQNqH #privacy |
| 2021-01-18 | Paper on {Papers on liquidity} Analyzed https://t.co/f7HR3Bx9XC https://t.co/bKwoSiEG8M |
| 2021-01-17 | Multiple risk-off indicators are firing, but who is listening? https://t.co/6Eb0TDgVtb |
| 2021-01-17 | QuestDB is the latest open source database for time-series Works w/ Python https://t.co/yNWi46hGYt - augments SQL for time-series with native extensions. - exposes a PostgreSQL wire and InfluxDB protocol via REST - supports InfluxDB Line Protocol. https://t.co/KTs6hFoWMl https://t.co/Eijx1TyH8J |
| 2021-01-17 | Shapash for model explainability Python Github: https://t.co/FUwi1u0aAF https://t.co/PEUJkGYiO4 |
| 2021-01-16 | Corporate Responsibility Ranked / #ESG https://t.co/vik3YcABQd https://t.co/uzktFHZMyu |
| 2021-01-16 | Saturdays are for great for Smoothing Series Kalman Smoother paper with automated tuning: https://t.co/MUbXhOPesf Python GitHub: https://t.co/42SGsshMCh Kalman smoothing problem, with missing observations, as a simple least squares problem |
| 2021-01-16 | Optimal portfolio execution for illiquid stocks and markets modeled with HJB PDE - #TCA Paper https://t.co/kfgIUWmBMe https://t.co/YtWx4s6tUK |
| 2021-01-15 | Ode to Data Engineers https://t.co/5wX46gnchj https://t.co/O36i2P1qJH |
| 2021-01-15 | Fluent TensorFlow for tidy #ML Pipelines in Python https://t.co/dDfwR06LUb https://t.co/FQf2tAaXdo |
| 2021-01-13 | A multi-source information-fusion stock price prediction framework based on a hybrid deep neural network architecture (Convolution Neural Networks (CNN) and Long Short-Term Memory (LSTM)) named IKN-ConvLSTM. Paper: https://t.co/mBqoKuM9zT https://t.co/cPZ2OM1vAs |
| 2021-01-13 | FT on regulating DeFi Banks https://t.co/l2oCrCX7Pm |
| 2021-01-12 | FOMC Trading day volume analysis - paper https://t.co/22EPeVTHiW https://t.co/mflXBFtq6q |
| 2021-01-12 | Market impact and cross impact across stock markets analyzed in this #TCA paper #OFI order flow imbalance https://t.co/X9QH4eThUp https://t.co/07QOrVbsHH |
| 2021-01-12 | @QuantRob Go for it :) ! |
| 2021-01-12 | @mikeharrisNY There are also a litany of similar real-time VWAP slippage patents that overlap. Easy to find, but hard for patent attorneys to differentiate non-obvious novelty from generalized industry practice: US7818246B2 US20190295167A1 US7440920B2 US8442885B1 There are many others. |
| 2021-01-12 | @mikeharrisNY I’m not a lawyer, but my understanding is that there is only a specific prior art carve-out for one year: “(1) DISCLOSURES MADE 1 YEAR OR LESS BEFORE THE EFFECTIVE FILING DATE OF…†https://t.co/0Nu1107myc |
| 2021-01-12 | Today’s dubious FinTech patent: Re: Patenting Real-time VWAP Patent #: US2020/0402174A1 Tracking trade performance in real-time using VWAP is prior industry art and has been implemented for about 20 years! https://t.co/6JnWSUOwAb https://t.co/sS58sFIJMH |
| 2021-01-12 | FinRL - deep reinforcement learning (DRL) Paper: https://t.co/Fzs4GyTfD6 Python GitHub: https://t.co/943dtLJF9C Jupyter Notebook Examples: - Portfolio Allocation: https://t.co/LLHrR7Zq73 - Stock Trading: https://t.co/h3u3tAu3cr - Crypto: https://t.co/KHDqcIFmS4 |
| 2021-01-12 | Comparing the volatility predictive abilities of some time-varying volatility models such as the stochastic volatility (SV) and exponential GARCH (EGARCH) models. #Paper https://t.co/oV9x2rEtrt |
| 2021-01-12 | KNN vs Autoregressive predictions of Currency vs Cryptocurrency Liquidity - #ml paper https://t.co/ifpxCDEt3q https://t.co/4moiOQN2NP |
| 2021-01-12 | Modeling the best NBA players using RAPTOR: https://t.co/sdhPfAAUIA Raptor model details: https://t.co/wUaIhEYZmH https://t.co/Mg397ifoQA |
| 2021-01-12 | NNI is Microsoft’s newest Python-based AutoML entrant with the ability to automate Feature Engineering,  Neural Architecture Search,  Hyperparameter Tuning and Model Compression. https://t.co/rSywdDMl86 https://t.co/rHYnpHEMQn |
| 2021-01-12 | When Microsoft rethinks Python’s Pandas scale and processing power, all in the context of the cloud - Magpie paper https://t.co/5TU3RUZ1Ua https://t.co/baWDCPDjgp |
| 2021-01-12 | Alibi-Detect - outlier detection Python Source: https://t.co/LP92ywumHA Documentation: https://t.co/DAHmUKnJTo FbProphet time-series prediction Jupyter example: https://t.co/XF4NosdPZj https://t.co/0V1ymwFXXA |
| 2021-01-12 | ‘Introduction to Python for Econometrics, Statistics and Data Analysis’ #ebook with video links https://t.co/dT7lPEPlQn https://t.co/VTsT2521dV |
| 2021-01-12 | Cryptocurrency Trading - a broad profile of trading exchanges, systems, libraries and other aspects https://t.co/s9qD6rfbgq https://t.co/P1fiTUm9ck |
| 2021-01-12 | The Quest for Privacy in search yields a new search engine… https://t.co/6iXf49Snry |
| 2021-01-10 | Using a generative model to re-identify individuals is just too easy… “Using our model, we find that 99.98% of Americans would be correctly re-identified in any dataset using 15 demographic attributes” Privacy Paper: https://t.co/rI2YVF1Hy5 |
| 2021-01-09 | @Kamin_1981 But, if you are trading, you will probably want to look at more depth of data and have higher confidence in the quality of how ticks are filtered and rolled up to minute granularity. It is tricky depending on trade types, contract rollover logic, etc. |
| 2021-01-09 | @Kamin_1981 You can get up to 7 days of minute bars using scraped data off of Yahoo using the popular Python open source yfinance library. So, for E-mini S&P Futures: import pandas as pd Import yfinance as yf df = https://t.co/TbhBTuv8jA(‘ES=F’ , period = ‘7d’, interval = ‘1m’) print(df) |
| 2021-01-09 | If you don’t have access to a market data terminal and you need simple analytics on Cryptos then https://t.co/v13Sqml50W may be useful: trades per minute: https://t.co/2gWtfTMZu2 consolidated limit order book: https://t.co/OyAucLJ9dI bid/ask spreads: https://t.co/2z3SGy7KVz https://t.co/Oj7B1rNjX9 |
| 2021-01-08 | Paper models market impact in continuous time and integrates market makers #TCA https://t.co/M93NnEPnpR |
| 2021-01-08 | Crypto Asst Class now @ market cap of $1 Trillion https://t.co/AAzxwK29tR |
| 2021-01-08 | Full information trade classification model for high-frequency matching of trades #lob #hft paper https://t.co/Mj1pB9Czlf https://t.co/lJdaY9IaVN |
| 2021-01-08 | Paper explores impact of investor attention on idiosyncratic risk in the cryptocurrency markets. https://t.co/PspWKinDJq https://t.co/iW8TFlq6YX |
| 2021-01-08 | Return to work new normal? https://t.co/5dMzE4XQLJ https://t.co/9feXckOXnt |
| 2021-01-06 | Article: Recovering Accurate Implied Dividend and Interest Rate Term-Structures from Option Prices https://t.co/vF7VCSKJRh |
| 2021-01-06 | DALL·E: Creating Images from text DALL·E is a ‘portmanteau of the artist Salvador Dalà and Pixar’s WALL·E. is a 12-billion parameter version of GPT-3 trained to generate images from text descriptions, using a dataset of text–image pairs.’ #gpt3 #nlg https://t.co/AaOgRaJlLM |
| 2021-01-05 | PFMIs, Stablecoins and parasitic behaviors https://t.co/vtgCOZTMRf #Crypto |
| 2021-01-05 | Z-scores applied to vwap and twap benchmark slippage is obvious and not novel and should not be protected by a patent https://t.co/6qaxiVbeFy https://t.co/zj8x8JmqeF |
| 2021-01-04 | Growing list of FinTech companies https://t.co/kIiTddP0ix |
| 2021-01-02 | Ruptures is for change point detection of non-stationary time-series in signal detection Python Github: https://t.co/KN5asMBJ4z Paper: https://t.co/NlL6lrddlS Intro: https://t.co/W1ZH8LyfNM https://t.co/UnWcuWzDu3 |
| 2021-01-02 | ‘Feature Engineering and Selection: A Practical Approach for Predictive Models’ #ebook (2019) https://t.co/02zD0dphC8 |
| 2021-01-01 | NYT - The strange markets and social equity retrospective of 2020 https://t.co/oS5wRlccoI |
| 2020-12-31 | Chip Huygen @chipro blog post on real-time ML https://t.co/Jfvi8YaLPE |
| 2020-12-31 | RemixAutoML R prediction library with feature engineering and popular *boost models https://t.co/88wAk2SzaR GitHub #rstats code https://t.co/QcMwmKj5Q3 |
| 2020-12-30 | Python Code for AI: Foundations of Computational Agents #ebook https://t.co/fXvGA02srj https://t.co/4F81ldr8lA |
| 2020-12-30 | Interesting strategic analysis of Google’s ‘Maps’ MOAT https://t.co/0xEe5Z4dAx |
| 2020-12-29 | Modeling DeFi lending - #Crypto paper https://t.co/USBDwU2hSw https://t.co/xlALryqZmC |
| 2020-12-29 | Time-varying seasonal structures in time-series extracted and memorized by a HMM model Paper: https://t.co/MhI3Z4iTuB GitHub Python code: https://t.co/oW3jjsdbaC https://t.co/XUvRM7VD15 |
| 2020-12-29 | Short term-alpha from order / trade flow signals - 2018 notes by DB practitioner https://t.co/B9zWWs3Shr |
| 2020-12-29 | Crypto prediction paper describes using spread, trade and order flow dynamics and other classic price based featurization and log, moving average and diff variants https://t.co/Q0ZeMnvzV8 https://t.co/edlHcnB3cL |
| 2020-12-29 | #HFT in stock trading is much more complex than multi-dimensional chess as these two papers illustrate 144 dimensional featurization of tick data https://t.co/u6KLgNUG4W and the derivation of very-long short term memory network (based loosely on LSTM) https://t.co/b7cbxUcJXJ https://t.co/qCAnqtj5Td |
| 2020-12-29 | Multi-agent, order flow imbalance with market impact #TCA #lob #MLOFI paper: https://t.co/Li3FWbBbST Related Python GitHub: https://t.co/ydrJfYUUNo https://t.co/Vi9ppA4vmA |
| 2020-12-29 | Extraction attacks from large language training datasets #cybersecurity https://t.co/rv207QGQXx https://t.co/Mz6FzBo7L1 |
| 2020-12-28 | State of Crypto - a16z Collection of Videos and Slides https://t.co/z6xLodcFCn |
| 2020-12-28 | Stock Twits /Twitter Sentiment and attention prediction of realized volatility paper - HAR model https://t.co/G9FF1l7gwz https://t.co/gP0L5nzML9 |
| 2020-12-28 | @see_jeff_tweet @OpenSourceQuant @JacquesQuant @QuantRob @QuantBrokers @VitoLestingi One concise version of the I* model can be found here (see pg 5) along with older (2013) coefficients for US and CAD markets https://t.co/UNdavjBAjd |
| 2020-12-28 | @MarcosCarreira @see_jeff_tweet @JacquesQuant @QuantRob @experquisite Deserves a deep read (this weekend perhaps). A quote from your paper is thought-provoking: ‘Agents are always trying to estimate the probabilities of reversion and trending; slow agents rely mainly on price changes, not order book dynamics’ |
| 2020-12-28 | @see_jeff_tweet @JacquesQuant @QuantRob Alternative shortfall metrics are useful in that broader context as they outline. One quibble: use of VWAP is however inherently naive in the example provided. VWAP may have relevance in passive portfolio tracking but rarely when alpha capture vs market impact is the objective. |
| 2020-12-28 | @see_jeff_tweet @JacquesQuant @QuantRob From that paper “our results suggest that managing scheduling risk is more relevant for a passive institutional investor’s typical trade flow. Microsecond performance is dominated by parent order decisions; when we trade is more important than where we trade.†|
| 2020-12-28 | ‘The Plague Year’ Retrospective in the NewYorker https://t.co/5V57HCVEp1 https://t.co/SGEoepUayR |
| 2020-12-28 | @MarcosCarreira @see_jeff_tweet @JacquesQuant @QuantRob @experquisite Marcos, thanks for that timely post, several good papers listed: one of the papers https://t.co/qDo95Yuc1h discusses the use of limit order book information - eg order imbalance as a trading signal. |
| 2020-12-28 | @see_jeff_tweet @JacquesQuant @QuantRob Simple TCA models offer a useful start but are far less effective in determining trading outcomes these days than in the past when dynamics were simpler, execution costs were higher and information diffusion was slower. |
| 2020-12-28 | @see_jeff_tweet @JacquesQuant @QuantRob Institutional brokers often provide market color mid-day around flow dynamics to large order placers, in particular where there are natural order pockets of less-short-term naturals. Order flow has many attributes that can be used to determine efficacy and urgency decisions. |
| 2020-12-28 | @see_jeff_tweet @JacquesQuant @QuantRob A quick search through my tweets - eg ‘carlcarrie #TCA’ or ‘carlcarrie #LOB’ on twitter will yield a number of papers incorporating some of these nuances for your lit review. |
| 2020-12-28 | @see_jeff_tweet @JacquesQuant @QuantRob Large passive funds have a radically different cost structure than idiosyncratic alpha hunters but execution with systematic internalizers distorts comparisons of implicit/explicit costs between firms a bit between those who are limited to lit markets. |
| 2020-12-28 | @see_jeff_tweet @JacquesQuant @QuantRob With so much institutional equity trading done off exchange these days, and so much being done near & on close, price discovery is inherently different and is shaped with information and inferences about print trade classifications and about passive flow dynamics from index/ETFs |
| 2020-12-28 | @see_jeff_tweet @JacquesQuant @QuantRob Going deeper into the micro, meaning into the limit order book level often a technique high-frequency systematic strategies employ. Patterns of liquidity-price formation are important in micro order placement as part of systematic strategies. Bid Ask spread measures miss texture! |
| 2020-12-28 | @see_jeff_tweet @JacquesQuant @QuantRob Always happy to help. Minimizing slippage and optimizing execution of systematic strategies is a bit more meaningful when you have more information about the portfolio that you are executing. The original TCA models do not consider the additional information. |
| 2020-12-27 | Practical considerations in integrating ethics with AI - paper https://t.co/tIVQaal0mK https://t.co/moOwI8fjZr |
| 2020-12-27 | Symbolic Regression - Functions of practical interest often exhibit symmetries, separability, compositionality, and other simplifying properties. These properties forms the basis for this Python Github. https://t.co/kjrSPyO8n4 And research in the space: https://t.co/RB6kYtH4Og |
| 2020-12-27 | Source code of the BioNTech/Pfizer SARS-CoV-2 mRNA vaccine broken down character-by-character https://t.co/f1Vmh8imyR |
| 2020-12-26 | Liquidity for CMBX paper: rolls, indexes, spreads and microstructure https://t.co/8d4wGthu73 https://t.co/YZD5tS1rz0 |
| 2020-12-26 | Hazard rate analysis of Fleeting Orders and Flickering Quotes in stock markets #hft #microstructure https://t.co/23BmBDxXcm |
| 2020-12-25 | Mixed Integer Programming using SCIP Paper: https://t.co/nXhHpo2AHs Python Github Source #PySCIPOpt https://t.co/Iq76W1InuC |
| 2020-12-25 | Absolute Roll analysis - liquidity https://t.co/SAQeySBGzP |
| 2020-12-25 | H2O Wave is a new software stack for building low-latency, realtime, browser-based applications and dashboards in Python https://t.co/33bzRXgStB https://t.co/UvDt6yWrl8 |
| 2020-12-25 | #NBA Player Tendencies profiled in R #rstats with #dataviz https://t.co/ocEg4EZU6L https://t.co/7LlwqR1a1f |
| 2020-12-25 | Beyond Dashboards… https://t.co/Ns35aDOQ50 |
| 2020-12-24 | Good summary of US equity trading microstructure innovations in 2020/21 including an emerging shift of block trading to exchanges https://t.co/d7mitAI1E3 |
| 2020-12-23 | NYT opinion writer reflects well the pandemic zeitgeist…. “This is the present tense. A tense present. The past has contracted to the last day in March…†https://t.co/Ko4yPVGxqf |
| 2020-12-23 | Open Source Alternatives … for Everything! https://t.co/LC43m7xb7k https://t.co/alqIbtaMOp |
| 2020-12-23 | Tigramite, CDT & TCDF are Python packages for causal discovery, that is to infer the causal structure of a closed system of time-series Intro: https://t.co/yoWhLSjzHM Githubs: > Tigramite: https://t.co/HeKMW94fdx > CDT: https://t.co/FUU5JcbnxH > TCDF: https://t.co/QWPC1RRdng https://t.co/rAGsttre1E |
| 2020-12-23 | Visual guide to Python’s Numpy https://t.co/ZjjREKMuaS https://t.co/WeCKsQgktz |
| 2020-12-23 | ZenML - https://t.co/hJGqUpGFCG #MLOps - versioning, metadata management |
| 2020-12-22 | Riskfolio - New Python risk optimizer based on cvxopt, numpy and scipy. - 10 Convex risk - eg Std. Dev., MAD, CVaR, Maximum Drawdown… - 7 Risk Parity - eg Std. Dev., MAD, CVaR, Maximum Drawdown… - Black Litterman and Risk Factors model GitHub: https://t.co/vC44dqfYvW https://t.co/XVvPQtuCxi |
| 2020-12-22 | Massive intangible value growth profiled in this blog post… https://t.co/cz9MfYGa9m |
| 2020-12-20 | JPM Quant Research perspective on Bitcoin https://t.co/xuOiY0uAyh |
| 2020-12-19 | Lux - Ad-hoc Python time-series visualizations for EDA in Python within Jupyter notebooks https://t.co/r2sqe0fUVu https://t.co/MRx2NC5NEz |
| 2020-12-19 | #Synthetic Data Vault for tabular, relational and time-series data using Copulas and Deep Learning https://t.co/BGaKDBTOda In Python you can fit a synthetic data easily: from sdv import SDV sdv = SDV() https://t.co/gP3ZLYKaex(metadata, tables) https://t.co/GTXEbl27M4 |
| 2020-12-17 | Paper and Python code used to label / classify state of markets using ‘market features’ in a ‘feature space’ and reduce dimensionality for prediction. Paper: https://t.co/x5Q4DplcC8 Github: https://t.co/oASMwhzn3J https://t.co/gaYSk3r7Nl |
| 2020-12-17 | Trade direction in fast stock markets - Bank of England #lob paper https://t.co/Z9HhMMj7av https://t.co/JB7ki86wHN |
| 2020-12-17 | Collection of free Python #ebooks https://t.co/5j9vDuaNcK |
| 2020-12-16 | Correlated with massive rise in peeking out our windows in 2020… https://t.co/stvgqLsTYj |
| 2020-12-15 | REST vs GraphQL - paper https://t.co/urai3Ej99Y https://t.co/LT5e7b06Pl |
| 2020-12-15 | Streamlit / Python based #ml code generation for image classification and object detection tasks - traingenerator Hosted: https://t.co/EWIja09dHF GitHub: https://t.co/uqbTkcX2MQ Generates readable code using PyTorch and sci-kit frameworks https://t.co/j5QOBelc6Y |
| 2020-12-15 | #Liquidity metrics for Indian Stocks - paper https://t.co/4Yz9uSDXE2 https://t.co/51EfzWqMVc |
| 2020-12-14 | Python / Pandas project to generate Synthetic Data for financial markets applications GitHub: https://t.co/GWFKnYjEch Road Map: https://t.co/of7YPSNi4F #citigroup #FinOS https://t.co/PDKI1dBeSF |
| 2020-12-14 | TODS is a Python-based automated machine learning system for #outlier / #anomaly detection on multivariate time-series data. https://t.co/GgHZ1SLdzw #ml https://t.co/COWolqJxmi |
| 2020-12-13 | Deep learning and stock factor models using OLS/LASSO https://t.co/g7tJO40PG3 https://t.co/iDUbMW43XK |
| 2020-12-12 | Subjects of nefarious interest | in https://t.co/UYQ4kY8rJs https://t.co/FvZUg1Pmdg |
| 2020-12-12 | Polars (aka pypolars) is when you have eager and lazy data frames with high performance written in Rust for Python data scientists https://t.co/RDIxA2TPI9 |
| 2020-12-12 | Hoopdown #rstats for #NBA clustering By @alex_stern https://t.co/N8JpPsBssG |
| 2020-12-11 | 7 early VC rejections for Airbnb including the market size is not large enough to invest in… https://t.co/H7h3nwlSXL And a pre IPO Pandemic Pivot as explained to Simon Sinek: https://t.co/uLhQetCbC9 https://t.co/kqOYlaZpzi |
| 2020-12-10 | https://t.co/dZV73MF8L0 |
| 2020-12-10 | Model expandability primer / paper https://t.co/Jap8Loi7IO https://t.co/hRgr9uYG03 |
| 2020-12-10 | Mlfinlab and Black Litterman portfolio optimization in Python https://t.co/elcKN9vD6c |
| 2020-12-10 | Simple #fake news classifier in Python https://t.co/O1qW6NfqUx |
| 2020-12-09 | From stealth startup to #wiz #startup https://t.co/Tz0T6MVcJh https://t.co/EbEAqWwr9Z |
| 2020-12-09 | @RobinWigg @FD Interesting. How does their enhanced methodology methodology apply to other companies with active securities fraud investigations (eg $TSLA)? Or to their investments with external managers? https://t.co/opFrXjSA56 |
| 2020-12-09 | Elon Musk opines on everything between Products and Powerpoint | in WSJ https://t.co/4lldCHiNro |
| 2020-12-09 | #LO - less than one-shot machine learning is profiled in this MIT blog post https://t.co/rhIenYNi47 #ml |
| 2020-12-09 | The Small Exchange (operates as a Designated Contract Market / DCM) Launches New 10-Year Treasury Yield Futures that trade on yield in small denominations appealing to retail and other investors that want simplicity and accessibility. https://t.co/uZAZvE6Qmi |
| 2020-12-08 | Hmmm. https://t.co/6AO0GJWMlA |
| 2020-12-08 | Hmmm BTC for Treasury funds? https://t.co/8O4yVGLGLz |
| 2020-12-07 | Covid19 impact on global equity liquidity (213 markets) https://t.co/s3AcW69TKN |
| 2020-12-07 | Re: Over-crowded trade risks https://t.co/cZhJtgnuoh https://t.co/krPv93A91t |
| 2020-12-06 | Normalizing Kalman Filter (NKF) paper https://t.co/7ALJxEFANI https://t.co/UbOdnzHbZY |
| 2020-12-06 | TsEuler - Holoviews Panel based dashboarding tool for Jupyter/ Python exploration of time-series https://t.co/No5bYPo7T9 https://t.co/w94zXemRNA |
| 2020-12-06 | High performance RipTable for optimized Pandas data frames and Numpy Arrays developed for financial quantitative use cases https://t.co/pTdigDTLRW https://t.co/GaLHBxKT3H |
| 2020-12-06 | WIRED on #TEAMS Stalking #dataprivacy https://t.co/Vkpcsi5LWE |
| 2020-12-05 | Hash Graphs and Bloom Filters algorithms Article: https://t.co/Q9GE2dMuQm Paper: https://t.co/8ogQwdOAjH Related code snippet: https://t.co/jyjsHY78O1 |
| 2020-12-05 | Antipodes map - tunnel virtually to the other side of the world https://t.co/wGfpdIvA2M |
| 2020-12-05 | McKinsey report on #AI https://t.co/CXD8wAUkUU https://t.co/QynnHBwpEw |
| 2020-12-05 | Dissertation - Machine Learning, Algo Trading and Deep Kalman filters https://t.co/kNbesIfaOn https://t.co/sPGWzSLm47 |
| 2020-12-05 | Cross—Asset order imbalance / #flow trading paper https://t.co/M1fAftM4di https://t.co/1cMXy8xJJD |
| 2020-12-05 | Synthetic Data #SDV - tabular and time-series using Python GitHub: https://t.co/GTXEbl27M4 Papers: https://t.co/FBYVeXKvXK Slack Workspace: https://t.co/LFD5eMGi4H |
| 2020-12-04 | Neural Prophet, a new, easy-to-use petrochemical based automl prediction tool for time-series in Python https://t.co/TTpQdeOFNT https://t.co/lQde7sGP4G |
| 2020-12-03 | @martingund Amazing #dataprivacy thread… |
| 2020-12-03 | Informativeness of features in a limit order book #lob model https://t.co/t4ybIavHtP https://t.co/Bnot3xoU3R |
| 2020-11-30 | Accenture on #NeoBank Marketplace Platforms https://t.co/umiKgV1fJj https://t.co/kcPaVkDg2N |
| 2020-11-30 | Digital Challenger Banks (in Asia) - Drivers and Success Factors - #BCG Report https://t.co/ZW0CTYEUcp https://t.co/0HESKocnZM |
| 2020-11-30 | Bias in effective bid-ask spread - #TCA research by @bjornhagstromer Summary: https://t.co/scGf4X0IlC Paper: https://t.co/bQjPmTLNGY #RStats code: https://t.co/LpY6fUQQFs https://t.co/5LFUs3x72v |
| 2020-11-30 | Liquidity #proxies - market and funding compare and contrast with other proxies • paper https://t.co/OHhw6chAwh #TCA https://t.co/p7sU4jwhFP |
| 2020-11-29 | Going from network based data to cleaned and featured rectangular data for machine learning classification and prediction is discussed in this #RStats post https://t.co/EUfUIIcd8A |
| 2020-11-29 | #TCA Paper models the price (market) impact of a bond trade on term structure of rates https://t.co/7atZltoDRd https://t.co/fsUbdknDYO |
| 2020-11-28 | Datification of work patents (Microsoft) https://t.co/OFdvrPWgZ9 |
| 2020-11-28 | Delta One Trading Strategy notes https://t.co/q6m04DThaW |
| 2020-11-28 | State Street update on ETF Trading volumes https://t.co/kXTKCDNELP #flow https://t.co/5YANrx7Hn0 |
| 2020-11-28 | SIFMA update on trading volumes https://t.co/kXTKCDNELP #flow https://t.co/OZta216dOw |
| 2020-11-28 | #WIRED opinion: “AI is best understood as a political and social ideology rather than as a basket of algorithms. The core of the ideology is that a suite of technologies, designed by a small technical elite, can and should become autonomous…†https://t.co/Xvc2qTA5WB |
| 2020-11-28 | Hummingbird - compiling ML Ops into DAG / Tensors for performance / efficiency </br> #ml Paper: https://t.co/IsrAK0u56z Python GitHub - Microsoft https://t.co/LlKTmpzjN8 https://t.co/37Baz94HcP |
| 2020-11-28 | Trading signals from a 4-state Markov-Switching model of bid-ask liquidity in limit order books - #lob #hft paper https://t.co/bIaJpu38PT https://t.co/1esSl1lwMO |
| 2020-11-27 | Quadratic Hawkes for #lob modeling - paper https://t.co/Net6at5mRJ https://t.co/qvLkLaTKBF |
| 2020-11-26 | Trading Volatility - Correlation, Term Structure and Skew (2014) #ebook https://t.co/sp14oebAED |
| 2020-11-25 | Partial Correlation Financial Networks are less stable but may be useful in some data explorations… Paper: https://t.co/DONLgC9xkn Python Github: https://t.co/uxCFzBJ1He #paperswithcode #reproducible https://t.co/08hP3YIufM |
| 2020-11-25 | Short Interest Surprise Paper https://t.co/oP2DjNnlkl #alpha #indicator #quant https://t.co/aSFyiheclL |
| 2020-11-25 | Paper compares up/down classification performance for Bitcoin using ARIMA, Prophet and other machine learning techniques and technical features - as you might expect, unremarkable results https://t.co/eUScAuQYop https://t.co/OfAiXyzxdv |
| 2020-11-25 | in this paper, volume dynamics for high-beta stocks around FOMC announcements are linked to discretionary liquidity trading resulting from the presence of private information. https://t.co/bqOLH667gk |
| 2020-11-25 | @WolfieChristl Interesting thread on worker datafication… |
| 2020-11-25 | Grinch Bots are all the rage https://t.co/sCjfptQLrL https://t.co/truzHGXx6R |
| 2020-11-24 | Physical intuition for time series analysis using springs in Regressions and PCA. #rstats https://t.co/ewVoBgu29g https://t.co/x8pBxgbcfL |
| 2020-11-24 | FinRL Toolkit for simple stock trading strategies using machine learning with Gym, TensorFlow and leverages Pyfolio for backtesting Paper: https://t.co/Fzs4GyTfD6 Python GitHub: https://t.co/943dtLJF9C Colab Notebooks: https://t.co/bDJvWLq4v5 https://t.co/iFDGEYa8kf https://t.co/PTVIIhuaGB |
| 2020-11-21 | Paper: option pricing using factor dynamics https://t.co/yYn3TTlqD1 https://t.co/uhSkhOjZfh |
| 2020-11-21 | Starboard Jupystar - run Jupyter notebooks in a browser (experimental) https://t.co/UwF2RCbyi9 https://t.co/TOh2IArwOb |
| 2020-11-20 | Python code to help Predict Stock Price Jumps https://t.co/D0whCwtu77 #anomaly |
| 2020-11-20 | Realized Volatility… https://t.co/fXtdEA8fXg https://t.co/y8TM5yGbL3 |
| 2020-11-20 | T5 - transfer learning in Colab notebooks Text-To-Text Transformer https://t.co/w4L3pIc5wr Text-To-GraphQL Transformer https://t.co/s0pt5DaFrp Summary Generation https://t.co/qGBWVe8ne5 Sentiment Span Expansion https://t.co/xyI39qp6Eh Original 🤗 https://t.co/MwXeymMvMT |
| 2020-11-19 | Closing auctions for stocks, imbalance and other liquidity and price measures - #TCA paper https://t.co/uGdSkPL1OJ https://t.co/MoTG5NH7DF |
| 2020-11-19 | AI in Finance | by @gilliantett in FT https://t.co/7HIHs6sNLb |
| 2020-11-19 | A good summary of off-exchange stock trading micro-structure and dynamics https://t.co/u6LmywJSDD |
| 2020-11-18 | Probabilistic model of NBA Draft Picks becoming Stars https://t.co/JuD0KhFEDb Other Bayesian / NBA / WNBA analytical posts: https://t.co/s6L1g0YQ8b .@jessefischer33 |
| 2020-11-18 | A course in Time Series Analysis #ebook https://t.co/NIreVt9PUL DWT, Fourier, Forecasts with finite pasts… |
| 2020-11-18 | What could possibly go wrong? https://t.co/vQyrAL5CHJ https://t.co/WAzgyRyuNi |
| 2020-11-17 | Correlation dynamics paper #BCBS https://t.co/fr5ws1SZbK https://t.co/d8VIIc25oe |
| 2020-11-17 | 3,775 page 1.2M word hyperlinked so-called Basketball Manifesto - NBA, G-League https://t.co/ApgXRM74Z7 |
| 2020-11-17 | Google’s Monarch - ‘Monarch is a planet-scale, multi-tenant in-memory time series database that manages trillions of time series.’ VLDB Paper https://t.co/rt78IExJuN https://t.co/TLvyDipSY6 |
| 2020-11-17 | Kaggle Jupyter Notebook Stock EDA and Price Prediction https://t.co/9sOszrqurA https://t.co/OfHkBaP9Ne |
| 2020-11-15 | Liquidity dynamics before stock price jumps - #ml classification paper https://t.co/urjPWv7gKN https://t.co/9yiggYn0WX |
| 2020-11-12 | Covid-19 Event Risk Calculator https://t.co/F3fAvjpVwy |
| 2020-11-12 | Corporate resiliency to Covid-19 modeled in this Refinitiv Starmine post https://t.co/AlFT2pvGJh |
| 2020-11-12 | “A high Sharpe ratio is a simulacrum of success. Yet what gets measured may have no relationship to what we really want to know. We have become the tool of our tool." https://t.co/rwPNzlILFv |
| 2020-11-11 | Bitcoin supply / distribution flows analysis https://t.co/LPsBIdgn26 https://t.co/11gPukyZOL |
| 2020-11-11 | HBR - a short perspective on Data Trusts and their potential impact on IoT and AI https://t.co/jsLNX9vwAp |
| 2020-11-10 | Quantine Factor Models - for capturing higher dimensionality - paper https://t.co/ok99r59abU |
| 2020-11-10 | Modeling Letters of Credit Risk - paper https://t.co/XUJ6LXTyPe https://t.co/I9TegIJ6dT |
| 2020-11-10 | Thoughtful insights around Kraken, a Crypto SPDI-chartered Neobank - Risks abound https://t.co/rl46jPk17K |
| 2020-11-10 | State-Varying Factor Models - paper with measures of state changes https://t.co/LPUTJ5ypbs https://t.co/FI5plrQg7S |
| 2020-11-10 | Tick data with directional change based on threshold breech - short paper describes the method https://t.co/dbsD2xnAyF https://t.co/54MR3BZu1R |
| 2020-11-09 | Hmmm. Kew Gardens Interchange project - ongoing since August 18, 2010 https://t.co/Qq0u93nqWf Vs a similar weekend highway construction project in the Netherlands https://t.co/R9iqxOaDsR https://t.co/tAbqPdNlvZ |
| 2020-11-09 | Survival Analysis applied to NBA Draft Shiny App: https://t.co/5iPoCb69jn Python / GitHub: https://t.co/UXYYkDQJSo |
| 2020-11-07 | Excellent interactive #dataviz and coronavirus stats for Long Island - comparisons with NYC, employment and other impact, with town, county aggregations #newsday https://t.co/4PC9zFa610 |
| 2020-11-07 | Very cool and timely interactive radial decision tree #dataviz in javascript by @kerryrodden https://t.co/7wxJoERbsK https://t.co/qznQnTf6eb |
| 2020-11-07 | Deep Momentum Networks – ‘a hybrid class of deep learning models which retain the volatility scaling framework of time series momentum strategies while using deep neural networks to output position targeting trading signals.’ https://t.co/mY5rQU6JvW |
| 2020-11-04 | Ktrain - New tensor flow / Python wrapper with pre-canned models for text, vision, graph, and tabular data: https://t.co/mhVmi7pFum https://t.co/RsifVxUZzj |
| 2020-11-04 | Data Markets Paper https://t.co/STP9D4GB4A https://t.co/dATDfSpJCW |
| 2020-11-03 | Hmmm. https://t.co/gwoi2VyqvH |
| 2020-11-02 | ETF #flow and returns analysis deconstructed - report https://t.co/aL6WxDQYle |
| 2020-11-02 | ETF Pairs Trading paper https://t.co/jYQnSjQNZh https://t.co/Wlv6SFJdtc |
| 2020-11-02 | Deep Q - optimal FX rule-based trading using candles https://t.co/NOZRkEO4rj https://t.co/brmbQBxUCt |
| 2020-11-02 | Election night prediction models with R #rstats or Python code Original R source: https://t.co/QjWNVENYmJ Python variant: https://t.co/Xuglwe5Fjp |
| 2020-11-02 | Information Share high frequency trading price distribution metrics proposed - DAG-IS and IC-IS https://t.co/ltzEyeisJc https://t.co/uNrrlafxEK |
| 2020-11-02 | Genesis, and their crypto lending business profiled… https://t.co/0pPQYlBcpL |
| 2020-10-31 | Using EAI to detect COVID-19 assumption attic cases by clues embedded in the way those infected cough https://t.co/SSU2Hzggyd |
| 2020-10-31 | Measuring digital strategy from earnings calls - #NLP paper https://t.co/wpcCMkdmZp https://t.co/BOMqj3f022 |
| 2020-10-29 | Gdynia is a beautiful, vibrant city in Poland and a key talent hub for Refinitiv. If you know markets and Python and want to drive the next generation of financial applications in Gdynia, please don’t hesitate to apply: https://t.co/Wfaw1P3CjT |
| 2020-10-29 | Lobe A low-code #AI modeling framework - predictions and classifications with no code or minimal code No-code UI: https://t.co/P7GF0qWM81 Minimal Python code; https://t.co/UTSCFEM0EY |
| 2020-10-29 | Agent based supply-chain management #SCM modeled in this paper https://t.co/6szWYJKeHS https://t.co/hFW9KPHUd5 |
| 2020-10-29 | Deep Q - optimal TWAP trading using reinforcement learning - algorithmic trading paper https://t.co/LCOBx6Vo91 https://t.co/D41mQbWruz |
| 2020-10-28 | AI, Covid19 and the decline of human labor… https://t.co/YTbqIWZHSO |
| 2020-10-27 | Washington Post article on a coterie of infomediaries: Aristotle, Data Trust, Cambridge Analytica and Facebook and how they data mine for political skews and message targeting https://t.co/W8qefvdbG9 |
| 2020-10-27 | Dividends and Pandemics - paper https://t.co/yEmki80SmK https://t.co/cuIXSKsPai |
| 2020-10-25 | Daniel Masters opines on Crypto, Stablecoins, Coin (securities) financing and future of Banking https://t.co/9OxU9Pu7qZ |
| 2020-10-24 | AutoGOAL is a Python framework for Automated Machine Learning pre-packaged with hundreds of low-level machine learning algorithms that can be automatically assembled into pipelines for different problems. https://t.co/s44mEaZICI #ml #automl https://t.co/ibgkTHJYpw |
| 2020-10-23 | Insightful analysis on Google vs US incorporating political motivations https://t.co/JsVluVMRGv |
| 2020-10-23 | US vs Google - in Stratechery https://t.co/oEDxsfeTDw |
| 2020-10-22 | Technical Quality in Code https://t.co/UQagKGvkfT |
| 2020-10-21 | FT on commercial impact of AI https://t.co/00Ua6IepPQ https://t.co/YvhUVRxciR |
| 2020-10-20 | Paper analyzes incremental benefit of including Twitter sentiment with other features/signals in a Kaggle trading competition https://t.co/HyfheMwZtw |
| 2020-10-20 | Continuous Trend Label (CTL) for stock price classification - #ml paper https://t.co/TSOEWsLzDW https://t.co/6iUvbEdmjf |
| 2020-10-19 | Epps effects, high frequency trading asynchrony paper Malliavin-Mancino estimator https://t.co/TF60lMy9gT #hft https://t.co/isn49FKnFh |
| 2020-10-18 | Emerging Architectures for Modern Data Infrastructure by Andreessen Horowitz Diagrams: https://t.co/sUXMhiJ6WA Article: https://t.co/wReWSXYm1X |
| 2020-10-17 | Predictions using LSTM applied to features extracted from crypto trade data https://t.co/KqLA74QPG3 https://t.co/VmzM5Z9gov |
| 2020-10-16 | Reversal returns analysis across emerging markets - paper https://t.co/dHALFK9Uuf https://t.co/eUec4D224x |
| 2020-10-11 | Platform Liquidity https://t.co/fPkrBsVHKV |
| 2020-10-10 | The science behind face mask protection #covid19 https://t.co/hOvMTER8Sj |
| 2020-10-10 | Simple directional change risk measures for intraday-day trading - paper https://t.co/Zb7jhLg33D https://t.co/D4q8YCIID8 |
| 2020-10-10 | ML Primer #ebook https://t.co/wyXIavX3HL |
| 2020-10-10 | Analyzing various optimizer characteristics and their performance for deep learning is the subject of this paper https://t.co/EUUUJPlJwe https://t.co/KLQqxcLE2H |
| 2020-10-10 | @indika1337 @QuantRob LoL! |
| 2020-10-09 | Companies in Data infrastructure, Data Engineering, Data Warehouses and Data ML: https://t.co/8GzlmQELv2 https://t.co/tG5ujRzmy5 |
| 2020-10-09 | Crypto deep learning based limit order book model #lob paper https://t.co/mjFvA4Ze1Q https://t.co/6e0k1oQiHq |
| 2020-10-09 | Modeling the dark side of stock exchange speed bumps https://t.co/SKWKYCTALG #TCA market microstructure https://t.co/eNLowLOH1v |
| 2020-10-09 | Hmmmm. Mmhmm. https://t.co/XuqsnHjeia |
| 2020-10-08 | Financial Services Outlook report by PWC https://t.co/1HQVkRvrv2 https://t.co/jSjCSxYxc3 |
| 2020-10-08 | Futures and Options index trading with LSTM and Kelly criterion https://t.co/BfCjMjhlne https://t.co/YI9yOXJYtF |
| 2020-10-08 | Capco report on robot process innovation #RPI and trade lifecycle automation https://t.co/XdsVxBw231 https://t.co/PTKhGe8Grk |
| 2020-10-06 | Using Wasserstein distance with other stylized facts to isolate spoofing behavior in institutional trading - paper https://t.co/85VhuSqJ1O #lob https://t.co/OgUM6EIYHp |
| 2020-10-05 | Mlfinlab 0.14 released with #Synthetic Data generation https://t.co/kuHGbplZlt https://t.co/OL5svSCRvB |
| 2020-10-04 | CausalImpact in R: Bayesian inference of time series Google #rstats Library Medium article: https://t.co/N1cR6JS7jF Google Github: https://t.co/Uvuy9ANBiJ |
| 2020-10-03 | VIX vs EPU to predict international stock volatility - paper https://t.co/gJ8Lo0aPyk https://t.co/kBIhxeQyxn |
| 2020-10-03 | MovingPandas #geo Python library https://t.co/pXX6szJta3 https://t.co/BWqSzEmje8 |
| 2020-10-03 | Paper on DEX Automated Market Making #AMM #DeFi #Crypto attack vectors discussed: rushing adversary, sandwich attacks, multiple threats https://t.co/dbY0pXQQUR https://t.co/K5Iih3Ozcx |
| 2020-10-03 | CLI machine learning tool - train/fit, evaluate and use models without writing code. Instead, provide declarative descriptions in a simple yaml file. https://t.co/Hczmt1O9tW #Python https://t.co/mujVgp91te |
| 2020-10-03 | #HFT Dissertation High Frequency Computerized Trading Strategies Engineering in Financial Markets https://t.co/4hv9Pqmgub https://t.co/y2Bm1nxhCo |
| 2020-09-28 | QLib - by Microsoft Research Investment Platform based on #AI principles Paper: https://t.co/iB3WWP9eyk GitHub: https://t.co/ezpuzlJfiw https://t.co/2uBsOduGrH |
| 2020-09-28 | When is a FAMA factor not a factor after all? https://t.co/Uv7m68iNY2 |
| 2020-09-28 | FinancePy library for derivatives pricing using Python and Numba by EDHEC Professor. https://t.co/FsZeDOr8KA |
| 2020-09-27 | PDE, functional deep-learning approach to optimal trading in the presence of aversion to market impact - paper https://t.co/NN694Y6ji0 #TCA https://t.co/1DAdepDZ4k |
| 2020-09-27 | Synthetic, Bayesian time series generation GitHub: https://t.co/Z8b8hbajsN Paper: https://t.co/eKgMKZ755d Article: https://t.co/RUWRISepxp |
| 2020-09-27 | TSAUG - time series feature augmentation - warping, quantizing,… https://t.co/IEsvNk2JlG #audio https://t.co/v7EroIaz0o |
| 2020-09-27 | Monetizing an open-source core - startup cap-table implied valuation https://t.co/5jHy5WuurX https://t.co/RviScJgXNq |
| 2020-09-26 | Several Venture Capital Funds list their startup focus lists https://t.co/LlwWvZRdoe |
| 2020-09-26 | Autograd for differentiable programming in Python https://t.co/41OHEpHnYv |
| 2020-09-25 | Outliers can be defined in many ways from the super-simple time-series z-scores to market-shifts using machine learning - this paper: https://t.co/N2H6paswrw https://t.co/6pjP2yxrgf |
| 2020-09-25 | Automated, algorithmic Governance for DeFi - profile of Gauntlet Networks https://t.co/RoUBcPfOsE #crypto |
| 2020-09-25 | Boba, an open-source Python based analytics platform for multi-verse visualization, creation and comparison of analytics [Ironically, Boba means simple-minded in Spanish] Paper: https://t.co/IiwpVQMgwj Github: https://t.co/h8gh7tfg12 https://t.co/I0zou3BpBx |
| 2020-09-25 | Just a few questions… https://t.co/pVcmyzWNVr |
| 2020-09-25 | Hmmm. https://t.co/lFd2PWij6K |
| 2020-09-25 | #Crypto bid-ask spreads as a (albeit, weak) proxy for #Liquidity #BAS https://t.co/Y5wEEWrsjD https://t.co/qyRy4HhsHX |
| 2020-09-25 | Pricing #Crypto Options using stochastic volatility with humps and intra-day data https://t.co/KqxakXnV4m https://t.co/0VqbPP8zwu |
| 2020-09-25 | Neural Architecture Search #NAS and #AI code generation https://t.co/61CSWAtS9K https://t.co/5HyJoQBr3w |
| 2020-09-24 | The title of the HBR article on next gen AI does not cover the embedded article point that new AI trained algorithms like ‘GPT-3 can also code’ as a byproduct of being trained on code too, albeit in limited ways. https://t.co/jnsYxL89GU |
| 2020-09-23 | Optimal Execution and market impact vs risk dynamics of trading electricity intraday, along with median bid ask spreads #BAS and #LOB discretization Commodity #TCA Paper https://t.co/5wDs5jLjpk https://t.co/Fhfnrj83He |
| 2020-09-21 | McFly - automated deep learning time-series classifications Paper: https://t.co/oVKIynS9KM GitHub: https://t.co/ONwGW8FxjV https://t.co/AEcioxxpXv |
| 2020-09-20 | Prefect for Pythonic automation of data science flows and aggregations Article: https://t.co/brHEbyvby2 GitHub: https://t.co/iOWewZCQNE |
| 2020-09-20 | “Just The Maths” Massive collection of concise PDF files on every major math topic https://t.co/31jwA3IMPa https://t.co/r4HhHHTZHR |
| 2020-09-20 | Financial Transactions Taxes | Cato Institute opines https://t.co/dYy2lF1xp5 |
| 2020-09-19 | TensorFlow Probability With Lending Club data To model distributions of outcomes and R code #rstats https://t.co/bJlfJQ5wo2 |
| 2020-09-19 | Network structures of cryptocurrency open source projects - paper https://t.co/nTKs6WWAH6 https://t.co/CjthxCeUSx |
| 2020-09-19 | Deep-Switching Autoregressive framework (DSARF) for Bayesian Networks applied to time-series - paper discusses a deep generative model for spatio-temporal data with the capability to unravel recurring patterns Paper: https://t.co/lKQH20VALd Python code: https://t.co/WrWo85m21R https://t.co/ZeTg3atgxw |
| 2020-09-18 | Optimal Execution (mean reversion) using mlfinlab Article: https://t.co/UQwSnL6VSk And https://t.co/eTLY7RfQUu Mlfinlab Python Github: https://t.co/kuHGbplZlt https://t.co/DPLIQ5GgWF |
| 2020-09-18 | McKinsey on Covid impact on FinTech - European vs Global focus - report https://t.co/95gyeybnpK https://t.co/UpUKTWXnKL |
| 2020-09-18 | Covid impact on various FinTech subsectors charted by a16z https://t.co/ZyZStAtkHz |
| 2020-09-17 | Billionaire investor Ray Dalio on capitalism’s crisis: The world is going to change ‘in shocking ways’ in the next five years “Capitalism also produces large wealth gaps that produce opportunity gaps, which threaten the system,†https://t.co/05Dr7a8mpo |
| 2020-09-17 | Numpy gets props in Nature Magazine https://t.co/hfO7I3n6W6 #Python https://t.co/In9oldlVZX |
| 2020-09-16 | And so it begins… https://t.co/9S3Vp6S0Rw |
| 2020-09-16 | Google Colabs, Python, a little GAN and … Shazam, Toonification https://t.co/AEtVFkR9G8 https://t.co/lxZgWXBkQ1 |
| 2020-09-16 | IPOs vs SPACs vs Direct Listings profiled here https://t.co/4HnTKKmMDf https://t.co/eSHcKYQtet |
| 2020-09-16 | Kraken is launching a crypto bank in Wyoming with the ability to perform limited banking functions such as wire transfers. https://t.co/mIjrDvwSQo |
| 2020-09-16 | NBA Fans who are data science believers will love this new web app https://t.co/sZLXAlsKnx https://t.co/y3EnsntT1Q |
| 2020-09-16 | Crypto paper - market microstructure - 24/7 trading, decentralized, facilitating traders are not essential, and microstructure stylized facts https://t.co/U0XKXQOuGC |
| 2020-09-16 | Data Science Podcasts and the embedded Python code used to find them in this blog post https://t.co/vrFtODmjR3 |
| 2020-09-14 | Peak Oil?! https://t.co/E5nPiBeWTR |
| 2020-09-14 | AutoTS for Python based time-series model selection is a meta- abstraction above several other popular time series tools Github: https://t.co/0cm8hGq2I1 Article: https://t.co/dzS6vcl5TH https://t.co/ElUogJl5o3 |
| 2020-09-13 | COMmonsEnse Transformers (COMET)Â in Python with Datasets - automatic commonsense knowledge base completion #NLP #Graph Paper: https://t.co/3utn2UdfiW Github: https://t.co/B5Vc9ujdgA #Tensorflow #Spacy |
| 2020-09-13 | Forensic Genomics - ‘Parabon says it can now sequence enough SNPs to trace family history and build a face with less than 1 nanogram of DNA.' https://t.co/URpgjL0C9s https://t.co/qlo5LJhveR |
| 2020-09-13 | JPMorgan will be Trading Pre-IPO unicorn shares https://t.co/550fVoqE8A |
| 2020-09-13 | Hacking physical tumbler locks by mapping the sound the key makes when it is inserted to a predicted replica. https://t.co/K1hglUkcJv #cybersecurity https://t.co/xB3oAjD6MH |
| 2020-09-12 | Defragmenting dataframes and tensors and the complex ecosystems that support them is an enormous challenge…. https://t.co/ncUSNr8nUO |
| 2020-09-12 | Tensor factorization for correlation of stocks The static components represent the stock covariances in the latent space. These factors give information on the linkages between stocks and its magnitude. Hidden Correlation Matrix #HCM - paper https://t.co/FlQcEaRHRD https://t.co/Kc0ASlgjfd |
| 2020-09-12 | Liquidity formula for exchange traded stocks differentiates buy and sell dynamics - paper https://t.co/SuCO6YMKrv https://t.co/FRzcBGlyLh |
| 2020-09-12 | Futures momentum papers Leveraged, ETF and equity, commodity and other futures https://t.co/bCNQWHqZjC https://t.co/x5ggJdVDsC |
| 2020-09-12 | China stocks and investor behavior - sentiment, liquidity and information signals https://t.co/orz9y5VTGp https://t.co/ZGiwRe9LJG |
| 2020-09-12 | #TCA for stocks is explored in this paper with conventional and alternate parametric curve-fit market impact modeling (eg not using machine or deep learning) https://t.co/L4m7cuG9mo https://t.co/ONQodPeffr |
| 2020-09-12 | Pandas is not optimized for many use cases - real-time streaming, machine-learning sequence mapping machine learning, grid editing, massive in memory datasets, but with over 3k documented pages of features - it is still the first go-to tool https://t.co/1ZgfT21yrb https://t.co/meFcm4cyvj |
| 2020-09-12 | #FX #Liquidity risk paper https://t.co/mzrjqypugu https://t.co/s2YdrTahkK |
| 2020-09-12 | Intraday dynamics of #Cryptos - seasonality, volatility, algorithmic trading dynamics https://t.co/U0XKXQOuGC https://t.co/76qCrtjoo5 |
| 2020-09-12 | Opacus - PyTorch model training with differential privacy https://t.co/NUv1ICJnJP https://t.co/JUQymjIo7g |
| 2020-09-12 | Agent based #lob limit order book model with informed trader, noise trader, informed market makers and noise market makers - paper https://t.co/LW0uPCL7Zt https://t.co/uqvCLKVqtG |
| 2020-09-12 | Portfolio trading risk open source Python in #eiten https://t.co/2645mPDvXK https://t.co/frLkk8kkNo |
| 2020-09-11 | Pytorch Lightning based Bolts is just released to subclass and iterate on using Python Bolts is a Deep learning research and production toolbox of: - SOTA pretrained models. - Model components. - Callbacks. - Losses. - Datasets. https://t.co/rCLJ6iAni6 https://t.co/5hS4CEuJUZ |
| 2020-09-11 | The ‘office economy’ and innovations that will accelerate its disruption https://t.co/VXOUGMa7IZ |
| 2020-09-10 | Slobalization and Multipolarity are two Morgan Stanley predicted outcomes for post Covid19 world order https://t.co/MqDhpeUMar |
| 2020-09-10 | Good short intro to #PyTorch for data science in Python https://t.co/4nGYFVqNSa |
| 2020-09-10 | Curated #Covid19 Tweets https://t.co/RyayzYCtec https://t.co/99dcSgwo7a |
| 2020-09-10 | News content analytics project #Stanford #TV #News #Analyzer https://t.co/dCvHhd74Fk https://t.co/GUDYJ4UyDB |
| 2020-09-08 | @StarTrek @CBSAllAccess We Khannnn appreciate #StarTrekDay especially when #StarTrekUnitedGives https://t.co/hNhhWwddxm |
| 2020-09-08 | @StarTrek @CBSAllAccess Live long and prosper 🖖 by following social distancing protocols - Love #StarTrekDay https://t.co/PjAi7k6GIn |
| 2020-09-08 | VC funding for startups analyzed with machine learning techniques - #XGBoost - paper https://t.co/umYT0w9FAv https://t.co/26p71ptahP |
| 2020-09-07 | Dissertation on time-series changepoint techniques https://t.co/avOC3GFazt https://t.co/QAiY9BQ18W |
| 2020-09-07 | Modeling extreme adverse stock price moves - paper https://t.co/ewKkSqfqYs https://t.co/3rzQnPgfH5 |
| 2020-09-07 | A Course in Time Series Analysis #ebook https://t.co/NIreVt9PUL https://t.co/FzuPnPLwRM |
| 2020-09-07 | Liquidity depth and spread factor risk, currency betas and FX returns empirically analyzed in this paper https://t.co/mzrjqypugu |
| 2020-09-07 | Simple analytical approximations for options algorithmic market making #AMM and delta-one inventory / risk management - paper https://t.co/QFZeyxjEyZ https://t.co/ygpNwvmik0 |
| 2020-09-07 | Time series imaging and #ml feature engineering - paper https://t.co/ZyAz2GFBv4 https://t.co/i8ZcW6TG8O |
| 2020-09-04 | Supercomputers, #Covid19 and the Bradykinin hypothesis https://t.co/uc96AdJ9Dl |
| 2020-09-02 | Liquidity adjusted VaR for China Index futures and other liquidity measures paper https://t.co/eBAwcVDzSQ https://t.co/4touIzOhrQ |
| 2020-09-02 | Quantum OS | profiled in FT https://t.co/zuz1fMOuiH https://t.co/40RM5vGC3j |
| 2020-09-02 | Implosion of the office economy… Article: https://t.co/exYEUx59LF Related Paper: https://t.co/L7wQ3P0unB |
| 2020-09-01 | Brilliant interactive #Dataviz in NYT of election battleground states https://t.co/ql7yLk8YOt |
| 2020-09-01 | Network latency and impact on high frequency trading agents are modeled in this paper https://t.co/jpGhcLHAiP #hft https://t.co/mt1uTfidYa |
| 2020-09-01 | Trading Algorithm Optimizer called TradAO described in this paper https://t.co/riqwN1WsvW https://t.co/lkQPvpjFxa |
| 2020-08-30 | Useful tips to optimize Python pandas code - performance and resource metrics, vectorization https://t.co/yGWGPrRiy1 There are, of course alternatives to Pandas - vaex and pandapy https://t.co/J1HYF61ffI that come in with built-in optimizations for #BigData and #Smalldata |
| 2020-08-29 | The Joy of Cryptography #ebook https://t.co/FTTavlZlFe https://t.co/ShePA7zNoE |
| 2020-08-29 | ‘the effective bid-ask spread, dramatically underestimates the true cost of immediacy because it does not account for failed attempts to trade [CLOs].’ #liquidity #tca https://t.co/Op49htaH4b |
| 2020-08-29 | Refinitiv’s Social Media Top 100 list https://t.co/SEmJpNTzUj |
| 2020-08-29 | Twitter content, google search volume, news #flow, volume volatility and decomposition and stock index pricing - paper with embedded Matlab code https://t.co/uCsG1nFIHj https://t.co/R8pxlcRk3b |
| 2020-08-28 | Dynamic term structure models with time-dependent parameters using parsimonious parametric representations https://t.co/LYhMoD31dx https://t.co/0FCvDDWm7s |
| 2020-08-27 | Machine learning for factor investing #ebook with tidy #rstats code explores topics such as portfolio back testing and ensemble methods https://t.co/k294jqST8p https://t.co/ba0LV0vq2Q |
| 2020-08-27 | Bond liquidity and synchronized returns modeled in this paper https://t.co/WkmZkeUX2y #tca #amihud https://t.co/aOm2vckFk6 |
| 2020-08-27 | Paper models liquidity across asset classes in a consistent way https://t.co/azCF3G2Hid #tca https://t.co/RnJ1h14WMY |
| 2020-08-26 | JP Morgan provides a glimpse of emerging part-time WFH strategy and impact on backup office sites and other anticipated commercial real-estate saves https://t.co/2faVbEfWAW |
| 2020-08-26 | FT on fixed income ETFs https://t.co/FeI8EE40qH https://t.co/RIYjvNq45X |
| 2020-08-26 | A simulation-and-regression method for solving portfolio allocation problems with general transaction costs, temporary liquidity costs and permanent market impacts - #TCA and #OptimalTrading paper https://t.co/1OLTOw7ceT https://t.co/zUtfSDzJtK |
| 2020-08-26 | Stock market clock synchronization, drift and uncertainty explained in this short paper https://t.co/mP1mqw334L https://t.co/p8pClmFNMa |
| 2020-08-26 | ESG aggregate #Flow https://t.co/llky304Ddi https://t.co/wNKXYpgXTc |
| 2020-08-26 | A practitioner perspective on acceleration of AI #GPT3 #GAN #ML https://t.co/qJq4j2QCdk |
| 2020-08-25 | @risingodegua Budding ecosystem for Javascript contained in a Jupyter notebook-like environment https://t.co/yucqgNKNJ7 along with data structures for Tensorflow and data management here: https://t.co/y1bl8WHeYo Shoutout to @risingodegua |
| 2020-08-25 | Re: FinTech Digitized Disruption “The biggest impact of digital account opening was significantly lowering the cost of origination, which unlocked the ability to create entirely new digital lending products." https://t.co/W6yqNtvARF |
| 2020-08-25 | JPMorgan divests Quorum to ConsenSys https://t.co/NwT4v7SSSU #blockchain #Codefi |
| 2020-08-25 | Evolutionary states of stock prices captured in graphs and a GNN model -EvoNet described in this paper #anomaly detection https://t.co/Sti0dk0M1O https://t.co/AzZ07ygaze |
| 2020-08-25 | WFH Dynamics explored https://t.co/UypMZYzzuW https://t.co/uyTe3g6QM9 |
| 2020-08-25 | Handcalcs - auto rendering of Python formulas in Jupyter https://t.co/Jcq9S2Iyl8 https://t.co/lXJcdSLIhy |
| 2020-08-25 | A Stopped Scaled Brownian Bridge Model for Futures-Spot Basis Trading explored in this short article (with reference links to papers on basis trading) https://t.co/McPRfA4von |
| 2020-08-24 | Much ado about Macro https://t.co/yQz4Qu5pOt https://t.co/nwlUWoavTr |
| 2020-08-23 | #AI Overhang? #GPT3 https://t.co/9UGMnK4Bi7 |
| 2020-08-22 | And this related post in streamlit in google #colab https://t.co/9HVm6E5Wfn |
| 2020-08-22 | Using streamlit on Google #Colab hack https://t.co/7BObVtdV11 https://t.co/TTHgkGzWDp |
| 2020-08-22 | Thought provoking essay on the future of decentralized #work https://t.co/JRlkwLpAFv |
| 2020-08-22 | #NLP applied to Crude oil price prediction - paper #topicintensity #sentiment https://t.co/tbHrNFLZgy Related #SeaNMF Python code for short text topic modeling https://t.co/O9nITt4Q85 #WTI https://t.co/agZ86kQssD |
| 2020-08-21 | Trading polarity, market emotion and other analytical imbalance measures profiled in this paper (stock market in China) https://t.co/UX30IgL6dn https://t.co/3RN3ZKDxTT |
| 2020-08-18 | ‘information contained in the first earnings announcement in an industry generates new information for the industry and this information affects peer firms in the same industry.’ - alas, older data set #anomaly stock https://t.co/p4CAi4no9o https://t.co/5WgJ6YIOr5 |
| 2020-08-18 | Noisy stock price time series, CNNs and Discrete Wave Transforms to refine signals - paper https://t.co/bwiACakAti https://t.co/yqIjKgojyS |
| 2020-08-18 | #Liquidity dynamics and jump measures for stocks - paper https://t.co/FeEhhr1yim https://t.co/krAL29gcKW |
| 2020-08-17 | Hmmm. USPS 47 page patent application for blockchain based voting system https://t.co/aOHgr8mUeC |
| 2020-08-17 | AI-powered hedge funds have outpaced average hedge fund returns by 3x https://t.co/dXam1jZNMS |
| 2020-08-16 | Key challenges in using machine learning for trading surveillance (e.g. bias, black box, unstructured communications) - FMSB report https://t.co/nCy3vlJzB3 |
| 2020-08-16 | When value investing is short disruption and sector definitions become obsolete, you entered the new reality zone - short blog post https://t.co/7rrDVuCI56 https://t.co/TNmLxjC1GE |
| 2020-08-16 | Build publication quality books with Jupyter notebooks (with online interactive notebooks) using just markdown, Python and a minimal CLI. https://t.co/nV40O2IT1K https://t.co/rsz9moseD4 |
| 2020-08-15 | Latest portfolio optimization papers analyzed… https://t.co/Rp6oTw6C6f https://t.co/dfZ3zTYGhh |
| 2020-08-15 | The relationship between COVID-19 micro blogger sentiment and trading costs for ASX stocks - #tca paper https://t.co/AL00LMvOcQ https://t.co/EkDrPAFfhK |
| 2020-08-15 | Trading optimization for portfolios integrating trading costs and other features: #ml #tca paper https://t.co/1OLTOw7ceT https://t.co/DsRLvOwypD |
| 2020-08-15 | Deep learning based models of limit order books #lob paper https://t.co/9bnySu3CB0 https://t.co/GtG7o1pN1g |
| 2020-08-15 | Paper analyzes trade size impact in information in high frequency trading using (older) NASDAQ #HFT Data Set https://t.co/AzjWi7GRte |
| 2020-08-12 | Macro-factors and realized volatility network analysis in commodities - paper https://t.co/eK3uAegzga https://t.co/NW1jBN43sq |
| 2020-08-10 | Seasonality modeling on time-series using DE4S discussed in this paper: https://t.co/UVS8bOf2nk And coded in Python here: https://t.co/NPsyQnLcCu https://t.co/nRUKZFqw9W |
| 2020-08-09 | Machine learning based credit scoring - #ml paper https://t.co/gfyPRkk0vA https://t.co/QsHpQEj6cz |
| 2020-08-09 | Dark Pools, execution optimization and quantitative finance - paper https://t.co/3Es2iUnDbV https://t.co/1SBlJg5NaA |
| 2020-08-08 | #GPT-3 authored roast / poem on Elon Musk in the style of Dr. Seuss https://t.co/Kq3NvhpLBT https://t.co/cVssE4g6y7 |
| 2020-08-07 | Reinforcement Learning abstracting away differences between TensorFlow and PyTorch https://t.co/7zYODUQmGI #ml #Python https://t.co/5l3gkxZEDs |
| 2020-08-07 | Stratechery opines on TikTok https://t.co/RkuC8Gf9Mu |
| 2020-08-06 | NLP, News and graphical interrelatedness using Python - article https://t.co/Hoh4xHVUUG https://t.co/EkCVem9AzC |
| 2020-08-06 | Glass will be half-empty - #weforum https://t.co/TONGG8niLp https://t.co/sU2zlVxBQS |
| 2020-08-05 | LinkedIn open sources DeText - a Deep Text understanding framework for #NLP based ranking, classification, and language generation. https://t.co/cww7rEtgaS |
| 2020-08-05 | Road blocked, trees blocking access, power lines down, no electricity, no stove, no wifi, no AC, battery draining, Maybe a good day for a BBQ and a good book https://t.co/xkKJalTCGG |
| 2020-08-04 | @paulportesi @metadiogenes Thanks PAUL |
| 2020-08-04 | @metadiogenes @paulportesi https://t.co/4LJVvDTU5p |
| 2020-08-04 | @metadiogenes @paulportesi https://t.co/Im7n4tZdIL |
| 2020-08-04 | Survey of FX price prediction machine learning methods https://t.co/8iUPYyxyyO https://t.co/YjZXvyrN2w |
| 2020-08-04 | Paper analyzes the linkage between liquidity and spread indicators and COVID-19 sentiment for ASX listed stocks https://t.co/8iUPYyxyyO https://t.co/BMtPhuOpdY |
| 2020-08-04 | Paper on machine learning and cryptocurrency valuation https://t.co/8iUPYyxyyO https://t.co/3ilre3k6bv |
| 2020-08-04 | FMSB and impact of machine learning in FICC - report https://t.co/bQR5cS7FIW |
| 2020-08-03 | Broad analysis of FX Algo Trading in USD/JPY https://t.co/4zEgPdFDml https://t.co/ZI7M8Fuq0x |
| 2020-08-02 | “Patents are an excellent proxy for innovation and patent portfolios are essential for competing in fast-growing new markets." https://t.co/0UEuA8J30d https://t.co/oL0wRQ6DyG |
| 2020-08-01 | GPT-3 and a glimpse of the future of AI https://t.co/BUtptaTdhR |
| 2020-08-01 | Dirac Delta and its use to derive a closed-form model-free option implied volatilities - paper https://t.co/QynmGn0icu |
| 2020-08-01 | Paper models an exponentially risk-averse (or risk-neutral) inside trader who faces a transaction cost per share that is proportional to the size of the order. https://t.co/m2s8c6tXj1 #TCA https://t.co/lkgkKoBOa6 |
| 2020-07-30 | Fragmentation in US stocks analysis by NASDAQ research https://t.co/cPJPMm8Irf https://t.co/KR8exjmC29 |
| 2020-07-30 | EC suspends obligations to produce (mostly unread) Best-Ex reports #MiFIDII https://t.co/fkxDeezBT1 |
| 2020-07-30 | GPT-3 in pictures and GIFs https://t.co/VGGevt42ht https://t.co/zCA60InM1A |
| 2020-07-30 | Unified time-series prediction using HCrystalBall Source: https://t.co/sQYk5qyo1e Article: https://t.co/CdKBRU51ck |
| 2020-07-30 | Open source Cornavirus vaccine https://t.co/fU2CwKnfuY https://t.co/Foa2MngDDF https://t.co/ryL32czYRn |
| 2020-07-29 | Time-series modeling using Seasonal ARIMA model (SARIMA) tutorial https://t.co/DfYqo2srxO |
| 2020-07-29 | NBA skills as a market https://t.co/YL7AIJqEib https://t.co/favDlpMXGx |
| 2020-07-26 | Fixed income basis trade dynamics - post COVID-19 https://t.co/9YxLVQx1sd https://t.co/6AaqKxaXhl |
| 2020-07-26 | Atspy - automl for time-series in Python - as easy as AutomatedModel(df) https://t.co/I5sNZAJgRO https://t.co/P4KNkvHecw |
| 2020-07-26 | Jupyter, Python, Bayesian and Kalman filters https://t.co/t12rqZtdyS https://t.co/QXufpT4S97 |
| 2020-07-26 | Kalman filters, in pictures https://t.co/ZXGhmbAokZ https://t.co/QKwGyYH25n |
| 2020-07-24 | PyGLN: Gated Linear Network implementations for NumPy, PyTorch, TensorFlow and JAX Source: https://t.co/3TplzjG9y9 Deepmind paper: https://t.co/9vuu7phq9x https://t.co/ScpHv4y5nv |
| 2020-07-24 | Low-code machine learning in Python using Pycaret: https://t.co/1YsoSBs5dl Source: https://t.co/0J7UGbeMyt Streamline example: https://t.co/meLTLj7wBb Blending models / ensemble: https://t.co/p6gcJhbDT3 |
| 2020-07-23 | Implementation of R’s tsfeatures package as a Python library for time-series features https://t.co/lDpDOePtO6 |
| 2020-07-22 | MIT designed Covid-19 preventive Masks https://t.co/1aLMTe4Gtq |
| 2020-07-22 | A unified time-series library in Python Article: https://t.co/Mhqmt4Jrvg Source: https://t.co/YgpShSCQ5a https://t.co/s5yCvrxrX9 |
| 2020-07-21 | CVaR portfolio optimization paper https://t.co/RzboLp1jmU |
| 2020-07-21 | GPT-3 and traveling faster than the speed of light https://t.co/CQR8JzvlqH https://t.co/MT7drtBtNg |
| 2020-07-21 | Disrupting Skynet using GPT-3 https://t.co/tJz0pkLsJq https://t.co/0MsHRY7NjQ |
| 2020-07-21 | @paraschopra @gdb @npew @gwern Disrupting PowerPoint using Gpt-3 https://t.co/tJz0pkLsJq |
| 2020-07-21 | UIs in Python using Tensor, PyTorch, GPT-2 or arbitrary Python functions - gradio https://t.co/yBxHlg6zFx https://t.co/ecpdrADzfF |
| 2020-07-21 | Proximal policy optimization applied to limit order book #lob modeling with algorithmic benchmarks https://t.co/YE2olNznFA #TCA paper #lstm #fcm https://t.co/NkNtRspAuG |
| 2020-07-21 | Deep limit order book #lob modeling https://t.co/aqAE0OvqJU https://t.co/HS0t5lmGGk |
| 2020-07-20 | @paraschopra @gdb @npew @gwern Disrupting search is yet another GPT-3 target… #gpt3 |
| 2020-07-20 | Tokenization of documentary film-making #icebreaker https://t.co/wki3bV8kX9 |
| 2020-07-20 | On precision FX hedging for Corporate Treasuries https://t.co/6aj1x6Ixly |
| 2020-07-20 | Computational Graphs https://t.co/k5qPVZpzbi |
| 2020-07-20 | GPT-3 vs Turing https://t.co/aPOhPuZbx7 |
| 2020-07-19 | Bitcoin / currency triangular parity arbitrage breakdowns - paper https://t.co/vjufUpVJi8 https://t.co/ezLgf82NIj |
| 2020-07-19 | Self-referential Ode to OpenAI’s GPT-3 https://t.co/2VxlPmBowl #gpt3 |
| 2020-07-18 | Dynamic factor models and Kalman filters - paper https://t.co/aEJ7Jnb3a7 |
| 2020-07-18 | Modeling stock bond correlations across frequencies using DCC-MIDAS - paper https://t.co/R3jvC2IMXK https://t.co/daaoZ9cfL5 |
| 2020-07-18 | Stochastic trading behavior model using #LSTM and discrete high frequency trading order/trade dynamics https://t.co/R3jvC2IMXK #AMM #hft https://t.co/fkx7sTuJf1 |
| 2020-07-18 | Look-ahead factor model paper https://t.co/RsRaSFD455 https://t.co/OdGsYulW8P |
| 2020-07-17 | Fed sourced alpha? https://t.co/KJAf6luzOn https://t.co/MwN4KoYRSZ |
| 2020-07-17 | FT: is #ESG oversold? https://t.co/wV7Vd7qWaS |
| 2020-07-16 | Excellent paper on transformation of exchanges as marketplaces to vertically complex integration across capital structures, data and software services - excellent read https://t.co/RJnaWjQKMF By @johannes_petry https://t.co/VCgjKsIO2p |
| 2020-07-16 | Deep Recurrent Q-Networks for Market Making #AMM Paper https://t.co/eAwTAGQQHq https://t.co/BI0lO7zJyx |
| 2020-07-14 | Winners of the 2nd Annual R Shiny Contest #rstats #dataviz https://t.co/ElwDIqIJQG |
| 2020-07-12 | @chasingvega1 They seem to find me. It’s a hobby to track papers - some are admittedly flawed but interesting, but always happy to hear if anyone finds any that are useful. |
| 2020-07-12 | Paper aggregates and classifies latest research in machine and deep learning with stock price prediction https://t.co/zVPvOVHkOj https://t.co/Lbf6ADQYH5 |
| 2020-07-11 | @TradeArcher @TheBradOnSE Thank you. Yes! |
| 2020-07-11 | Tutorial for training a recurring neural net #rnn on stock OHLC price data using Python scikitlearn https://t.co/29OsWcMycI Jupyter Notebook: https://t.co/4oUZLi06GC #ml |
| 2020-07-10 | Python stock price prediction Jupyter Notebook with technicals based features #LSTM https://t.co/tTA8fQrTFF |
| 2020-07-10 | Paper that describes DWaves 2,041 qubit quantum annealer applied to a Portfolio Optimization problem involving 40 assets, which creates a solution space of 240, or 1.1 trillion portfolios from which to select. https://t.co/XTVNbhZta6 |
| 2020-07-10 | Failed attempts at applying #ml to stock price movement or market prediction are the norm - here is another admittedly failed attempt using #LSTM with Python code https://t.co/2EXXAjW2Fn |
| 2020-07-10 | #FactorFriday continues with Affinity Propagation, a clustering algorithm to cluster firms in similar risk factor groups. https://t.co/hWpSIFhnB4 Which uses a sparse covariance estimator: https://t.co/uGlSV4WU1T #factormodel https://t.co/eDmTsSKR0X |
| 2020-07-10 | MetaFlow is Netflix’s open-source Python based tool to apply AI for time-series pipelines and workflows https://t.co/oRYEeEYdVP |
| 2020-07-10 | #Covid19: “This is a big fucking deal. If I would not be excommunicated from the world of science, I would call this an evil virus, but I can’t do that because I can’t impugn motives to it. But if I could, I would call it that. It’s certainly pernicious." https://t.co/nKZor1r4vy |
| 2020-07-10 | AutoML-Zero AutoML from scratch https://t.co/6dAx5wu2JP https://t.co/tLz1VEy9vC |
| 2020-07-10 | Kartothek Pandas dataframe generated by persistent blob stores including AWS S3 #Python library https://t.co/83lM7wbHkm |
| 2020-07-10 | And the TAQ based trading costs used with the source code can be found here: https://t.co/rkz8lR3HHT 2/2 |
| 2020-07-10 | Stock Market Anomalies - 180 predictors + 105 new characteristics & their portfolios analyzed Paper, data and R code that #reproduce most published cross-sectional stock return predictors Paper: https://t.co/ifqZ3oFIlQ #rstats Source: https://t.co/EdC652Yt9q 1/2 |
| 2020-07-10 | Comparing stock liquidity across UK, the US, Germany and China - paper https://t.co/eS43g8J9aq |
| 2020-07-09 | Wavelet analysis for N11 countries - paper https://t.co/MHmBBIEAZO https://t.co/Wgvak19Lrl |
| 2020-07-09 | Wavelet coherence in COVID19 analysis https://t.co/ZCPIKptA4Q Continuous Wavelet Transform (CWT), Wavelet Transform Coherence (WTC), Partial Wavelet Coherence (PWC) and Multiple Wavelet Coherence (MWC) https://t.co/Ilsjag9FXf |
| 2020-07-09 | Fractal contagion effect of the COVID-19 pandemic on 32 global stock markets - paper https://t.co/LzCjpT670M |
| 2020-07-09 | Simple trend detection for stocks: Trendnet Python code: https://t.co/IktpILBvkL https://t.co/s4vq8VdlYQ |
| 2020-07-09 | Autoencoders, feature engineering and financial time-series Article: https://t.co/jrcEH2EAJf Jupyter Notebook: https://t.co/XvO9J28ncJ |
| 2020-07-08 | BAML Macro research report on investment implications of #COVID19 https://t.co/kz0JbYUuuk https://t.co/2PdWXJRZva |
| 2020-07-08 | %DV01 Liquidity dynamics of treasury and futures markets https://t.co/QNNFNk2EW7 |
| 2020-07-08 | BlackRock on MOC (Market On Close) Trading dynamics https://t.co/QNNFNk2EW7 https://t.co/3i5oiddATv |
| 2020-07-07 | @jamieleecurtis [cringe] https://t.co/PUovvGL93E |
| 2020-07-07 | Automated and parallelized feature engineering for time-series and class imbalance sampling and normalization methods in this new Python library Paper: https://t.co/dE0WfW5xN9 Source: https://t.co/e3TUKcsRdW https://t.co/W691TjyNkE |
| 2020-07-07 | Python Time-Series machine learning libraries - pyts vs sktime vs tslearn https://t.co/mAdeoVeVom https://t.co/6NtYlWFkty |
| 2020-07-06 | Nowcasting using dynamic factor model https://t.co/gsc1r6KquC https://t.co/gBWs6mg44l |
| 2020-07-05 | #TCA for Emission Trading on #LSE https://t.co/TdSdJwS4Dx |
| 2020-07-05 | Synthetic data - limit order book #lob data generation - paper https://t.co/hTi4EN5j1d https://t.co/HQ36pKQtmq |
| 2020-07-05 | BIST 100 Index price modeling using technical indicators with a suite of #ml models: SVM, DNN, Random Forests and Logistic regression - paper https://t.co/bdv5nh34YV |
| 2020-07-05 | Re: volume cyclicality trade signals - short paper https://t.co/bCFwBl0PMa |
| 2020-07-04 | Contemporary Art as Alternative Investment https://t.co/qmYE6MrFvn https://t.co/7iAu6EMKHS |
| 2020-07-01 | @macroarb They find me :) Deep learning time-series library using sktime https://t.co/1IKF8owAfi |
| 2020-07-01 | Sktime time-series machine learning library Python code: https://t.co/6p7BJJwydu Paper: https://t.co/FrSdFtN3gp |
| 2020-07-01 | The maths behind #Covid19 herd immunity https://t.co/0HdiGmbWF7 Paper: https://t.co/ia3uBtD9gS https://t.co/3h3G8N6Use |
| 2020-06-27 | Information asymetries, adverse selection post MIFIDII - paper https://t.co/k5iaDsX911 |
| 2020-06-27 | Quantum Computer Language - Silq https://t.co/Fm4BKBfCWv https://t.co/SLAKu4W2IJ |
| 2020-06-26 | Hope Not… https://t.co/2h9O3CF3pF |
| 2020-06-26 | Hmmm.  ðŸ‘👄👠https://t.co/ELOVk4BmFq |
| 2020-06-25 | Stark cybersecurity vulnerability for TikTok users who cut and paste passwords or other private information. https://t.co/1Op3nqMTUL |
| 2020-06-24 | Perspectives on Tech Comp with migrations from high-cost centers likely https://t.co/5Hdd6VAHJC |
| 2020-06-24 | FOMC link to stock market volatility analyzed in this article with Python code Article: https://t.co/9LocVEcjys Jupyter Notebook: https://t.co/MzpJxh72GR https://t.co/mbAvddfth5 |
| 2020-06-23 | Limit Order Book stochastic #LSTM price prediction model https://t.co/R3jvC2IMXK #lob https://t.co/wwf62s5u08 |
| 2020-06-23 | Awesome! “this virus resonates in the THz frequency, and spectroscopy in these frequencies reveals it promptly." https://t.co/38Gme6GaNb |
| 2020-06-23 | Probabilistic Sharpe Ratio Article: https://t.co/i4POLT1ETf GitHub Python source: https://t.co/XqTArBlpQy |
| 2020-06-23 | Hieararchial Risk Parity HRP in Python Article: https://t.co/5RXAlCKvKd Google Colabs implementation: https://t.co/xMc5qr7pfx Background: https://t.co/3M5du3PQe2 MLFinLab is an open source package based on the research of Dr Marcos Lopez de Prado https://t.co/kuHGbplZlt |
| 2020-06-23 | #Dataviz of #LOB Limit Order Books with Python Code #Kaggle https://t.co/0uQLKJ3ehy https://t.co/pfR55OGBOa |
| 2020-06-22 | Simple LSTM model applied to predicting DJIA Stock index prices - article and code https://t.co/ZaSOrwYiBp |
| 2020-06-21 | Gait Emotion Classification using Random Forest #AffectiveComputing Wired article https://t.co/uAIYSBv1Pv Related Paper https://t.co/OGJqx08cLR https://t.co/Y1YiJAsclh |
| 2020-06-21 | Using LASSO to tame the stock factor zoo https://t.co/Ko8Y8zBF6O https://t.co/S4g6VB9hNE |
| 2020-06-21 | Ode to Platform Engineering https://t.co/b4FBo6u1mW |
| 2020-06-21 | Ownership equity flows: https://t.co/Pv4sBArTPF |
| 2020-06-21 | Equity Flows… https://t.co/ZjZzGvVxg2 |
| 2020-06-21 | ABIDES, stock market simulator Paper: https://t.co/J23J5zThgB Python source code: https://t.co/L1BTXeTh0A https://t.co/VtxbeO9fad |
| 2020-06-21 | Deep Learning, OOP, Type checking and Python code article https://t.co/fKOOQBAkV8 |
| 2020-06-21 | NYC Subway - decades of inertia and infrastructure malaise profiled after massive growth spurt https://t.co/9o6zrtZSXC |
| 2020-06-21 | US20200175602A1 - Pca-based portfolio margining. Another obvious innovation that should not be patented. https://t.co/bY1OYhwDFV |
| 2020-06-21 | Sectors as time-varying #factors modeled in this paper https://t.co/LKTFc0A32D https://t.co/kchfwzIBdL |
| 2020-06-21 | Face Mask efficacy in minimizing #covid19 threat - 2 Royal Society papers https://t.co/l7cnsz83hn https://t.co/ffM2r5fzCj https://t.co/sxroKBqUFh |
| 2020-06-21 | @OpenSourceQuant Hopefully I’m just the last resort of things to do :) And thanks for the #HappyFathersDay #FF |
| 2020-06-21 | Hurst, Amihud illiquidity and analysis of crypto market efficiency and maturity - paper https://t.co/gDGb7yilcj https://t.co/vnxQN8EPZV |
| 2020-06-21 | Russell Rebalance - price impact effects analyzed in this paper with related Python source code for reproducibility Paper: https://t.co/IUFCMkczKC Code: https://t.co/rcaDMQE92e #TCA https://t.co/o4xUYFaXoz |
| 2020-06-21 | High-Frequency Realized estimators of volatility - paper https://t.co/QgxSHSm0u4 https://t.co/Z7ILCAnxIu |
| 2020-06-20 | As browsers have become central to cross-platform user experience, malware has infected browser extensions with more consistency - #CyberSecurity https://t.co/vbXqkpBd0c |
| 2020-06-20 | Russell annual rebalance: analytics insights for Friday June 26th, a projected record volume day. https://t.co/L6PohBVXtP https://t.co/MCSLW9jID3 |
| 2020-06-20 | Paper on explicit and implicit trading costs including exchange fees and spreads in the US stock market - #TCA paper https://t.co/gaS06zoxVE https://t.co/xFxuZIg8FU |
| 2020-06-18 | Actually R code - my gaffe. Thanks. https://t.co/eVA0YzO3To |
| 2020-06-18 | Open source Stock anomalies - paper, code & data reproduces cross-sectional stock return predictors: 315 characteristics and 1,260 “anomaly” portfolios Paper: https://t.co/IPpJOkQgov Python Source: https://t.co/6dJWA35rrr Data: https://t.co/Z5Zgz4Iv13 |
| 2020-06-18 | Information implicit in stock option calls as a feature in predicting future stock returns… https://t.co/LhrAIjRosJ |
| 2020-06-18 | TileDB, storage for arrays, pandas, multidimensional feature arrays, and key value pairs and more… In C++ with interfaces for Python and R #rstats Medium article: https://t.co/JU132OzxWo GitHub: https://t.co/a7xFpoXLST |
| 2020-06-18 | Latency of #LoB #Liquidity https://t.co/Y6XUFnEnWX https://t.co/MBL2UGejfr |
| 2020-06-17 | AI based knowledge worker productivity scores and surveillance and broader societal impact… https://t.co/LDqZn2H9Ig |
| 2020-06-17 | Automated Market Making #AMM in DeFi #Crypto markets https://t.co/xNDYt34YIv https://t.co/PXu07CmOzt |
| 2020-06-17 | Touché Larry! https://t.co/Cy08YuVHnV |
| 2020-06-17 | Streamlit Series A Python and not-Jupyter https://t.co/yZeAIVSvRi |
| 2020-06-17 | Aha, so we now plug in 6 Billion for F(I)in the Drake Equation to get an estimate of N. https://t.co/ckUtbm3AeJ https://t.co/a8o7a3qukV |
| 2020-06-15 | #Liquidity and related anomalies in #Crypto - paper https://t.co/KlW0J4WpyE https://t.co/rlBTBqL9DS |
| 2020-06-15 | Greedy Classifiers appied to real-time streaming financial data, in particular, S&P500 realized volatility https://t.co/sGckUF3Eyv #ml https://t.co/cnoEtQ23Kr |
| 2020-06-14 | Lamphone Tiny changes in light output from the bulb that those vibrations cause hundreds of feet away, With a laptop and laptop, Thorlabs PDA100A2 electro-optical sensor and analog-to-digital converter can spy. https://t.co/N1ogfYLT9j #CyberSecurity https://t.co/52GFxU2P05 |
| 2020-06-13 | Statistical arbitrage using Random Forests #ml for #Crypto - 2019 paper https://t.co/NuECPbCfbU https://t.co/5HYBlhLnJz |
| 2020-06-13 | Reimagined wealth management with #Crypto #DeFi concepts Zapper, Balancer, TokenSets, PieDAO https://t.co/9dip2fB0nJ https://t.co/lUIsUY8rnf |
| 2020-06-12 | LSTM with Custom-Loss function vs ARIMA in stock price prediction - paper https://t.co/DJ3ef0tT69 https://t.co/k8uiZZSy9Q |
| 2020-06-12 | Covid-19 Vaccination Progress #dataviz https://t.co/TSayjKhJyy https://t.co/5MKIfWg21w |
| 2020-06-11 | SHIFT is a Python agent-based exchange simulator profiled in this paper https://t.co/gpFdIe1r8X Code: https://t.co/vNPovgnsm8 |
| 2020-06-10 | Analysis of deeply cyclical factor rotations and reversals…. https://t.co/emrJeJmmw3 https://t.co/4lLp92WvFu |
| 2020-06-10 | TradeWeb’s AI-Price model for bond / credit markets profiled here: https://t.co/j5RdxH7ShE |
| 2020-06-10 | Decoding #Covid-19 as a genomics service: GaaS https://t.co/oAU85IgvK4 https://t.co/DxaMlnT5eG |
| 2020-06-10 | Paper applies SVM of different kernel functions with HAR-RV models, and tries to build a model to improve the accuracy of short-term volatility prediction of Shanghai and Shenzhen 300 Index using high frequency data https://t.co/iK4rMz6O8b |
| 2020-06-09 | Mercenary.Amanda and #DarkBasin #cybersecurity attacks profiled in this report and the related FT article today Report: https://t.co/jg395QXSA2 FT article: https://t.co/BuXpe5cYGH |
| 2020-06-09 | intraday high-frequency returns based on non-linear, non-Gaussian state space models - intraday seasonality, covariance and other measures applied to stocks in Brazil - paper https://t.co/Zm0JLIBXcN https://t.co/wVcPmQqE4j |
| 2020-06-08 | ICML International Conference on Machine Learning Dynamic #DataViz of #ml papers https://t.co/f9Vt6TtBU8 https://t.co/5M4bLxe8qC |
| 2020-06-08 | Apple patent for synthetic social-distanced selfies https://t.co/pK0XZD9MCt https://t.co/qSDYLYc0Dx |
| 2020-06-07 | Time-Series Classification Using Deep Learning And related Python package https://t.co/dWbmwPr9oE https://t.co/UA305YvLks |
| 2020-06-06 | FiveThirtyEight on state-of-the-art Covid-19 prediction models https://t.co/VAyE3juTlH |
| 2020-06-05 | Differential Machine Learning - paper https://t.co/PYhMS1UFsq Jupyter Notebook / Colab links https://t.co/NNZ91sR6ia |
| 2020-06-04 | 3d Vol Surfaces (and Python code) https://t.co/faQm42OUDp |
| 2020-06-04 | Verifact, a startup market for facts… https://t.co/TMvH3DfQZj |
| 2020-06-03 | Weighted Ensembles of Random Forests applied to market impact estimation of stocks trading on BATS - #TCA paper https://t.co/TnSaXr1TJV https://t.co/tmKUyiyaGb |
| 2020-06-01 | Real-Time #anomaly detection and the just-emerged from stealth mode AI startup https://t.co/I5Nzgik6ka https://t.co/tflemUayKt https://t.co/LNQlAYxXAU |
| 2020-05-31 | Citi warns market valuations are out of step with grim reality and a lower likelihood of a v-shaped recovery https://t.co/bMvih06N6U |
| 2020-05-31 | Re: US Stock Market https://t.co/kPdPgJ8S6V |
| 2020-05-29 | Electricity generating fabric may be a key in next-gen virus-proof masks and clothes https://t.co/XdvTpWb7Ae |
| 2020-05-27 | The relationship of order aggressiveness and order size to realized market impact - #TCA paper https://t.co/B3E0QM3zYg https://t.co/LtgHkpqTo5 |
| 2020-05-26 | Stock sector classifications paper using machine-learning https://t.co/3Jf93GARTH https://t.co/1mY8YOYLm4 |
| 2020-05-26 | Continuous Futures contracts are needed for technical-charting, backtesting and valuation analytics. This paper applies deep-learning to splicing them. Deep Q-learning Networks (DQN), Policy Gradients (PG) and Advantage Actor-Critic (A2C) methods. #ml https://t.co/vXHYG12Ae7 https://t.co/mFNLLmqh0Z |
| 2020-05-26 | And Eigen Portfolios built using PCA may also outperform risk-partity and mean-variance portfolios https://t.co/iGJ0sQZ7uM |
| 2020-05-26 | Input Output #IO networks are used to analyze local economies with alt-sector nodes / aggregations and using random-walk based measures paper: https://t.co/WDk7xQISfX r #rstats Xtranet source: https://t.co/JwqRT5Zfmt https://t.co/3b0xELGUWV |
| 2020-05-26 | WFH -> WFA [Work from anywhere] perspective | in TechCrunch https://t.co/6hDMyrJubc |
| 2020-05-26 | Machine Learning based portfolios with improved Covariance prediction - paper can outperform mean-variance and hierarchical risk parity - paper https://t.co/euujjeLHOi |
| 2020-05-23 | An expert on pandemics, infodemics and bullshit opines on all three | in TheGuardian https://t.co/bcO2ZdqWyw |
| 2020-05-23 | Good Covid19 avoidance strategies in the new abnormal… https://t.co/NzB69kCNva |
| 2020-05-22 | Algebra of Limit Order Books - paper https://t.co/HJkt1DLNWD https://t.co/j4Z3HY4uru |
| 2020-05-21 | Yet another patent application that seemingly ignores loads and loads of prior art in our industry - this one by Trading Technologies for automated internalization https://t.co/fhBKgVrnm6 |
| 2020-05-21 | And a more dimension-less, time-travel-less perspective can be found here… https://t.co/pEwaA8o1kW https://t.co/6xfKkkqbd1 |
| 2020-05-21 | Much ado about Jupyter Dash https://t.co/4pVMu9hOuc #Python https://t.co/xKkQLNzqqs |
| 2020-05-21 | FT on the surge in work from home turrets and other trading from home perspectives https://t.co/beCK5mdbic https://t.co/BNEEQ70EYX |
| 2020-05-21 | Good empirical insights in replicating 452 so-called stock market anomalies… https://t.co/oVN4Hn3WLp |
| 2020-05-21 | McKinsey report and insights on #Covid19 and impact on corporate strategy https://t.co/415ZbtYDw5 https://t.co/VuCDShbmoe https://t.co/MZLiugiXM1 |
| 2020-05-21 | BCG Report ‘Winners innovate to accelerate out of a [#Covid19] crisis’ https://t.co/jU2zRndHvx https://t.co/WIqV2hBfhG |
| 2020-05-21 | UBS Investment Research on Covid19 - seven themes and corporate beneficiaries https://t.co/WIo1J18ZZ0 https://t.co/MdDybrRimw |
| 2020-05-21 | #Covid19 Report by Oliver Wyman - macroeconomic and scenario analysis https://t.co/B7EjXxPIoi https://t.co/Eu40YhovyH |
| 2020-05-20 | Another dimension or parallel universe where time travels backwards? | In NYPost https://t.co/DQmSLJ5Fev |
| 2020-05-20 | @PalmerReport widgets.Combobox( |
| 2020-05-20 | At 17 billion parameters, Turing-NLG is the largest known language model in the world today. Microsoft introduced the Zero Redundancy Optimizer (ZeRO) in February along with Deep Speed. $MSFT https://t.co/wpkZmW5xUB |
| 2020-05-19 | 🕠Arbitrage https://t.co/TJW0Hez3VD |
| 2020-05-18 | A quick read Introduction to Deep Learning, Tensors and TensorFlow with Python snippets https://t.co/XSsYcIQM4t |
| 2020-05-18 | #dataviz of topics in #covid19 papers https://t.co/8nWU6RnDWt https://t.co/vFkdyXmO7J |
| 2020-05-17 | $JCP Dodged the bullet …. this time https://t.co/SRlrGB9jHD But, who really believes that those institutions who lengthened their duration with 100-year 7.625% bonds issued in 1997 will be still paying ANY interest in 2097? More on James Cash Penney https://t.co/xm0XNutu8R |
| 2020-05-16 | Samsung announces world’s First Smartphone With Quantum Technology applied to authentication, cyber security and random number generation https://t.co/5DwBfPt0SD |
| 2020-05-16 | AI Knowledge Graphs for #Covid19 | in FT https://t.co/VG6OinXSCR |
| 2020-05-16 | Stay-at-home Saturdays are perfect for exploring the science of limit order books, Fourrier transforms for feature extraction and a #BigData of 18 quadrillion messages per day, with nanosecond timestamps | all in this #lob paper https://t.co/HAFqZo6G1I https://t.co/eGwC2KVm1m |
| 2020-05-16 | #Liquidity Commonality - liquidity-volatility and liquidity-covariance in #Brazil related to foreign stock investments - paper https://t.co/EIX8wGhIZB https://t.co/MH6hdBYiWL |
| 2020-05-16 | Meet Troglomyces twitteri a parasitic fungus discovered on Twitter https://t.co/kH5E4RSRbt |
| 2020-05-16 | Cryptocurrency price prediction using ensemble deep learning - bagged, stacked, lstm… https://t.co/I6Q5hOfQ1V #crypto https://t.co/ETXwe22MV1 |
| 2020-05-15 | Equity Quant Factor performance - YTD, via @quantpedia https://t.co/6F1oY6NwEa https://t.co/rkQNxr0tEJ |
| 2020-05-15 | $305M purchase was small but bonds but had impact on market https://t.co/lmDHIFtxvU |
| 2020-05-15 | Liquidity in corporate bond market ETFs and their constituents will be shaped by a new market participant - the Fed https://t.co/OcCrqbYn7y |
| 2020-05-15 | $FB open sources their AI ans chatbot technology with BlenderBot https://t.co/Ccu9a6pJTp |
| 2020-05-15 | Interesting Bitcoin stock-to-flow cross asset model described https://t.co/4VpER48l36 #crypto |
| 2020-05-15 | @McKinsey on Acceleration caused by Covid19 pandemic https://t.co/MvvuDZ2Sgc https://t.co/4SrS00riaz |
| 2020-05-15 | Visa #Crypto is not an oxymoron, it is a Digital Fiat patent https://t.co/iB4tuFgNCz https://t.co/ElQpb7L2C8 |
| 2020-05-15 | Weaponizing Coronavirus Research | in NYT #Dataviz #Covid19 #Misinformation https://t.co/z3TxfAEyFf https://t.co/8i8ED0R1dn |
| 2020-05-15 | Several Time Series Compression Algorithms explained https://t.co/PTTQRev6ZX https://t.co/ItQNAafDQj |
| 2020-05-13 | TheTrade ”…report found that overall institutions slashed front-office headcounts by 5% year-on-year in the first quarter, down from roughly 51,700 full time employees, to 49,000." https://t.co/WQNP0pmDfc |
| 2020-05-09 | Analyze Basketball Shots using Python source code https://t.co/U7nkPykuNT #NBA #SportsDataScience https://t.co/XohkVQ42GT |
| 2020-05-09 | Dive into Deep Learning #ebook by Amazon data scientists https://t.co/PseDwJcEyz https://t.co/5xqBk5WQcy |
| 2020-05-09 | #DeepFake videos #misinformation and journalistic strategies for mitigating - via @Reuters https://t.co/gP61OBTsam https://t.co/1TOvRa8c3f |
| 2020-05-09 | Hmmm https://t.co/oQynkzULnt #Crypto |
| 2020-05-09 | Bitcoin price forecasting using 124 technical analysis indicators and a decision tree #Crypto $BTC https://t.co/3HeeA4SHPc https://t.co/vvkT9VmRZ4 |
| 2020-05-09 | TensorFlow, LSTM and Technical Analysis of Stocks • 2019 Paper https://t.co/vjq6YYMw2M |
| 2020-05-09 | Article on #Covid19 and impact of use of dark #liquidity to execute stocks by institutional traders https://t.co/cm0Zma0kWx https://t.co/lRpTtwGlVn |
| 2020-05-09 | Entropy and market efficiency paper: Sentiment and Granger Causality https://t.co/lKyz5LMVgj https://t.co/DbJkaqfEcP |
| 2020-05-09 | #Covid19 and Stock volatility, #VIX relationships using Google Trends, Regresssion and Impulse Response analysis • paper https://t.co/qlqHYu9gdv https://t.co/gI38tlVTIm |
| 2020-05-09 | Tidy Covid-19 Data for R #rstats https://t.co/vYaQdbiKYC |
| 2020-05-08 | Quant Easing - a non-technical Primer https://t.co/d4Z1jTuRXm https://t.co/L8WlTHdIzf |
| 2020-05-08 | Simple Recurrent reinforcement #ml model for stock trading explained in this paper along with embedded Python code. Good for novices. https://t.co/8sAc806LTl https://t.co/gJYmtHMMme |
| 2020-05-08 | BIS Paper describes how #ETF prices and illiquidity may reflect corporate bond market stress earlier than NAVs in the midst of #Covid19 https://t.co/R6aMMzuZad https://t.co/OIU1SyYERT |
| 2020-05-08 | Analysis of impact of #Covid19 on the muni-market https://t.co/orzNYszqDE https://t.co/2hVFzdXu0v |
| 2020-05-08 | Philadelphia Fed paper on impact of #Covid19 on corporate bond market - spreads, trading costs https://t.co/c2q9au4v1V #tca https://t.co/1APOtJAPZm |
| 2020-05-08 | Markov-Switching models and GARCH used to analyze the impact of #Covid19 on stock market volatility and #VIX • paper https://t.co/VxdBLR0O9N |
| 2020-05-05 | An open source hardware and software ventilator built by NVIDIA chief scientist and Stanford Professor Bill Dally that cleverly uses a Proportional Solenoid Valve. All parts aggregate to less than $400 https://t.co/hg8RpSzx8F #COVID19 https://t.co/zrxUN99EID |
| 2020-05-05 | Is this the best of work in the future new normal: “a blurry mix of work, life, pajamas, and Zoom?†https://t.co/8Nun8HIw1Y https://t.co/iDgfJyeJA8 |
| 2020-05-04 | Systematic and specific VaR for stocks and their exposures to commodities with embedded R #rstats code https://t.co/1PolOigiev https://t.co/sCaz1Qu1KA |
| 2020-05-04 | Values-based #ESG factor investing - paper https://t.co/tLPWauDudE https://t.co/PgEfVzWft4 |
| 2020-05-04 | Philadelphia Fed paper on economic consequences of various #Covid19 policies in America. https://t.co/2KKBMJb4uO https://t.co/pAfLRBE5jM |
| 2020-05-04 | #FakeNews news detection on social media - three machine and deep learning models compared https://t.co/WZvCyDdWQw #misinformation https://t.co/X3WBYOXjxS |
| 2020-05-04 | Linkage between volatility and stock liquidity modeled in this paper https://t.co/fV9p6lKNb3 https://t.co/6IhDGkWJhf |
| 2020-05-04 | #ESG Factor & Network Analysis and Optimization - paper https://t.co/iZXX9qP3sA https://t.co/YTC3kRsOIZ |
| 2020-05-02 | The Algebra of Limit Order Books https://t.co/HJkt1DLNWD #lob paper https://t.co/0RA9sipi6k |
| 2020-05-01 | Well explained simulation and #dataviz of #COVID19 https://t.co/kUspgikaAP |
| 2020-05-01 | FX Algorithmic Trading and Complexity paper https://t.co/2fQR8DKG0o #entropy https://t.co/plpQCv6zjO |
| 2020-04-30 | @ltabb Well considered perspective Larry. Infrastructure has new meaning as well in terms of supporting the heightened demands around business agility and mobility in capital markets above the tick, the route or trade. Thanks, as always for your insights. |
| 2020-04-30 | Attention based neural nets applied to stock limit order books #lob https://t.co/MoqJAPmnr3 https://t.co/AZ7blliXgH |
| 2020-04-30 | @ArturSepp authored article on trend-following, crisis-Alpha and crisis-Beta strategies. https://t.co/sZWgHPj5Jz https://t.co/f9UUhpIjR5 |
| 2020-04-30 | 3D Mapping and Visualization with R and Rayshader https://t.co/SuSfvhGKfg #rstats #geo https://t.co/jufFAFUmOO |
| 2020-04-30 | Imagine how hard it is to decouple from Google completely https://t.co/h23Emy9wde |
| 2020-04-30 | Free, large data set of Early Stage VC investors https://t.co/zaKMTtqMh2 |
| 2020-04-29 | FT on key challenges and opportunities for Private Equity post Covid-19 https://t.co/zXCM4UWVaM |
| 2020-04-29 | MIT researchers release Clevrer, a visual causal / reasoning and neurosymbolic AI tool | profiled in VentureBeat https://t.co/UwijOF8Bdn |
| 2020-04-29 | 65 @Springer #ebooks on Statistics, Deep and Machine Learning https://t.co/PnCdxUuSeM |
| 2020-04-29 | Startup funding dynamics in the new normal - two reports: https://t.co/iXlTvq4c9Q https://t.co/OJJF5HBKao |
| 2020-04-28 | Stock price prediction paper using SVM vs LSTM Ensembles #ml https://t.co/nR4aXeMJVj |
| 2020-04-28 | Bitcoin Futures - price clustering analysis - stylized facts short paper https://t.co/aARNSdctGj https://t.co/kcQGBO8JjJ |
| 2020-04-28 | 25 Machine Learning Startups profiled in this Forbes article https://t.co/8058Y3QpMR |
| 2020-04-27 | #Crypto currency predictions using #hurst #lstm and #chaotic properties - paper https://t.co/bYsKEkDVgr |
| 2020-04-27 | Ah yes, thanks for purveying and sharing the NBA analytics by @bballport https://t.co/fdK3K8yJKO |
| 2020-04-27 | #NBA seems so far-away, but shot selection embedded in accessible notebooks by @crumpledjumper that showcase the key analytic features are here now: Article: https://t.co/oCXmv0L5Do Python and Jupyter: https://t.co/GNeo5zlIHP https://t.co/QBrnfgm4tA |
| 2020-04-27 | Rethinking healthcare in new-normal also means new Ops - by @McKinsey https://t.co/Z7YO3pnGe0 https://t.co/zyDa3lFZtP |
| 2020-04-27 | Excellent article on status of GDPR and data privacy enforcement in NYT https://t.co/khwVSuFTxo With Covid-19, pressures to optimize information across organizational boundaries for improved societal welfare may be a greater goal. #differentialprivacy #aggregation #gdpr |
| 2020-04-26 | Oil and Markets - brief historical perspective https://t.co/ZqOgCNKFh6 https://t.co/Ipy3CbbHIL |
| 2020-04-26 | #Covid19 beta analysis with stocks using Bayesian regression and Logistic curve analysis Paper: https://t.co/rLSA4YYRsP Source code: https://t.co/oRyjACnaRg https://t.co/Q8TGqqzwrD |
| 2020-04-26 | Real data and simulated data are integrated in this analytical paper on agent modeling of high-frequency trading #hft #agent #paper https://t.co/LmOUaZShzz https://t.co/0wxzj0aNoL |
| 2020-04-25 | High market impact stock trades on DAX analyzed by informational quotient, limit order book dynamics and price correlation to informed trades #lob #tca paper https://t.co/NqbJlDUjaV https://t.co/JziYfp1P86 |
| 2020-04-25 | Dissertation on applying derived social media features to stock price, correlation and volatility movements https://t.co/cFbiQIm3k6 #granger #twitter https://t.co/mJY19r4roM |
| 2020-04-25 | Dissertation on a functional form of market impact using machine-learning on limit order books and their stylized facts https://t.co/MznWA8N1Nh #TCA #lob paper https://t.co/p7RVP8dz6z |
| 2020-04-23 | Three Time-Series #Ebooks: Time-Series Analysis https://t.co/PZRgE7rnzT Introductory Time Series in R https://t.co/DiqJOIyRm7 Introductory to Multiple Time-Series Analysis https://t.co/LzlxlrfWXA #rstats |
| 2020-04-23 | Bitcoin returns stylized facts - paper https://t.co/ymHXNVLAwS https://t.co/16J09h2Q9u |
| 2020-04-23 | CoRisk - Covid-19 stock industry specific risk-assessments using 10k filings and sentiment analysis Paper: https://t.co/a6jiwGd1UJ Python code: https://t.co/qhttH1JnL9 #coronavirus https://t.co/nzKegtPP2U |
| 2020-04-23 | Limit order book #lob dynamics paper https://t.co/tHWPiDmndv https://t.co/EBQTBTJ79F |
| 2020-04-22 | @RobinWigg on sorcery, fixed income ETFs, heroes and villains and brings it all together… https://t.co/fg05Y3sAOO |
| 2020-04-21 | Article on Random Forests and Decision Trees with Python code and Github source: https://t.co/iwqrYd705P https://t.co/F0lCnD0DPl |
| 2020-04-21 | Factor analysis - Lazard monthly report https://t.co/i7ykVK1hNQ |
| 2020-04-21 | Factor strategy performance analysis by Robeco https://t.co/KOBi0ikLyA https://t.co/83DXzq0IFb |
| 2020-04-21 | Liquidity as a priced risk-factor in stock portfolios on the Karachi Stock Exchange - paper https://t.co/1hXEAy50ln |
| 2020-04-21 | Closed-form model-free implied volatility formula using delta-sequences - paper https://t.co/yw79O8PBoq https://t.co/r5J6VBdwuV |
| 2020-04-20 | Instagram founders launch https://t.co/CGsjDKjF1A to estimate estimate #Covid-19 real-time #R0 using a Bayesian approach Jupyter notebook: https://t.co/oJtBW25gv4 TechCrunch story: https://t.co/Q26SF5LOvd #rzero https://t.co/pucwFWrxjv |
| 2020-04-18 | Nassim Nicholas Taleb opines on Cryptos: https://t.co/yiSEzlL9oH |
| 2020-04-18 | Post Covid-19 Office Design in @FastCompany https://t.co/62YFlvUBqo |
| 2020-04-16 | Deep Transformer Models for time-series prediction - paper https://t.co/JunvLym1U7 https://t.co/YH7DbABbVw |
| 2020-04-16 | Momentum Portfolios https://t.co/opgOqxaMKY https://t.co/yjNPKFNc7H |
| 2020-04-14 | Consumer FinTech top Twitter follows - (25 of 50) https://t.co/kMToVQHC4v |
| 2020-04-10 | Intro to Mathematical Programming #ebook - more conceptual than laden with examples #Python #Pyomo optimization supply-chains (2015) https://t.co/stWBStb0HL |
| 2020-04-10 | Cross-market-impact model - #TCA paper futures / bonds https://t.co/6Jkn2fD2Hi https://t.co/rjdHaenUe3 |
| 2020-04-09 | @Frank_Zamboni Simple is better - for all of us. |
| 2020-04-09 | High-frequency recurrent neural nets - paper https://t.co/Sj1QfqSkrN https://t.co/nvZAaRR9q1 |
| 2020-04-09 | High-frequency stock trade classification dissertation using a variety of #ml methods https://t.co/wHx047pzHV #hft https://t.co/IqAwGJdVa8 |
| 2020-04-09 | Jump volatility dynamics in #Crypto https://t.co/uzPXp7El1q https://t.co/IYKZkDJXRA |
| 2020-04-09 | Bitcoin quantile correlations and leaky covid-19 hedge dynamics paper https://t.co/307yKmgoFn https://t.co/BKB4uYLBlh |
| 2020-04-08 | Covid-19 inspired resurgence of forgotten tech trends… https://t.co/Ej2VT3GGeP |
| 2020-04-08 | FX Volatility around macro events and impact on algorithmic trading decisions… https://t.co/uhllHRF6vU #TCA https://t.co/f0dOYcqBkW |
| 2020-04-06 | A lens on Post-Pandemic NY? https://t.co/qSMocnUmkM |
| 2020-04-06 | AmboVent-1690-108 project open sourced hardware and software by the Israeli Air Force is an alternative emergency ventilation system for presumed #Covid19 patients https://t.co/0ujNNG9kR9 Arduino code: https://t.co/KO86qjAYQa https://t.co/QUhIgnwXrY |
| 2020-04-05 | Uber and OpenAI collaborate on Fiber, a multi-processing platform for large scale data science projects using #MLB Web: https://t.co/yk92tUgNp7 Python Source: https://t.co/ME0LI52Bv4 Paper: https://t.co/OReBc2ivNp Uber #AI Use case - POET: https://t.co/G0uaUXcHuk https://t.co/FlkVMLRLaB |
| 2020-04-04 | Real-time streaming Quadratic Covariation https://t.co/u4CoH1Dq7c https://t.co/8Zwe8oawZL |
| 2020-04-04 | #Covid-19 Apps translated via Andreessen Horowitz #a16z Deck: https://t.co/M17ZqsFJWb Link: https://t.co/VA0RJhkT8I https://t.co/hfiKAiVTpJ |
| 2020-04-04 | The latest cybersecurity details on $ZM use of a very hackable encryption and key transmission methodology https://t.co/DUBqcKKni2 |
| 2020-04-03 | Yes they are… https://t.co/9CKnuNNPPv |
| 2020-04-03 | #COVID19 paper “estimates suggest that there is substantial under-ascertainment of cases in the younger age groups” https://t.co/wBTeOv1dxT R source code #rstats: https://t.co/jbDUro8ilH Reproducible data set: https://t.co/jbDUro8ilH #paperswithcode https://t.co/eQJmBn4QQK |
| 2020-04-03 | Is Bitcoin a safe haven? No, according to this paper: https://t.co/307yKmxZwV |
| 2020-04-03 | Covid-19 Virtual Hackathon @MIT https://t.co/Fsq11iT7Ci |
| 2020-04-02 | Of course, when volatility rises so does impact market costs, but what other insights for trading can be extracted from a regime of war vs Covid-19? https://t.co/gi3WJ3fPZl #TCA https://t.co/EQnRB5iHml |
| 2020-04-02 | Start-Ups and the ‘Great Unwinding’ in the NYT https://t.co/FXauPZenZS |
| 2020-04-02 | Stratechery on Twitter, Covid-19, Masks and strategy https://t.co/Ikhby5NX9R |
| 2020-04-02 | Coronavirus Quant Quake Profiled in FT https://t.co/0CgeIVwfiT https://t.co/R8dAHLBcbm |
| 2020-04-02 | $ZM has to correct these serious security bugs https://t.co/tiz7wj7hZt And stop their misleading marketing around encryption https://t.co/qVOMxQQNp7 And should not be used in Enterprise settings or by startups communicating with their customers |
| 2020-04-02 | And this article summarized those $zm security gaps well https://t.co/7MOrjNewYz |
| 2020-04-02 | And $ZM clearly is missing security DNA https://t.co/InO5RTZMB6 https://t.co/LpRZU6h6E1 https://t.co/3YMtXonNlk |
| 2020-04-02 | Price reversals and stock size linkage for stocks in Indonesia - paper https://t.co/ShL06I7lmP https://t.co/EceEaf11rA |
| 2020-04-02 | Sliding Window (LSTM vs ARIMA) applied to Russian Stock prediction https://t.co/j7TFM98pU8 #ml https://t.co/EubFvbffI7 |
| 2020-04-01 | What are the challenges in building good Covid-19 models? https://t.co/iYULOds6XR |
| 2020-03-31 | Hmmm. https://t.co/hWgaIWydOf |
| 2020-03-31 | It’s time… https://t.co/SNYrfdhYtW |
| 2020-03-31 | @nntaleb on ‘white swan’ pandemics and managing their tail risks https://t.co/aOsnAmfta7 |
| 2020-03-31 | Cryptocurrency paper - broad survey of markets, data sources, models… https://t.co/s9qD6rfbgq https://t.co/pK2snxggaQ |
| 2020-03-31 | And now another open #altdata project - Dolthub https://t.co/dLO5FIExyf |
| 2020-03-31 | Various V-Shaped Vicissitudes via @fundstrat https://t.co/g3482OQEg9 |
| 2020-03-31 | Dash and Plotly and yet another #Covid19 Dashboard https://t.co/eHepyIWWV3 |
| 2020-03-31 | Covidify is a collection of #Covid19 Jupyter Python notebooks along with Python scripts to handle #dataviz https://t.co/VBvgPY6FeR |
| 2020-03-31 | Not a chart I like to see at all https://t.co/q3ScWJSTyC #dataviz #Covid19 https://t.co/1n9bFBuMZX |
| 2020-03-31 | Shiny #Covid19 Dashboard in R #rstats https://t.co/JEg3y3JPEz https://t.co/6RH8bfgDT7 |
| 2020-03-31 | @SalArnuk I liked the way his chart depicts describe complexity factors for execution quality around a benchmark like VWAP - not sure I like the Radar chart so much, but love the variables. |
| 2020-03-31 | Similar ICLR 2019 collection of machine learning papers curated by @twosigma https://t.co/AF7pIfHUUu |
| 2020-03-31 | NeurIPS 2019 Highlights by @twosigma - Key Themes and Papers including #Covid19, #NLP, Reinforcement Learning, Synthetic Data… https://t.co/KTQM4duAa5 |
| 2020-03-31 | Coronavirus misinformation dashboard: https://t.co/TLzRSTUMiR Leverages this Python Twitter library https://t.co/Li0RDrQYgS Paper: https://t.co/til42jqLvu https://t.co/eImFv8pBz3 |
| 2020-03-30 | https://t.co/uo2ZIaTJ5g on data quality challenges for #Covid19 predictions https://t.co/p0ffck7xCR |
| 2020-03-30 | “Eigen said on its website that a legal client also used it’s NLP platform to analyze approximately 150 loan agreements that are each several hundred pages long. Eigen automated the extraction of more than 20 data points” #NLP for Libor #RFR Transition https://t.co/8Is8tGNHH8 |
| 2020-03-30 | Goldman quant execution executive opines on execution, correlation, reversion and volatility dynamics https://t.co/ScnVeVb6U9 https://t.co/tUHtWMHYQr |
| 2020-03-30 | Covid19 and Masks - the science behind their utility and effectiveness https://t.co/Dx7ICa3Owt https://t.co/anmM4McCAt |
| 2020-03-29 | @jphme Chuckle: $Zm ‘does everything right’ is a strong statement Their valuation as a multiple of revenue growth in an industry where they are not dominant is obscenely high - all those other tech companies are DOMINANT and can arguably control a key niche away from zoom. |
| 2020-03-29 | @jphme My main point is around valuation; is it clear they have a commanding lead - no! Is it clear they have a superior product - no! Do they have synergies with desktop and mobile OSs and Enterprise software - no. They are a pure play, interesting, nice product with PE backing… |
| 2020-03-29 | And for Grandparent to parent to child communications, is zoom demonstrably better than FaceTime or Duo? Does zoom have more usage in family communications? It’s a good niche product in a competitive market where they can be outspent & out integrated. https://t.co/vbs7eam0fF |
| 2020-03-29 | When I was in startups I used Zoom a lot. Zoom is popular with startups, but not nearly as much with large Enterprise users. Aside from the ability to change default backgrounds, I can’t say it is on balance more useful to an Enterprise user like me, since it’s less integrated. |
| 2020-03-29 | I have used zoom, for communications reliability I prefer WebEx and for integration with teams I prefer Microsoft’s product. I used zoom as recently as Friday and the experience was not remarkably different nor was it integrated - with other Enterprise channels. https://t.co/OROrchAKaM |
| 2020-03-29 | $ZM in a growth space clearly, and the relative valuation reflects the lack of growth in airlines for sure, but the sheer magnitude of relative valuation reflects sentiment and PE exuberance over fundamentals, agility and ability to truly lead the industry with product. |
| 2020-03-29 | Zoom does not have a MOAT vs Microsoft Teams/Skype, WebEx for Enterprises nor does it have an offering across adjacent niches like Houseparty. |
| 2020-03-29 | $ZM is tethered to an alt-reality and to FOMO sentiment zeitgeist https://t.co/UxJHnMV4op |
| 2020-03-29 | Coronavirus pandemic and continued existential challenge for many hedge funds https://t.co/Vq7lAr5yHi https://t.co/PupVw5XE6K |
| 2020-03-29 | Factor performance in the last decade - analysis https://t.co/lfhWBKQdCl https://t.co/OnQyYkuqkL |
| 2020-03-29 | Ughh… https://t.co/qqy0bxbGMl |
| 2020-03-29 | Open source health movement profiled here: https://t.co/CIa1Kh9c1T |
| 2020-03-29 | U. Of Florida’s Open Source Ventilator Project https://t.co/0oB65ATrxg https://t.co/UMGEdbvIZw |
| 2020-03-28 | Impact of MIFIDII on Liquidity, Price Formation, Spreads, Lit vs Dark Dynamics of STOXX 600 Europe Index - #TCA paper https://t.co/SWpJTDYdOW https://t.co/xIVC1msZ6G |
| 2020-03-28 | @Karyagin_A Fixed: https://t.co/SD9Yyyj4qP |
| 2020-03-28 | The correct paper link is here: https://t.co/SD9Yyyj4qP https://t.co/Uhk1dV4xlH |
| 2020-03-28 | WorldQuant paper on using Hurst in trading strategies along with embedded Python code https://t.co/8lh41CKhBs GitHub: https://t.co/5ciKQByFvn https://t.co/g7kXSqYypc |
| 2020-03-28 | The importance of nowcasting vs prediction and other Covid19 inspired lessons for quants by Marcos Lopez de Prado https://t.co/8lh41CKhBs https://t.co/8lh41CKhBs https://t.co/8lh41CKhBs |
| 2020-03-27 | Alternative stock classifications to GICs using #NLP of 10k reports and other #ml methods explored https://t.co/2aN5047rjp https://t.co/LNpDabaqcj |
| 2020-03-27 | #Liquidity commonality in Brazilian stocks analyzed in this paper https://t.co/OmPFzFif3r |
| 2020-03-27 | “It’s only when the tide goes out that you learn who’s been swimming naked.- Warren Buffett https://t.co/yuYCr5Qu4x https://t.co/Wbwf7dmd6E |
| 2020-03-26 | Treasury and Bond Futures Liquidity - paper ‘Although overall risk volume is greater across all cash securities … the liquidity hierarchy is more complex, with certain futures contracts more liquid than certain cash securities and vice versa.' https://t.co/yw9ZVfeBJE |
| 2020-03-23 | …And Zoom devices that track programs that are running on your device… https://t.co/X0y0GMkeBa |
| 2020-03-22 | Another ventilator project - from MIT #E-VENT https://t.co/5kCN4dMc2q |
| 2020-03-22 | #Covid19 Web App - multiple sources aggregated https://t.co/QTe8gSwgaN https://t.co/AEqXp1I0wN |
| 2020-03-22 | TheAtlantic on impact of late response in the Us to #Covid19 https://t.co/bUIq3mJxIt |
| 2020-03-22 | #COVID19 – Global Statistics from EU’s CDC including country rates of doubling https://t.co/SiVJc2kQL6 |
| 2020-03-22 | Locked-Down Lawyers and devices that listen… #privacy https://t.co/lMF3NIYNAK |
| 2020-03-22 | Rob Hyndman on the challenges in forecasting #covid19 transmission and human and other impact https://t.co/bWrnjrotgJ |
| 2020-03-20 | Kaggle Jupyter Notebook of #Covid19 Research Papers #dataviz of Clustering in #Python https://t.co/rXf3hTBDBV https://t.co/Vf5wS3lLCA |
| 2020-03-20 | Optimal Market Making paper #AMM #Hawkes https://t.co/HxD9EGGVcU https://t.co/uR4LXHRJ49 |
| 2020-03-19 | @aifazza Or letting it expire worthless |
| 2020-03-19 | McKinsey snippets on #Covid19 impact on business strategy and execution https://t.co/th4pFji8Uw |
| 2020-03-19 | Open source ventilator https://t.co/bnLiANZhpA https://t.co/aN64BLBRlr |
| 2020-03-19 | Financial Engineering of #Covid19 ==> Infection Options https://t.co/Hvli7BCWmE #paper |
| 2020-03-18 | Hope for the afflicted… https://t.co/mNBkdmbkPH |
| 2020-03-18 | Hmmm… https://t.co/rLSB28miY5 #Coronavirus treatment https://t.co/E2DQqPI5Xr |
| 2020-03-17 | Liquidity, leverage and information… https://t.co/ZrQi7zT506 https://t.co/mOOaosXw7c |
| 2020-03-17 | Wolfcom extreme facial recognition and real-time record mapping… https://t.co/Ua3fL7GTTv |
| 2020-03-17 | COVID - Interactive #Covid19 pandemic calculator https://t.co/xpIE0pVTvh |
| 2020-03-17 | COVID-19 Open Research Dataset Challenge (CORD-19) for AI / ML / Data Science includes Coronavirus datasets and 29k related papers https://t.co/bkWPPzQsJp TechCrunch Article: https://t.co/wHQmcP8rCD SiliconAngle Article: https://t.co/noqB6YcKrA https://t.co/wJhq0X0dMF |
| 2020-03-16 | We are at war on multiple flanks - #covid19 and #cybersecurity and they are linked… https://t.co/NuOrJcY3ml |
| 2020-03-16 | @ltabb @TABBGroup @TabbFORUM @dawnmlim Happy for the WSJ story. But, another sad consequence of our #Covid times. Global market structure won’t be the same without your firm’s sage perspectives. Look to catch up in person after covid is controlled, contained and a new normal is ahead of us all. |
| 2020-03-16 | Scipy used to build a simple Sigmoid curve fit of Coronavirus transmission in a Google Colabs Jupyter Notebook #Python vs #Covid19 https://t.co/YFsFCeGbcy https://t.co/aVYqc7MC0D |
| 2020-03-16 | Love this idea TL;DR App https://t.co/CVuGdRo387 |
| 2020-03-15 | Washington Post #dataviz #Covd19 simulator https://t.co/ll90iNclyt |
| 2020-03-13 | Scary Friday 13th! Notes from an expert panel on Coronavirus suggests we are already past containment stage and can expect aggregate mortality in the US to exceed one-million. https://t.co/SJZSqDaEwp https://t.co/kUpvRq3TFH |
| 2020-03-13 | Goldman analysts highlight how top-of-book liquidity loses its importance as equity futures markets swirl rapidly https://t.co/9rzEQeMECA |
| 2020-03-12 | New paper on #liquidity characteristics of stock market anomalies https://t.co/M9WUpedwSc |
| 2020-03-12 | Asset inflation and American Consumer profiled in this FT article https://t.co/Cl05JaJuKF |
| 2020-03-11 | Covid19 US transmission forecasts by @MackGrenfell based on simple exponential growth curves and a variety of assumptions https://t.co/JYcezxxG1f |
| 2020-03-10 | A #SwiftUI optimized Coronavirus tracker App #IoS Source: https://t.co/LmwcdS0B2T https://t.co/UrdZM8vxcm |
| 2020-03-10 | Google announces Quantum TensorFlow… https://t.co/qK4BrWO6Jf |
| 2020-03-10 | Netflix open sourcing quantification-of-risk library - riskquant https://t.co/rPF9bM6VgZ #cybersecurity |
| 2020-03-09 | LSTM, deep learning and crypto currency price movements https://t.co/ikRfuI4hHs https://t.co/dnrM3mNwkI |
| 2020-03-09 | The Renaissance portrait [of the Mona Lisa] turned the face into an enigmatic treasure, but facial recognition has converted it into a commodity. | In FT https://t.co/3VjSa2TBcl #privacy #FacialRecognition |
| 2020-03-09 | The new competitive dynamics of collision | MIT Sloan Review https://t.co/XIBDiEknk7 |
| 2020-03-09 | On #ML and Trading: “The future is uncertain, but hedge fund front offices will be cloud-enabled, data-led hotspots for machine learning applications. The only remaining question is who will change with the times and who will be left behind." https://t.co/kHl9AFxLyj |
| 2020-03-08 | Bitcoin price jumps, cluster phenomena paper https://t.co/GBv8lSmsxl https://t.co/jV8D7Ipe4Z |
| 2020-03-08 | Stock volatility and skewness spillovers analyzed in this paper using Maximum Overlap Discrete Wavelet Transform with multi-resolution https://t.co/DaNmLIl0tz https://t.co/UlRdY22PhM |
| 2020-03-07 | Visual comparison of stock market price moves between the financial crisis in 2008 and the corona equivalent aling with the JavaScript and #D3 code to reproduce https://t.co/lnYpZopqej https://t.co/7jzUmoE38x |
| 2020-03-07 | @CT_Bergstrom Powerful Coronavirus Chart for the US - increased Telecommuting use is part of the answer |
| 2020-03-07 | #Coronavirus - it could get much worse before it gets better… https://t.co/iEfJMURB4f |
| 2020-03-07 | Sentiment features engineering in machine / deep learning of stock market price movements https://t.co/yVzIdYGR47 #ml paper https://t.co/aU1OOGlLEB |
| 2020-03-06 | On the increasing prevalence of intense market shocks | in FT by @RobinWigg https://t.co/Q5nTQ1DIlo https://t.co/DTOR96qska |
| 2020-03-06 | Bagel Street’s Locate X technology vs Privacy https://t.co/OVLNUwcsIO |
| 2020-03-05 | Coronavirus transmission dynamics may be modeled more effectively with clever use of Vessel trajectory meta-data information embedded in shipping data as this paper highlights and as the Origin Destination Matrix #OD graph supports: https://t.co/zckRzd2tcx https://t.co/5lRGX78FWI |
| 2020-03-05 | Google’s DeepMind applies their AI acumen to #Coronavirus data science with #AlphaFold https://t.co/QYydPY5fVG |
| 2020-03-05 | Two Sigma launches Scout for open #altdata search and discovery https://t.co/UyFCsCpiM2 https://t.co/68lGP8Kqxe |
| 2020-03-04 | #Coronavirus #AltData https://t.co/G7m5dgkmg9 |
| 2020-03-04 | Convex Coronavirus Hedges (or Bets) profiled in the WSJ https://t.co/SNnkVuPSlu |
| 2020-03-04 | https://t.co/5DVsTV2DtR |
| 2020-03-03 | The Atlantic today on Coronavirus US Stats https://t.co/FFfi44m19e |
| 2020-03-03 | And more on Clearview partnerships and camera design… https://t.co/AJLpp7ZJv9 |
| 2020-03-03 | Dynamic Volatility Models - paper https://t.co/o8v6EI1Png |
| 2020-03-01 | Blacrock’ s Aladdin business profiled in FT https://t.co/Q3WCIoPAr1 https://t.co/5qH8Bwuy1k |
| 2020-03-01 | Corporate Bonds - TRACE and ZEN analysis paper https://t.co/Px7om6N3ez https://t.co/GHDCBQ2wY4 |
| 2020-03-01 | Paper on impact of ETFs on pooled and equilibrium price and liquidity dynamics of stock constituents https://t.co/VK75F4UYJq https://t.co/UEoyi1MnHT |
| 2020-03-01 | Factor herding effects on #FAMA factors of momentum and value • paper https://t.co/56PdXhm4df https://t.co/fMVxzTws74 |
| 2020-03-01 | Apparently, China is using facial recognition with thermal cameras to map personal identities to potential #coronavirus transmission dynamics. A treasure trove for a health data scientists and a nightmare for privacy mavens… #Covid19 vs #Privacy https://t.co/EpXkShqENp |
| 2020-03-01 | #AutoML pipeline workflows in #Julia https://t.co/m15uf1y4yD |
| 2020-03-01 | Clearview #privacy exposé https://t.co/WTVkp740Xg |
| 2020-03-01 | #DeepFake photo detection with Python source https://t.co/4vNr4KxKCE https://t.co/f4jEV0hLlc |
| 2020-02-29 | A practical introduction to FX Derivatives - history, products, smiles, technologies… https://t.co/IJoXBYERxv |
| 2020-02-29 | Flask, Plotly Jupyter dashboard and #dataviz of Coronavirus https://t.co/8C9TkJdi9e |
| 2020-02-29 | Another Coronavirus Jupyter notebook using John Hopkins culled data and Python code https://t.co/ZBoPPoPf8v https://t.co/aWWa3vlWsg |
| 2020-02-29 | An experiment: Quantum Black Holes, Wormholes, the AdS/CFT conjecture - The Atlantic https://t.co/BWNZD1jBmW |
| 2020-02-29 | I am often asked for good place to start to learn machine-learning applied to time-series prediction - this excellent 3-part journey by @eprosenthal into scikit, ARIMA and X is a very good start. https://t.co/JWWwbRi7wM https://t.co/ORryuslCd6 https://t.co/NTiy0EBezb |
| 2020-02-28 | Kaggle kernel with pandas_profile of Coronavirus transmission data https://t.co/tFORJVrdUB https://t.co/Z3eIxRTlY1 |
| 2020-02-27 | Volatility Virus | in FT https://t.co/UiYNxzz4BM |
| 2020-02-27 | Hmmm https://t.co/bYaCz1CalH |
| 2020-02-27 | Kalman Filter and Coronavirus prediction https://t.co/6SfdWtQygS https://t.co/gYabBR95hN |
| 2020-02-27 | YC’s startup founders guide https://t.co/Os8I5hynii https://t.co/x2PuJpc9R0 |
| 2020-02-24 | Useful #dataviz options to inspire… https://t.co/TJPTtnYyEm https://t.co/nOm6WnEHmf |
| 2020-02-24 | And the Python (and R wrapper ) Github site for extended isolation forests is here: https://t.co/AnSr9rrkh7 #anomaly #rstats |
| 2020-02-23 | Machine-Learning Model Interpretability with feature selection and Python code to capture marginal linear and non-linear effects #ml blog post https://t.co/nOZkUJAc6u https://t.co/wbzioG1fcG |
| 2020-02-23 | Coronavirus transmission #EDA in Jupyter Python https://t.co/xyuTdjzk0K #Covid19 |
| 2020-02-23 | Generally, not a good idea to short bet against RenTech https://t.co/OgAmGXurFp (and JPMorgan) https://t.co/jEbp4btFN7 … https://t.co/vfpQC2Qpuj https://t.co/voe4vcApAe |
| 2020-02-23 | Uber’s open source M3 Time Series Database #m3db optimized for streaming, massive scale #IoT and #AI Profiled in this article: https://t.co/EhbsIa3r7S Source: https://t.co/9mV9HCGsJ1 Video: https://t.co/zoliCS2aZ2 Spinoff by ex M3 engineers: https://t.co/w05GV835RP https://t.co/rr28UvSpTb |
| 2020-02-23 | VectorBT Vector backtesting library at scale, in Python https://t.co/P8v84yKLit https://t.co/bMPL6Z4eBS |
| 2020-02-23 | Extended Isolation Forest #ml methods and #anomaly detection https://t.co/T5C8duvzGu https://t.co/NJ47GAb5I3 |
| 2020-02-22 | Outbreak Analytics https://t.co/AIenMbjWBw https://t.co/g5KYdT9KXR |
| 2020-02-22 | Paper - a long short-term memory deep-learning (LSTM) network is apparently able to detect asset bubbles. #ml https://t.co/wMha8WONMg https://t.co/2mIxGmQL3H |
| 2020-02-22 | JPMorgan report on institutional Blockchain initiatives for cashless payments https://t.co/gRWbt84wSV https://t.co/44weGkqasj |
| 2020-02-21 | Liquidity Dynamics in Australian Stocks • paper liquidity momentum, industry effects… https://t.co/X9zazmtwDj |
| 2020-02-21 | Corruption Networks Paper with #dataviz analysis https://t.co/A7yStA2HnA https://t.co/VhLo2f22d8 |
| 2020-02-21 | Paper on intraday #Crypto trading dynamics https://t.co/6N0citvTrC https://t.co/iDX4OtBb1e |
| 2020-02-21 | Stylized facts and #lob dynamics of Bitcoin - paper https://t.co/apfhPsGZOr https://t.co/UhmHq2bDsl |
| 2020-02-21 | Greta = ‘Github, but for Data’ #Startup https://t.co/JDadUE79dY |
| 2020-02-21 | Another R Shiny #EDA of Coronavirus https://t.co/DLOs7SUIhF #Rstats https://t.co/Y59GvINhZT |
| 2020-02-21 | Think Stats ebook #EDA in Python https://t.co/Ebaf8sj6Ak https://t.co/4ybWx83MHL |
| 2020-02-20 | Morgan Stanley buys eTrade - a reflection of consolidation zeitgeist, secular decline of retail brokerage revenue growth and the increasing importance of cross-selling and information synergies with Wealth businesses https://t.co/FQGQ3Q7g1S |
| 2020-02-20 | On private markets | in TheEconomist https://t.co/TdhlupchxA |
| 2020-02-19 | Wow - awesome trade. https://t.co/IIxGBr79Qq |
| 2020-02-19 | Paper on the real value of stock market in China #QFII relative price-infomativeness https://t.co/9IRNsCz0Ez |
| 2020-02-19 | Article on building an SMS Coronavirus Alert System using Python with Selenium and Twilio Article: https://t.co/h4pdkvj7b4 Source: https://t.co/S8WjmYfxeg Related Dashboard: https://t.co/16l1aZfZ5F https://t.co/V1pViqnTol |
| 2020-02-19 | Excellent read on Amazon’s challenge to data privacy https://t.co/kkOaeHOoCo #gdpr #privacy |
| 2020-02-18 | R code leverages #ncov19 library to explore coronavirus as a stock market factor and recent returns… #IC #rstats https://t.co/f2N4UnV7rF https://t.co/jKTkTfwtcA https://t.co/oOdjjwdBt0 |
| 2020-02-18 | Covid-19 / Coronavirus data and charting exploration in Python code Article: https://t.co/3rUwg9Ac2r Source Code: |
| 2020-02-18 | Infodemics, disinformation and coronavirus https://t.co/3NR6WMeh2J https://t.co/xPuwalMCH3 #COVID19 |
| 2020-02-17 | Similarity measures can be leveraged in machine learning models to predict stock price movements as per this paper: https://t.co/aVzU1g1vMH #ml #timeseries https://t.co/ohsj7AYjFH |
| 2020-02-17 | Dark informed #HFT liquidity, spread, asymmetric information advantages and impact on stock market quality https://t.co/hVyzTGAYrg https://t.co/AGTN9LTkke |
| 2020-02-17 | MiFIDII Closing Auction trend analysis https://t.co/FvQlif9S56 #SI #Liquidity |
| 2020-02-16 | Shiny R #Rstats https://t.co/KoDuusvSJk And Streamlit Python Coronavirus Script Apps https://t.co/xy2nvxvxOk |
| 2020-02-15 | Fake news detection using Python, AI - #ml and #NLP tools and human engineering https://t.co/kJHo0M4ZWk #FakeNews #disinformation #misinformation https://t.co/tpOL0X39rC |
| 2020-02-14 | Systematic review of financial time-series forecasting using machine learning - paper https://t.co/iIZaUr0Wp6 https://t.co/nER3XAj2Ho |
| 2020-02-14 | Corporate Bond Market Making - paper analyzes perspectives across time, regulatory regimes, and stylized facts https://t.co/xvU64ihXyM https://t.co/JeXXCWYWUs |
| 2020-02-14 | The Atlantic on economic impact of Coronavirus https://t.co/YvQjbO9fHy |
| 2020-02-13 | FT on Quantamental, #ML and AltData https://t.co/kS6kK5oxY6 |
| 2020-02-13 | Sentimental about Sentimentr #rstats R package for polarity extraction, analyzing text for psychological or sociological studies. Package: https://t.co/vxL69ajc8W Article: https://t.co/PoR7tnTCWo https://t.co/OEC3K6qHTf |
| 2020-02-12 | Deep Learning of stock prices using Hyperparameter optimization, technical and fundamental features - paper https://t.co/bApnDCyP5d https://t.co/RDkIvC5NRS |
| 2020-02-12 | 2019 Factor Returns… https://t.co/CQqRNqACHG |
| 2020-02-12 | Reversal trading trend detection using MLP classifier, news and technicals - paper https://t.co/t7jbo1UzoZ https://t.co/0CZjjOFXiK |
| 2020-02-12 | Coronavirus Health Map https://t.co/n2p4GB4c0i https://t.co/dVGSSlUoMz https://t.co/BuCpmZp3X3 |
| 2020-02-12 | Coronavirus real-time geo-tracking in Python https://t.co/CW5JPyRO9A |
| 2020-02-11 | 10Ks and Jupyter Python code https://t.co/ZTKOQPaF38 https://t.co/e6H3pRnZWX |
| 2020-02-11 | 10Ks, #NLP and Python code https://t.co/djk6JLKqsu |
| 2020-02-10 | Why platform companies often fail https://t.co/fxuHyZRJmA |
| 2020-02-10 | Market microstructure design of a market for data ‘to address the lack of information and incentives and tackle the problems of data sharing, discovery, and integration.’ #paper https://t.co/2WJlRfPHm3 https://t.co/DUxEWEA2y7 |
| 2020-02-10 | #ESG Futures Launched https://t.co/G1fuWwKmHx |
| 2020-02-10 | Multi-Domain specific sentiment analysis in Tensor Flow / Python code using Google News embeddings Paper: https://t.co/mTikD64KFH Code: https://t.co/NMONtCvgqk |
| 2020-02-10 | Coronavirus App sources multiple data streams | in Shiny R #Rstats https://t.co/WW08RglN7r GitHub: https://t.co/vpg70enj32 https://t.co/2k8jMD5W9Y |
| 2020-02-10 | Early analysis of Coronavirus outbreak in Wuhan in R #rstats https://t.co/XZsEMq8ps5 |
| 2020-02-10 | Paper models international cases ex-China of coronavirus using exponential / Bayesian model and higher rate of doubling growth @ ~2.9 days https://t.co/dkQnzrPJJV https://t.co/MEKxHEAqJk |
| 2020-02-10 | Deeper dive into a DASH based dashboard of coronavirus and its callback based architecture https://t.co/KwRVij6LEJ |
| 2020-02-09 | Data science, scraping and coronavirus tracking across databases, and news sites https://t.co/JammIRIgHd |
| 2020-02-09 | Data markets, PayPal and other out-of-the-box emerging exchange operator strategies In WSJ https://t.co/DlQ7HBBzOG |
| 2020-02-08 | Jupyter Notebooks and Python implementation of SIER and EPI models for #coronavirus By Yiran Ying https://t.co/zVjfauSJl2 https://t.co/ydb8kLanAm https://t.co/3iK4mlWJyR https://t.co/cSMYQ4GHcP |
| 2020-02-08 | #Cornavirus Travel Model “Even under best-case assumptions, we estimate that screening will miss around half of infected travellers.†Paper: https://t.co/cWaBeawiay GitHub // Traveler Screening: https://t.co/eR50FGjhWP #Rstats https://t.co/3AF15uJ3KV https://t.co/vMMzL26ruU https://t.co/CjkXOMe0MH |
| 2020-02-08 | @farobursatil Python and @CARTO applied to #geo charting spread of #coronavirus https://t.co/Oo0Q3vwMuT https://t.co/AkonSMOtLd |
| 2020-02-08 | @farobursatil Omg - that is an awesome thank you meme! Happy to help our community. |
| 2020-02-08 | DASH Python source for a Coronavirus Tracker App https://t.co/qZAN6KqjWA |
| 2020-02-07 | Traditional market analysis does not explain price behavior of stock. This FT article sums up the Retail FOMO & values investment dynamics: https://t.co/xhNaez3FRB ‘15th most held stock by investors on the Robinhood stock trading app, with more than 150,000 users owning…’ |
| 2020-02-07 | Trade classification paper (2018) Simple parametric estimators of trade flow direction using Bayesian maths extends earlier works of Roll, Easley, Hasbrouk and others https://t.co/KdDr8xjmQx #lob #flow #marketmicrostructure #paper |
| 2020-02-07 | This handy article provises a timeline and links to each reported coronavirus expansion event https://t.co/r9LQ7YPmhV |
| 2020-02-07 | Pandas is awesome, and databases can be too slow for ML and tensor based analysis …. other tools like xarray, Zarr, vaex, dask exist. Python’s Datatable is there as well, this short article on how Datatable can analyze 100,000,000 rows of data https://t.co/Qi1tziuOie |
| 2020-02-07 | Neural Nets with PyTorch - Tutorial https://t.co/QhTrqDDVsx |
| 2020-02-07 | Transfer Learning, small data and why Deep learning isn’t so hard anymore… https://t.co/6qJKFvD9wk |
| 2020-02-06 | Yet another curve-fit based Coronavirus model in Jupyter Python code https://t.co/0tC59At7Qw https://t.co/tQ9jZ8qrLC |
| 2020-02-05 | Modeling #Coronovirus impact across large urban cities with Python https://t.co/Qu8rlEIJFZ https://t.co/aVrJ3sefgX |
| 2020-02-05 | #Liquidity remains the number one concern for institutional traders, in particular as trading #flow continues to fall https://t.co/45mj8yhnN0 https://t.co/hGx86PLhXE |
| 2020-02-05 | Quantifying high frequency trading paper #hft #marketmicrostructure https://t.co/iziVX7IS2u https://t.co/VkfHdNcW3r |
| 2020-02-05 | FT: Synthetic Data “It is a strikingly utopian vision: data that is not fake but idealised, used to hone perfectly just and fair algorithms in a digital paradise where data is still king but ruling as benevolent monarch rather than prejudiced patriarch." https://t.co/fzMyzZLmzZ |
| 2020-02-04 | More PyTorch adoption momentum #AI https://t.co/ScxMxHp0ti |
| 2020-02-02 | @pzlnts @paulportesi Try this direct link to the paper - https://t.co/luEPYFaqDJ |
| 2020-02-02 | An Ensemble of LSTM Neural Networks for High-Frequency Stock Market Classification using a variety of statistical and technical indicators - paperp https://t.co/N3IU6WXBwy https://t.co/Fq2S8ANwjs |
| 2020-02-02 | Good Morning New York! Happy Palindrome Day Today is a rare #PalindromeDay!!! 02-02-2020 â†”ï¸ 2020-02-02 #PalindromeDay #GroundhogDay https://t.co/gFipOAETdP |
| 2020-02-02 | Python source code for #Coronavirus 2019 nCoV realtime Tracking App Scapy + influxdb + grafana + NLTK + Stanford CoreNLP + Elastic Search with Docker Container https://t.co/GGRGj5hm4Y https://t.co/KrtUlbdYdo |
| 2020-02-02 | #Coronavirus Short-Selling Dynamics China Sticks: https://t.co/ItJGtOep3Z US Stocks: https://t.co/swFcgtqvzJ Via research by S3 Partners Ihor Dusaniwsky @ihors3 https://t.co/Dsif7QUtj2 |
| 2020-02-02 | #AI and our roadmap of dystopian challenges https://t.co/ctB43U1r8o |
| 2020-02-02 | Trigonometric Interpolation and Trading Signals Technical https://t.co/yGP0Vw4cfg https://t.co/QMj8GbHc0m |
| 2020-02-02 | Nowcasting the potential domestic and international spread of 2019-nCoV - paper https://t.co/rAOozaRXAg Model is parameterised with the latest mobility data from OAG and Tencent and R0 is estimated using Markov Chain Monte Carlo methods with Gibbs sampling. |
| 2020-02-02 | Jupyter + Amazon S3 + Spark + Python + AirFlow Short Interest impact on stock prices https://t.co/9YVDJHSvOX |
| 2020-02-02 | Another Python Jupyter Notebook charts rolling yield ratios as a recession indicator #Econometric #EDA https://t.co/SWwHPiPglG https://t.co/9xvJztLosV |
| 2020-02-02 | Real-Time Python plots in Jupyter Notebooks using JupyterPlot https://t.co/73btosZHUx https://t.co/eHNX3FyuOs |
| 2020-02-02 | Python Jupyter Notebook illustrates leading indicators for recessions https://t.co/mscXocpvms #econometric https://t.co/ra5ViJSR5q |
| 2020-02-02 | #ML Ops @imakashdesarda https://t.co/yxYI8JMqTX https://t.co/Lm3O3zRX5J |
| 2020-02-02 | #ML Pipelines in sklearn tutorial https://t.co/Nhipe8tfbk https://t.co/91dqYpbZqS |
| 2020-01-30 | Say hello to Mena “Meena was trained on a whopping 341 gigabytes of public social-media chatter” https://t.co/OxpSLAFpo0 https://t.co/iIoEADNObA |
| 2020-01-30 | Early Transmission Dynamics of Coronavirus paper in New England Journal of Medicine https://t.co/8sQjXH1tAM |
| 2020-01-30 | Python code and JHU CSSE data for charting #coronavirus https://t.co/CaJQGKLsdk |
| 2020-01-30 | Another #rstats model of #nCoV2019 transmissibility: https://t.co/zKF54KD2hB |
| 2020-01-30 | #rstats based stochastic model of coronavirus Code: https://t.co/OdbQyCKbEX PDF: https://t.co/1sR4LIS8MH |
| 2020-01-29 | What happens when you subject deep-learning based trading agents to evolutionary pressures? https://t.co/F0iMTZN4Tm #ml paper https://t.co/mnRgYrBn7M |
| 2020-01-29 | A functional Python-speaking deep-learning THiNG is now a Thing! https://t.co/MN0CQfIjGN |
| 2020-01-29 | The murky dark info trading economy at our doorsteps https://t.co/Y9w7yZxMEk EFF Report: https://t.co/6iHKa9tgOj Why is RING so easily hackable? https://t.co/S9W3oL10Ao And can be a backdoor into your WiFi https://t.co/2XsW1pGEIO #dataprivacy #GDPR #hacking #cybersecurity |
| 2020-01-28 | Paper compares estimators for realized and implied volatility https://t.co/AJYq4qPslq https://t.co/JVkYrjIX6x |
| 2020-01-28 | Uber is no slouch when it comes to depth of machine-learning stacks Plato - voice agents Ludwig - no-code #ml models Horovod - deep learning training Manifold - #ml debugger Pyro - A Native Probabilistic Programming Language https://t.co/iQGjZmlYtI |
| 2020-01-28 | Beta Convexity… https://t.co/fBgXiAWQUE https://t.co/D7EhKYZQiS |
| 2020-01-28 | Dispersion of returns and tail risks… https://t.co/pxxH7CFvo9 https://t.co/xKtujA7f3f |
| 2020-01-28 | Liquidity Quality and Gamma https://t.co/onjsQSk2k7 https://t.co/TOtOmdj35b |
| 2020-01-28 | John Hopkins interactive dashboard of coronavirus https://t.co/16l1aZfZ5F https://t.co/VwxipnkHs8 |
| 2020-01-27 | #nCov Coronavirus R #rstats Shiny App https://t.co/S1yO3u3fs5 |
| 2020-01-27 | Coronavirus Wuhan-Hu-1 #nCoV Deep learning https://t.co/ZCGBn66Aqy Bioinformatics https://t.co/6rWvs9Qc4L https://t.co/ugUIbJdyEo Jupyter #dataviz https://t.co/MWpHe0rZLx Scrape/Twitter https://t.co/DvIjLv0dFf Thread https://t.co/Qa9wIRzpIR Stats https://t.co/yU3Q0Ksh0C https://t.co/4oX7lPjYpc |
| 2020-01-25 | #AI innovation shape https://t.co/uT3UGlWa0C |
| 2020-01-24 | Portfolio construction and optimization using #LSTM model for prediction with integrated optimization - paper https://t.co/tx7AtSUvqi #trading #risk #ml https://t.co/awT6D5L5U0 |
| 2020-01-24 | Sector breadth trends and related R code #rstats and #dataviz gif animation #flow https://t.co/MoSg14Ng2S https://t.co/6I3gRsHrt2 |
| 2020-01-22 | OECD report on Financial Asset Tokenization https://t.co/F7MOhDtQKI https://t.co/3MZVJxJB3J |
| 2020-01-21 | ‘Rogue mutations of capitalism’, big tech and and an in-depth perspective on Roger McNamee https://t.co/ui3yt1NNTo |
| 2020-01-21 | Blockchain applied to secure the #AI pipeline of hyperparameter, models and test results in this short blog post by Microsoft Research https://t.co/JXSRw7ZOLK |
| 2020-01-21 | “There are broadly two adoption paths for new computing technologies. Inside-out technologies are pioneered by established institutions. Outside-in technologies, by contrast, start out on the fringes." https://t.co/2j6mw4yIT4 |
| 2020-01-21 | New VC Types: Revenue-Based Investing and Shared Earnings #vc #startups https://t.co/vyvOZriYXd |
| 2020-01-20 | Awesome zoomable rendering of any city or town. #Geo #Dataviz built in JavaScript with accessible source and open license. Run-it here: https://t.co/s7MXPqvCLS Source here: https://t.co/bgXgCalK0k https://t.co/F5oeWegNDm |
| 2020-01-19 | Interactive Linear Algebra ebook https://t.co/wqJOaTMuL7 PDF: https://t.co/ZTg0Ldqdcr JavaScript and MathBook XML example source: https://t.co/FAOLbdJClj |
| 2020-01-18 | Equity Factor Crowding paper https://t.co/56PdXhm4df https://t.co/rBHzRdWgcR |
| 2020-01-18 | Then there is today’s NYT article about Clearview a startup with tech and #AI, breaching privacy normalcy in such a way that even Google shied away from them… https://t.co/JEBBYt0AFH #privacy #GDPR |
| 2020-01-18 | Investmentsim A small R #rstats package to simulate investments https://t.co/PuovgdASoa #montecarlo https://t.co/NsQqyzsb47 |
| 2020-01-18 | Shanghai Stock Market Paper analyzes stock volume, monetary policy using a variety of methods including distributional and fractal… https://t.co/5CSUw3q5c5 #volume #flow #trading #tca https://t.co/ohPsSkIgMw |
| 2020-01-18 | Hmmm new Airbnb #patent application using social media & private sources: DETERMINING TRUSTWORTHINESS AND COMPATIBILITY OF A PERSON #20190073597 ”…a trustworthiness score of the person output from the rule based scoring and machine learning system” https://t.co/7REKZuL8lh https://t.co/lssyh38RLQ |
| 2020-01-18 | On #ESG ”…boilerplate ESG disclosure is not terribly useful to investors in differentiating companies…" https://t.co/OMOxSdgxyv |
| 2020-01-18 | Article on basic techniques for using manual feature engineering in machine learning (eg Random Forest) https://t.co/chVUG6WoHS #ml |
| 2020-01-18 | On the benefits of Tokenization - Interchangeability, liquidity, programmability, security, efficiency… https://t.co/vLFgGTRAie #Crypto #Token |
| 2020-01-16 | I’ve seen this movie…and it doesn’t end well https://t.co/KFr0Vt1PB8 |
| 2020-01-16 | Much Ado about CAT | in WSJ #Cybersecurity #SEC https://t.co/JkZhkRQPZM |
| 2020-01-15 | Jupyter notebook coded in Python using technicals as features (ema, macd, bollinger) and LSTM to predict stock price movements and a simple, not-really-for-profit trading strategy for geeky learning https://t.co/70UTSQaNqc |
| 2020-01-15 | Excellent thread on design vs innovation, form vs function #startup #productdesign https://t.co/p22RPef1Xp |
| 2020-01-15 | Definitely agree - it’s important to have worked #startup at least once in nearly every career to gain perspectives on tech and product innovation, agility, pivoting, failing fast, competitive dynamics, raising capital and more… https://t.co/ey4QZ6yRyx https://t.co/fZFPUEYVJ9 |
| 2020-01-13 | Re: 0x flow, community, whale-concentration, crypto metrics https://t.co/hwLtsnjcTA |
| 2020-01-13 | IMF paper on predicting CDS spreads - various models compared, large base feature set https://t.co/jiZxifk0az https://t.co/dFNfPkrx9S |
| 2020-01-12 | Stock and ETF Order Volume Analysis using R #rstats code By @jkregenstein https://t.co/amzkZod9hv https://t.co/lzcyWfgjIS |
| 2020-01-12 | Cross-Correlation and regression analysis between oil price trends and the S&P 500 with R code #rstats https://t.co/rz3sc7aleJ |
| 2020-01-11 | NBA Spencer Dinwiddie is going to sell his securities-backed SD8 tokens, which can’t be traded for a year, for $150,000 apiece to verified accredited investors under SEC Regulation D, Rule 506 (c) #Crypto #Token #NBA https://t.co/LbGkkbqLi0 |
| 2020-01-11 | Quantum Option Pricing leveraging unary representation of asset to simplify quantum circuit https://t.co/tEDiDnvZuX https://t.co/hJHa9bPaRd |
| 2020-01-11 | Probablistic programming JAX vs TensorFlow and NumPy https://t.co/B53zA2PjQK |
| 2020-01-11 | CorrGAN (a GAN fitted on thousands of correlation matrices estimated from historical returns of S&P 500 stocks) blog post with embedded Python code snippets https://t.co/u2Id1SOQ8G https://t.co/vK67XdoNfm |
| 2020-01-11 | Paper on unsupervised machine learning techniques applied to Treasury yields with embedded R code #rstats • nonnegative matrix factorization (NMF) • k-means clustering https://t.co/uEuVzJ64Eg https://t.co/gdetQ0N1kP |
| 2020-01-11 | It’s January, and the lens on short squeezes is applied by S3 Partners in this short blog post https://t.co/vUEB75XrRq https://t.co/DVm1HzTlqa |
| 2020-01-10 | More information can be found in this Linkedin post: https://t.co/3FETAAe5Xb |
| 2020-01-10 | After Richard Sandor invented interest rate futures, then sold his carbon exchange for almost $600 million in 2010, the Chicago trading icon is on his next big idea. His thoughts on AMERIBOR, the death of Libor, innovation, and Blockchain: https://t.co/q5zuvmOXQw https://t.co/s2OJkeKAVD |
| 2020-01-09 | Example of outliers classified simply using 5 #ml tools: K-Nearest Neighbors, Random Forest, … In #rstats #anomaly https://t.co/Tq19xmsWk3 |
| 2020-01-09 | Crypto market quality analyzed in this paper https://t.co/FWXwfmMRQB https://t.co/yoZURaU6Nw |
| 2020-01-08 | BTC belongs in everyone’s portfolio as a hedge in periods of macro stress… Better than Gold for this purpose… https://t.co/TKFumQN5Pg |
| 2020-01-07 | @Andrew___Baker @rstatstweet Oh dear, I’ve been caught in a flub. The field 1, Mr. Carrie 0 Thanks for the correction! |
| 2020-01-07 | SVIX, short-vol-ETF analyzed in R #rstats https://t.co/uFZaUc31QB https://t.co/FExIEMgazq |
| 2020-01-07 | Hierarchal Risk Parity of Multi-Asset Portfoliis https://t.co/8aiVf4I5pX https://t.co/PR9bGAVfzg |
| 2020-01-06 | 12 Crypto Hacks ~$300M in 2019 https://t.co/WVVBHRD6Qf https://t.co/5smqO5MCeV |
| 2020-01-06 | Eroding Moats, Tunnels and Bridges… https://t.co/OypCPxLxvB |
| 2020-01-06 | PyTorch seems to be overtaking TensorFlow for dominance of low-level machine learning frameworks… https://t.co/B1NS06XWF5 |
| 2020-01-05 | Paper in LSTM with Transfer Learning applied to stock price prediction using sentiment and novel framework called DTRSI with normally insufficient amount of datab, with good performance. https://t.co/5Jqh7JDxEK https://t.co/FJiMj6CfjK |
| 2020-01-05 | If Decentralizing Twitter is Jack Dorsey’s new goal, there is no shortage of ideas how to make that happen https://t.co/dXFgzwWVV5 And no shortage of challenges as this 100 page report highlights https://t.co/gJcSnk1gi4 https://t.co/DIGJWRZwxQ |
| 2020-01-05 | Time-Series can be decomposed into distinct independent factors, this paper discusses a novel EEMD-ICA based analysis approach to explore the underlying factors of single financial time series, using crude oil WTI prices for illustration and verification https://t.co/7eHBuqRH4J |
| 2020-01-05 | Dataset Drift: BBSDÂ (Black-box Shift Detection) in #Python sklearn code - relevant papers referenced at end #ml https://t.co/U7PQRjOzaS |
| 2020-01-05 | Good thread (and debate) on limitations of current production systems using time-series with #ML… ‘Any algorithm that is not organized fractally will eventually hit a computational wall, and vice versa.' ―Lsusr’s First Law of Artificial Intelligence https://t.co/FDj3id3Xiu |
| 2020-01-04 | Hmmm - dystopian social engineering leaks as per the @Observer and an active feed of related leaks on @HindsightFiles https://t.co/ruM7Y8Jfbg |
| 2020-01-04 | Meet Cliff Stoll and his hacker-hunter #cybersecurity obsession profiled in WIRED… https://t.co/kGS0ITpLgh |
| 2020-01-04 | #AutoML Paper compares various tools… https://t.co/CvRmk5bE7q https://t.co/Cu7nbgTt1V |
| 2020-01-04 | Excellent paper modeling ETF trading impact on stock price discovery https://t.co/RcOegmRH38 https://t.co/WdhVMQzD7G |
| 2020-01-04 | PLOS Paper on using LSTM with Attention and Wavelet Transforms vs traditional LSTM for stock price forecasts #ml https://t.co/JUK2tYFU2j https://t.co/uHcuGWKa4p |
| 2020-01-04 | Article opines on API copyright infringement in Amazon vs Oracle https://t.co/egwE7qM7gL |
| 2020-01-03 | A collection of crypto perspectives… https://t.co/xcveBJZw0S |
| 2020-01-02 | BTC/USD in what seems like another January free-fall (below $7K) https://t.co/GMQv6rh7Wp |
| 2020-01-02 | @pyquantnews Thank you for the shout out. Deeply appreciated and glad to help the common cause! |
| 2020-01-02 | Deep learning and momentum trading strategies explored in this #ml paper #LSTM #GAN #SVM https://t.co/tK8EXMxfIY https://t.co/63EUa9UTjX |
| 2020-01-02 | @SalArnuk @WSJ Sal, thanks for the post - the paucity of liquidity in liquid markets does not get enough coverage. |
| 2020-01-02 | Latent ODEs for irregularly-spaced fine-series using #RNN #ml Paper: https://t.co/QXg2lMaKVo GitHub source: https://t.co/viMZWb4ZIT https://t.co/kWifScizkt |
| 2020-01-02 | When #optimization is fun, and you want to roll your own meta-heuristics or adapted approach there is #Opytimizer with only numpy & matplotlib as dependencies. Opytmizer #Python source: https://t.co/KsN3opqcYb Paper: https://t.co/NfTTDEB0mU Similar tools: #Evolopy #Inspyred https://t.co/RG7iPDLE1f |
| 2020-01-01 | AI, DeepFakes, Bias and assorted other cybersecurity challenges for 2020 https://t.co/VjEKpodqVT |
| 2019-12-31 | NDF Trading Volume Analysis #FX https://t.co/vPdB9Alp5M https://t.co/x4OGZGOMYN |
| 2019-12-30 | #AutoML now has many open-source variants; a new one is ZazuML https://t.co/mhxz6Z7YIb https://t.co/eI0OlIqcLI |
| 2019-12-30 | DB Research: Imagine 2030 Good read on the impact of Crypto, Drones, De-Urbanization, and other next-decade predictions https://t.co/UnpPbI7hYY https://t.co/QVgfqhayVz |
| 2019-12-30 | “The risk of re-identification of wearable data is real. … A rule of thumb for re-identification risk of wearable data: 6 days of step counts are enough to uniquely identify you among 100M other people." https://t.co/4xTediydDL #privacy #gdpr #cybersecurity |
| 2019-12-30 | Stock prediction using daily returns, simple feature engineering, logistic regression #python code and TA-Lib library #ml #trading https://t.co/GguMrQIQeW |
| 2019-12-29 | Latency, Reg NMS and realized opportunity costs in fragmented stock markets in the US https://t.co/5rptB1TKii https://t.co/KUQ1UcxujP |
| 2019-12-29 | Paper, “Limit order submission risks, order choice, and tick size†empirical measures of non-execution and picking-off risks on the Tokyo Stock Exchange compared to spread and simple measures of transaction cost. https://t.co/ZFsOLENxrG #TCA https://t.co/shqZeZHONm |
| 2019-12-29 | Robust Equity Momentum - an asset management case study in Ensemble-based machine learning and the importance of tweaking out fragile results out of the optimization process h/t to @jkregenstein https://t.co/nk5WVl0MrA |
| 2019-12-29 | Crypto price jumps - paper https://t.co/UEOAcZWuLG #abnormal https://t.co/jOvp3a0zdr |
| 2019-12-28 | Mini-Flash Crashes, liquidity measures paper https://t.co/dCXjnmFY2P #stock #trading #hft #marketstructure https://t.co/kpnDQDUs7z |
| 2019-12-28 | Intraday trading of CSI Futures using deep learning, GARCH, SVM and VPIN https://t.co/w5XVaHBqPr #hft #trading #ml https://t.co/McTK8qKYlM |
| 2019-12-27 | Automation, AI and new competitive and market dynamics lead to 80K head count compression in banking… https://t.co/sJbO01ReIa |
| 2019-12-27 | Causality in Time Series: reconstruct causal graphs from high-dimensional time series datasets in Python code #Tigramite https://t.co/pSXJvQsvff |
| 2019-12-27 | Polyglots are apparently wired differently… https://t.co/gNTGn91kgK |
| 2019-12-27 | Nonparametric Co-movement measures https://t.co/A7wri0VAcb https://t.co/ZxwaOkA4hk |
| 2019-12-26 | The importance of data engineers to data science https://t.co/g9t1cuYb6x https://t.co/ydOdRoZO3o |
| 2019-12-26 | Anatomy of Algirthmic Trading https://t.co/ox5b2dZj0F #TCA https://t.co/uGFpAGMqOy |
| 2019-12-26 | https://t.co/aE80aBGfqv #Crypto Convexity and other decentralized protocols https://t.co/5TWtEhADq6 |
| 2019-12-26 | Volatility momentum indicators https://t.co/whVcBjmNij https://t.co/Jy6JaXWYfV |
| 2019-12-25 | Apache Flink and Dynamic Time Warping #DTW for streaming time-series similarity analysis - paper (applies DTW to streaming ECGs updating many times per second) https://t.co/tQwC2UpLFE More on #DTW https://t.co/jMhuUSuJhC Python code: https://t.co/M6jA04F0UZ https://t.co/rDvoFkCtg3 |
| 2019-12-25 | A #Crypto uberization of brokers in market marking with the Jarvis protocol profiled here… https://t.co/ynAioCYc9d |
| 2019-12-25 | Adversarial relationship modeled between regulators and high frequency miscreants who try to manipulate markets https://t.co/zFeHjOCn2K https://t.co/2gLwWHWEFC |
| 2019-12-24 | Stock option pricing inference - Gaussian vs Cauchy https://t.co/hSqUZU2rkw https://t.co/1T0GOQ1fUG |
| 2019-12-23 | The risks with Machine Learning biases, model-drift and lack of transparency in algorithmic trading engines are the focus in this article in FT today https://t.co/dbdDjfS6Oc |
| 2019-12-22 | When scale is not a #moat https://t.co/uoJ3pOXDf1 https://t.co/YptLYwy6ju |
| 2019-12-22 | napari: a new fast n-dimensional array / image viewer in Python | profiling the development over a decade in the making https://t.co/8NXvlyzDn9 |
| 2019-12-22 | #Deepfake profiles in Facebook as profiled in the #NYT https://t.co/eSE4Si3Is0 #disinformation |
| 2019-12-22 | #ML and Quantitiative Trading Paper presents a multifractal formalism (MF) as a framework for testing the capacity of an Machine-learning model to reproduce some non-overlapping statistical properties of the time series. https://t.co/D6JUdPERr6 #MackeyGlass #FX |
| 2019-12-22 | Thanks and I understand completely that challenge… https://t.co/WxVzQjmtWc |
| 2019-12-22 | Triton: ‘In attacking the plant, the hackers crossed a terrifying Rubicon. This was the first time the cybersecurity world had seen code deliberately designed to put lives at risk.’ https://t.co/9RSC58rq8G |
| 2019-12-22 | Quantitative Backtesting Notes - short 4 page easy read - useful for the uninitiated… https://t.co/vtSqSKIhSZ https://t.co/UHOsmCnqEp |
| 2019-12-22 | Dystopian AI Anti-patterns to avoid #GMAFIA https://t.co/lpb2Y8VGKl https://t.co/IzB2HtUEnu https://t.co/k3CB7qg4P5 https://t.co/8K7vxac80j |
| 2019-12-22 | Bitcoin Dashboard In R and Shiny Mempools, blocks and prices analyzed https://t.co/l4oQnTHi8B https://t.co/p1hl4njCrT |
| 2019-12-22 | #Cybersecurity backdoors can be tiny “a backdoor present that is only 249 bytes long. The backdoor’s md5sum is 93363683dcf1ccc4db296fa5fde69b71 and is undetected on virustotal and other threat intelligence websites." https://t.co/vTGQVOEO2P |
| 2019-12-22 | These are the kinds of new challenges the world is facing as we approach 2020… #drones #antidrones #swinefever https://t.co/CR0K1azjAM |
| 2019-12-22 | #DeepPrivacy = #DeepFake using #PyTorch and #Python code https://t.co/A1lMO318Xn https://t.co/XEzVpOpbHQ |
| 2019-12-21 | Isolation Forest algorithm, #anomaly, and R #rstats code… https://t.co/yAw3Oi2DEi |
| 2019-12-21 | Hmmm | Asymmetric timely access and Information… https://t.co/pPSnocqmke |
| 2019-12-21 | Intraday stock price jumps paper https://t.co/q35ICywpfy #anomaly #outlier #jump https://t.co/f46GNLoQhD |
| 2019-12-21 | #NBA Data Science and #rstats code https://t.co/0yQFH9cUzy https://t.co/lPehSbjMpN |
| 2019-12-21 | Postscript on #privacy https://t.co/gB1DHQJhag |
| 2019-12-21 | @NetworkRailSE @SouthernRailUK @TLRailUK @GatwickExpress Never get root cause analysis with such clarity and candor from the @LIRR - all they need is a tiny team: • a data scientist, • a graphics wizard • and a journalist Post the stories on their app each day & raise awareness for the system. Scale this approach for the @MTA |
| 2019-12-21 | Order flow, parametric, and phenomenological models of market impact along with signal and cost effects and why ‘S’ is interesting shape Article: https://t.co/Kc0KT59Pe8 Paper referenced: https://t.co/3QZGJxiH8Z #TCA https://t.co/IkFPMkoAbU |
| 2019-12-20 | TensorFlow probability in (sports and) stocks primer https://t.co/YEZjzBJwCi https://t.co/BREE6wW7Xz |
| 2019-12-20 | MIFID II and #TCA Market Share https://t.co/4bVDEKWc5F |
| 2019-12-19 | Analysis of #AMM Scale Automated market maker trading revenues including Citadel https://t.co/54OlCP4t4r |
| 2019-12-19 | 50 Billion Telephone Pings and counting… NYT brilliant interactive visualizations on how our cell phones track us and that growing ecosystem #dataviz #privacy https://t.co/8YhM0tZmnI https://t.co/F2jqfHkqa3 |
| 2019-12-19 | …the never ending market structure debate about tick size profiled here… https://t.co/vSP2jI2gLx |
| 2019-12-19 | Notable #AltData vendor and challenges of commercial execution profiled here… https://t.co/yQyMGK60dG |
| 2019-12-19 | Bank of England Bad Boys | Financial Times https://t.co/kJD24zBzpo |
| 2019-12-19 | Embedded Python for AI in this new ebook https://t.co/aarHkhf5fF https://t.co/Q3YYz3c8uC |
| 2019-12-18 | HAR model for realized volatility https://t.co/YLgDsLfBR0 |
| 2019-12-18 | Bitcoin risk redux HAR model https://t.co/WwYDupTnSs https://t.co/3nGYX7IBv7 |
| 2019-12-17 | Peak Fintech… Or Not? https://t.co/dQAv2wyWHq |
| 2019-12-17 | Deep Data?! https://t.co/TGJQQMrzEm |
| 2019-12-17 | Blockchain Capital retrospective report on 2019 trends - eg big tech wanting to be your bank and the impact on crypto https://t.co/3t91XftkHd https://t.co/nOrnyp4dSh |
| 2019-12-17 | 800+ page Deep Learning ebook with #Python example code Ebook: https://t.co/QM7FdQSzN8 GitHub source: https://t.co/zorHyHtyna https://t.co/yrqgHcyfMG |
| 2019-12-17 | “Facebook and others would probably have to sign up to tightly regulated processes to win a licence. That may sound anathema to the principle of open access that underpinned Facebook’s social engagement tool…†|Financial Times #Crypto https://t.co/z65Yf3Nvgm |
| 2019-12-17 | @pascal_bornet @alvinfoo @FrRonconi @andi_staub @Paula_Piccard @psb_dc @Ronald_vanLoon @jblefevre60 @evankirstel @mvollmer1 @HeinzVHoenen @samiranghosh @YuHelenYu @MHiesboeck @andy_lucerne @ipfconline1 @SpirosMargaris …and those machine learning geeks and developer teams using #datarobot or #dataiku to collaborate could also take a peek at this Python open source code base for detecting driver (trader) temporal attention-deficits on Github for inspiration :) https://t.co/nhSiFMM13z |
| 2019-12-17 | AI infused bioreactor to thwart climate change and a #Hypergiant in this not so tall tale… https://t.co/72PNJGJi1T |
| 2019-12-16 | @ltabb @daveweisberger @CBOE Don’t disagree with #1 and #2 but I will throw in another observation… Current market structure is optimized for retail (protected quotes) & high frequency trading, but we are seeing more market structure evolution to entice passive factor and more cross-border flows vs blocks |
| 2019-12-16 | Anticipy: the trend of new Python libraries towards automl, automated feature engineering, continues with a forecasting library with sensible defaults and minimal configurability for time series prediction https://t.co/x3OZHxaOLt |
| 2019-12-16 | @daveweisberger @ltabb @CBOE Execution Algos and their SORs will be able to adjust to the altered tortured market structure and determine the proper tradeoffs of possibly interacting with non-protected quotes…beneficiaries include complex cross-border trades & global factor ETFs with lower short-term α. |
| 2019-12-16 | Python time-series feature engineering techniques profiled in this article https://t.co/1dWPrDvisd |
| 2019-12-16 | …or this could instead increase the complexity of basis risk by introducing yet another basis, thereby leaving each with less liquidity and more differences-in-convexity in between… https://t.co/nbkezaG7Fg |
| 2019-12-16 | NASDAQ’s proposal for intelligent ticks… https://t.co/OcdJllTEcy https://t.co/oZR5AxGddb |
| 2019-12-16 | Excellent #NeuIPS thread - nites, visualizations and perspectives https://t.co/MbiaoWbaxS |
| 2019-12-16 | @pascal_bornet @alvinfoo @FrRonconi @andi_staub @Paula_Piccard @psb_dc @Ronald_vanLoon @jblefevre60 @evankirstel @mvollmer1 @HeinzVHoenen @samiranghosh @YuHelenYu @MHiesboeck @andy_lucerne @ipfconline1 @SpirosMargaris Traders also need this kind of affective technology based automated risk avoidance as well (eg when distracted by a BBG chat message, an email or while focused a different ticker) |
| 2019-12-16 | Good synopsis of NBA RPM measure and why that stat is useful to predict individual performance by @kpelton (the NBA, IMHO is catching up to Baseball for the most powerful data science in sports) https://t.co/124tC6CeJw |
| 2019-12-16 | Rethinking the FAMA factor model… https://t.co/PL8Uj2oWMA |
| 2019-12-16 | @macro_srsv AIS technology applied to vessel tracking is an excellent new data source for commodity and trade flows and nowcasting predictions - paper (h/t to @macro_srsv) https://t.co/0rQpxz3Fnv |
| 2019-12-16 | Portfolio trading algorithm using Q-learning #ml #algo https://t.co/lZd6v6nt1d https://t.co/p9CegF8JbI |
| 2019-12-16 | Another patent that should not have been issued - algorithms have been employed for decades in order routing - this quantitative order routing patent doesn’t specify a particular method, instead blankets all machine learning math https://t.co/rf9MONEEDO https://t.co/Aa2rJ2FCa4 |
| 2019-12-14 | Ensemble of 12 LSTM #ml models applied to stock return classification https://t.co/CNhbFYzHeW |
| 2019-12-13 | @ltabb Definitely unintended consequences as you allude: off exchange, dark and SI flow are higher than initially expected. |
| 2019-12-13 | Machine Learning map on AWS post re:Invent 2019 https://t.co/0WiJoHfcku https://t.co/4LwPiKXWp2 |
| 2019-12-13 | Quantamental vs fundamental and other classic investment strategies profiles in this Forbes article https://t.co/ywjf7ZXvlM https://t.co/0OVac8rcxC |
| 2019-12-12 | Information asymmetry around Earnings time - paper https://t.co/F5ltACcIkp https://t.co/iZYvvu5xW9 |
| 2019-12-12 | Trade Clustering paper https://t.co/YHnZP5LtWl https://t.co/GyzgmmnAcC |
| 2019-12-11 | @jack Decentralized social media is far less a technical protocol problem and far more a governance and social order problem. Misinformation management and optimizing bot utility could be a design goal. Commercializing alternative channels under different brands could be a motive. |
| 2019-12-11 | Stochastic Volatility-Liquidity model to predict intraday variation https://t.co/1mqO59wONw https://t.co/vL7BGyouOt |
| 2019-12-11 | Closing stock volume analysis #CAC40 https://t.co/wEwHLtJFJK https://t.co/Z6Z9a4xTsp |
| 2019-12-11 | SPY ETF Intraday Volume Analysis | Volatility, Volume and Returns https://t.co/R91fEPCuvn https://t.co/MoNE6jVSeG |
| 2019-12-11 | Causality in Time-Series - new methods for very large interdependent time-series data sets https://t.co/iTXFYGzx4h |
| 2019-12-10 | Compromised #AI Models | in WIRED https://t.co/gU9mzsc9JH |
| 2019-12-10 | Neuroatypicals and genetic matching #GeorgeChurch #Andover https://t.co/Y0Qowy20HU |
| 2019-12-09 | WSJ on Alternative data https://t.co/IzF00bG3bc |
| 2019-12-08 | Paper on applying machine learning to indexing multidimensional data https://t.co/NYbC7nEXHB https://t.co/9aWxANF932 |
| 2019-12-08 | Multi-factor regime switching #lob limit order book model for stock trading https://t.co/CpyJ35NZbP https://t.co/1IW66bsRTz |
| 2019-12-06 | ETF impact on single stock liquidity… https://t.co/s3pP5ZrqWt https://t.co/fiML8svpL2 |
| 2019-12-05 | Two innocuous yet malicious Python libraries identified as stealing SSH and GPG keys #cybersecurity https://t.co/r3z0NgHNdf |
| 2019-12-05 | AI Startup Dataiku now at $1.4Bn valuation. https://t.co/Was0cCnXgR |
| 2019-12-04 | @johnpcomerford IMHO, back in 2013, MSCI introduced - iShares MSCI USA Size Factor ETF (NYSE:SIZE) -Â iShares MSCI USA Momentum Factor ETF (NYSE:MTUM)) -Â iShares MSCI USA Value Factor ETF (NYSE:VLUE) In 2017 over $1T in Smart Beta funds (as per link below) https://t.co/xih5KeuBXX |
| 2019-12-04 | Nature Article in new tech to browse and #dataviz genomes: https://t.co/cvUxtEXfZK Genome Browser: https://t.co/EIWrb5UdPU Source Code: https://t.co/rSKPFS2mge |
| 2019-12-04 | Startups and Uncertainty - excellent Hump Day read https://t.co/cJyiBt3uAI |
| 2019-12-04 | Wealth by generation and short #rstats code snippet to #dataviz it Via @cavedave https://t.co/udTGqoB03A https://t.co/Bw4GmSSwpN |
| 2019-12-04 | Ungoogling the tether that binds us… https://t.co/NTkKjsiA9T |
| 2019-12-04 | Smart Betas Redux https://t.co/y5BNxKBtUD https://t.co/3Pwewm3iHI |
| 2019-12-03 | Peak FinTech? | FT Alphaville https://t.co/kFX677ziow |
| 2019-12-03 | DNA phenotyping and other dark corners of bio-data-science… | in NYT https://t.co/AYpqc5Q397 |
| 2019-12-03 | Sentiment analysis on 10K reports for returns - Jupyter notebook and Python code #NLP #Jaccard Similarity https://t.co/J0glTieOed |
| 2019-12-03 | 0.30000000000000004 across time, computer languages and CPU architectures. It’s a website now, so it’s a thing! https://t.co/BmCPivbzaG https://t.co/okOB3FDhAp |
| 2019-12-02 | Information share and density of high frequency #fx #flow https://t.co/biZHuGLRTX https://t.co/RTcR1lFUdN |
| 2019-12-02 | An Almighty clue? ‘And that no man might buy or sell, save he that had the mark…' Amazon, Alibaba, Auto-Facial Recognition Affective Computing… A Neural-Link A hash, a mark, a code, a lack of entropy and a clue to a higher presence… Always good to keep minds open… https://t.co/QHCBNygLad |
| 2019-12-02 | Hmmm https://t.co/tx0DHKUORg |
| 2019-11-30 | Empirical asset returns for Bonds explored using machine learning in this #ml paper https://t.co/BOojlBUgEY https://t.co/XoZ0AtqShd |
| 2019-11-30 | Data is the new currency… Re: FitBit: ‘Google access to a huge trove of heart rate, activity and sleep data which it could use to create a new range of personalised health services.' https://t.co/ExkzsVnHdV |
| 2019-11-30 | Interactive #DataViz of The Structure of Economics https://t.co/15KllgEIoo |
| 2019-11-29 | Kolmogorov complexity and real time streaming financial applications driven by machine-learning - #ml paper https://t.co/iEJ5YgAm8w https://t.co/22awojLOqj |
| 2019-11-29 | Re: Ramanujan’s foundations for mathematical innovations https://t.co/iBcGLf0Jo8 |
| 2019-11-29 | Paper on ETFs and related Stock #Liquidity in redemptions, trading and other lifecycle events https://t.co/oKhxxCgEjA https://t.co/ApDNJX0Rrz |
| 2019-11-28 | Ranking Cryptos by how decentralized they are - aka number of nodes https://t.co/QkWMFScIAi |
| 2019-11-28 | Paper on order #flow toxicity on the NSE - order imbalances, trader types, net order flow - all analyzed https://t.co/TxtMGnWK9Q |
| 2019-11-28 | Excellent Robeco factor model paper changes current conceptual frameworks. Their thesis: Decomposing factors into their long and short dimensions is crucial for understanding factor premiums and building efficient factor portfolios. https://t.co/t127eA3l7E |
| 2019-11-28 | #ML and Crypto Trading Practical insights with machine learning, features and slippage analysis https://t.co/wRDLWB1oE0 https://t.co/hX22tdbDf6 |
| 2019-11-27 | Article misses other use cases for Crypto reporting Ops and market risks are much higher than OTC derivatives and FX but still useful in some portfolios so risk and independent valuation reporting are key. https://t.co/LRbIq138b5 |
| 2019-11-27 | CNN-LSTM limit order book modeling paper targets #lob price differences and using depth as a stationary feature https://t.co/kORndUHjrn https://t.co/5T3ufeamZ3 |
| 2019-11-27 | Twisting VWAP into a point-in-time yields a microprice spread indicator as this introductory two part article on elementary market microstructure explains… https://t.co/j0CXEa3Iqq https://t.co/61T1Gaf9sP |
| 2019-11-27 | LSTM applied to stock market price jump prediction paper using limit order book based feature sets #lob #ml #flow order imbalance https://t.co/nNVj3VnglR https://t.co/9NRcnfVAU8 |
| 2019-11-27 | Knowledge Graphs algorithms in Python Pykg2vec Paper: https://t.co/MGNYgnkGax Source: https://t.co/XIlEcKpiZy https://t.co/qpx6vj8lLo |
| 2019-11-27 | NYT “Powerfront does keep a record of customers’ past sentiments. And the company has access to an extraordinary amount of information. It not only knows when consumers are buying blouses, but also their favorite styles and fits.†https://t.co/xPFivG1ErP #privacy https://t.co/4vBACaWbfI |
| 2019-11-27 | Crypto #AMM Paper DRLMM framework demonstrates the effectiveness of policy gradient methods in solving stochastic control problems in market making using limit order book data and trade and order flow indicators. https://t.co/yk6tvkrhaj #deeplearning #ml |
| 2019-11-26 | Data Science is the new #NBA Modern NBA Positions Analyzed https://t.co/kjNJ9BjvEX https://t.co/vMZJiwWxTr |
| 2019-11-26 | Defending the indefensible in the NBA with heuristics: Exhibit A: free throws https://t.co/0WRcGi6z8M |
| 2019-11-26 | Dark Pools can’t be reduced by reductionist argument to not ‘Lit’ venues - there are varied consequences of exposure to toxicity, different matching patterns, signaling and trading costs based on the particular pool the trader or algorithm make… https://t.co/ZLeBALWzyM |
| 2019-11-26 | @Jaysivahf Thanks for the #FF |
| 2019-11-26 | ETFs: Index replication and impact on liquidity #tca #arb https://t.co/oKhxxCgEjA https://t.co/BxdUebs9Ve |
| 2019-11-26 | Expected consolidation of online brokers… https://t.co/y5Ib2wxEiT |
| 2019-11-25 | Collection of Jupyter financial notebooks - Derivatives, Heston, Kalmon, Transaction Cost Modeling… https://t.co/pc3BfIXXJg https://t.co/CSmzxCfoSW |
| 2019-11-25 | Partial index tracking using novel reparametrization and deep learning with performance optimization - eg Sharpe, Max Drawdown - paper https://t.co/UeoSt3qzJz https://t.co/CvSUnGw0hM |
| 2019-11-24 | Fabulous historical perspective on Atomic Bomb spies in NYT https://t.co/Xhwu0MLne4 |
| 2019-11-24 | Natural Language Text Generation #GLT2 and their writings… | in WIRED #NLP #AI https://t.co/vg5bM4dUct |
| 2019-11-23 | Sigmoid and SanKey https://t.co/GWtD0O6buE https://t.co/eMuu8dgs7b |
| 2019-11-23 | Hmmm $FB #GAN #DeepFake #FacialRecognition https://t.co/xXIFThDOqK |
| 2019-11-23 | Deep Momentum Networks - a hybrid class of deep learning models which retain the volatility scaling framework of time series momentum strategies while using deep neural networks to output position targeting trading signals. https://t.co/xIKhJbuNYi https://t.co/ttTrKVTfsp |
| 2019-11-22 | Rocket - Exceptionally time-series classification in Python using linear random convolutional kernels Paper: https://t.co/NYvNWuN68Y Source: https://t.co/mI51D1TBgC https://t.co/VwSE9Uh9HQ |
| 2019-11-20 | Good short into to #TCA and Optimal trading https://t.co/nyLrrbrMZX |
| 2019-11-20 | An alarming Google Android cybersecurity vulnerability profiled… https://t.co/3IorI5phGT |
| 2019-11-20 | Causal relationship between financial news and stock price movements explored in this short paper https://t.co/N59H35ygQs https://t.co/e1QXFmErrz |
| 2019-11-20 | Equities VaR modeling https://t.co/NYkLI4XydK https://t.co/oeA2qjssn6 |
| 2019-11-20 | tug-of-war between intraday and overnight returns: “the smoothed spread between the overnight and intraday return components of a strategy generally forecasts time variation in that strategy’s close-to-close performance…" https://t.co/P0xrWNISOc https://t.co/AwdfgnKVIh |
| 2019-11-20 | Mixing scalar, functional and compositional data for stock market predictions https://t.co/p1bJ7oGGaW https://t.co/fMStFOallL |
| 2019-11-19 | Python for Econometrics - revised and up to 1,590 pages https://t.co/q3ZOKNjiiJ https://t.co/tIT8DCM0YY |
| 2019-11-19 | Deep learning for time-series classifications - paper https://t.co/b5Q0UdDboc https://t.co/NpJSdugUdw |
| 2019-11-19 | Crypto cybersecurity takeaways https://t.co/5flGPv7UPV https://t.co/sYAT6DCpk1 |
| 2019-11-18 | Breaking Mimblewimble #Crypto https://t.co/ctiAgTpebL |
| 2019-11-18 | Factor Timing https://t.co/n6uBj4eNyU https://t.co/SkIZM48vKp |
| 2019-11-17 | Multifractal detrended cross-correlation analysis in FX to support arbitrage trading paper https://t.co/OsIRkKNinN |
| 2019-11-17 | Applying recent #NLP advances to classification of #timeseries https://t.co/CHzR23Um3d |
| 2019-11-17 | Deep learning for high-dimensional time-series https://t.co/POrPtiXe0N https://t.co/GKbtUqTnGy |
| 2019-11-17 | Re: Open Office ———————— “Many common assumptions about office architecture and collaboration are outdated or wrong. Although the open-office design is intended to encourage us to interact face-to-face, it gives us permission not to." https://t.co/Zee5WZj735 |
| 2019-11-17 | Formal review of fundamental vs technicals signal strength #alpha https://t.co/a517RUsBNL https://t.co/EEWjQe35tu |
| 2019-11-17 | Pairs Trading https://t.co/w2wyfJVjED Deep-Q Reinforcement Learning Cointegration https://t.co/j20InQj5Ar |
| 2019-11-16 | Coinbase is apparently in discussions to acquire Tagomi #crypto https://t.co/sSLnOL6T8c |
| 2019-11-15 | Stealing Signs in #MLB Data Science Discovery And impact on Baseball https://t.co/jmBTYkG9nM https://t.co/bV6OLTGMCR https://t.co/FnV2LiZD1L Via @No_Little_Plans https://t.co/2wB4v26HUk |
| 2019-11-14 | An ensemble of LSTM neural networks using a variety of common technical indicators for highâ€frequency stock market classification | paper #hft https://t.co/CNhbFYRiDw https://t.co/bAXHtSmJAL |
| 2019-11-14 | Amazon is now a data vendor… https://t.co/uqi5tyNXgx |
| 2019-11-14 | Statistics and Machine Learning in Python #ebook ftp://ftp.cea.fr/pub/unati/people/educhesnay/pystatml/StatisticsMachineLearningPythonDraft.pdf https://t.co/5sf31eiLyD |
| 2019-11-14 | More on speech generative speech systems from Google #TTS https://t.co/mekCaHQMZd |
| 2019-11-13 | Crypto Trends Report 2019 by Coinshares https://t.co/qpE2frMXcs |
| 2019-11-13 | The shape of neural networks | in WIRED https://t.co/px4zVEjw7q |
| 2019-11-13 | Novel hierarchical correlation reconstruction (HCR) methodology applied to bid-ask spreads, predicted from more accessible data like closing price, volume, high/low price, returns. https://t.co/ExuxwdYwIe https://t.co/0PpqoyJnG3 |
| 2019-11-12 | AFME Cloud Recomendations https://t.co/l4BEoC5Nl3 |
| 2019-11-11 | US firms and non-cross listed ADRs bid-ask spread is typically U-shaped on average, but cross-listed firms are J-shaped as per this recently published paper (albeit 2015 data set) #liquidity https://t.co/KYDIcntGFI https://t.co/ykc53mmQqr |
| 2019-11-11 | #ML methods: SVM, ANN, and k-NN applied to stock data prediction - paper https://t.co/q494fDTpFK https://t.co/XDnG3hoSYt |
| 2019-11-10 | Crypto order #flow analysis paper with embedded python source code https://t.co/m4sTRfA5D4 https://t.co/k11BNAnM4h |
| 2019-11-09 | New Theory Implied Correlation Paper #TIC using machine learning (TIC are consistent with hierarchal SIC Classifications) By Marcos Lopez de Prado https://t.co/sp2VU1J4nY |
| 2019-11-08 | Optimal Liquidation using reinforcement learning // #ml paper https://t.co/jhVStq06Rg https://t.co/BMXRc60GLK |
| 2019-11-08 | Disruptive Finance #ebook https://t.co/vYVLMUUsyx #AI #FinTech https://t.co/GYasY01BPO |
| 2019-11-07 | Three #AutoMl risks profiled in this short HBR opinion post: https://t.co/cRq6H1dlg7 |
| 2019-11-07 | #10b18 Goldman Sachs perspective on fading Stock Buybacks on equity trading volumes… https://t.co/YErdjX7eLT |
| 2019-11-07 | Order #flow data to provide direct measures of buying and selling pressure related to carry trading and momentum strategies in FX Trading https://t.co/TxTPAQSpMh https://t.co/HxI9LiUAgI |
| 2019-11-07 | High frequency beats and stock specific news - paper https://t.co/Sl0ivmkn97 Classic spike, over-reaction and reversion… https://t.co/bY371zHBoN |
| 2019-11-07 | Dissertation on modeling stock limit order books #lob by Heterogeneous Autoregressive (HAR) #ml models Heterogeneous Autoregressive (HAR) model https://t.co/xnXytdt7fm Similar research by Martin Magris https://t.co/AnlddCB4sV https://t.co/nF2KuhpU2T |
| 2019-11-07 | Trader classification by characteristics of trade/order #flow paper https://t.co/aX4Gyl6TNk #liquidity https://t.co/yd7kFweYM6 |
| 2019-11-07 | Option implied bilateral depth-of-liquidity - paper (albeit older data set) https://t.co/CkzlfVHiwK #tca #liquidity https://t.co/faKPZtIIUW |
| 2019-11-07 | Compound Hawkes processes applied to high frequency stock price movements https://t.co/vuLc0WspLx https://t.co/BOiMQjfs3v |
| 2019-11-06 | FT on growth and shifts in market data consumption patterns and how machine-fueled quantamental, risk, and other functions are usurping trading consumption hegemony… https://t.co/ANkgJLV6wf |
| 2019-11-06 | Open source TensorFlow project Spleeter by https://t.co/ZSYo1Re5hr isolates music tracks including vocal tracks algorithmically Article: https://t.co/1pmzDrMhfW Source including pre-trained models: https://t.co/vTRe2owVeu https://t.co/S7wDiX0g5p |
| 2019-11-06 | AutoML library - DABL for semi-automated ML Presentation: https://t.co/YpSwbzAdVX Python Source: https://t.co/TeKa2lwydJ |
| 2019-11-06 | Githubification of Infosec / Cybersecurity PPTX deck on Github: https://t.co/J4m3MbdEKY |
| 2019-11-05 | Private markets digitization #crypto Status update https://t.co/7TCdcx3HMC |
| 2019-11-05 | Clever use of data science… https://t.co/zSv3H4zJBZ https://t.co/RX9ZqwODRo |
| 2019-11-05 | Paper on Quasi Dark Trading and modeling impact on liquidity without stock dark pool venues https://t.co/ivCW4LAInH #TCA https://t.co/Eklx282nSb |
| 2019-11-05 | Lasers as a new cybersecurity hole for Google Home, Amazon Echo and other devices | in WIRED https://t.co/nVEnlmY5b4 https://t.co/v8U7Vo7E64 |
| 2019-11-03 | Detecting media bias In Python #ml #Keras https://t.co/rORBALByMZ https://t.co/LVgKK6OMe3 |
| 2019-11-03 | Not quite VWAP for Bonds is PMP (prevailing market price)… https://t.co/M35Lad0wL2 #liquidity |
| 2019-11-02 | Commonality in stock liquidity - Amihud, turnover, and other liquidity indicators analyzed in this paper https://t.co/MDpYhgdTHh https://t.co/7HHA8eTfct |
| 2019-11-02 | Dissertation on the transient market impact of various trading strategies of large orders #tca #algotrading https://t.co/C8thuma1L4 https://t.co/zCNzmDGaNz |
| 2019-10-30 | Consolidation of FX liquidity presence to reduce fees | #Citi https://t.co/uTWRuh7JZE |
| 2019-10-30 | Algorithmic ‘overmessaging’ on CME Eurodollar Futures contracts as reported in WSJ https://t.co/Pr4jgVAq9W https://t.co/2PK4oNlqux |
| 2019-10-30 | Learning to Predict Without Looking Ahead paper Dropping values to improve a reinforcement learning based model coerces an agent into learning a world model to fill in the observation gaps https://t.co/y5XaoYCk5d https://t.co/KhfIp1PEji |
| 2019-10-30 | RFS, aka Executable Streams are all the rage in Treasuries Trading https://t.co/rt6QYJllWb |
| 2019-10-30 | Paxos submits no-action letter to SEC to settle equities trades on a Blockchain https://t.co/Z7mCE3rcJh |
| 2019-10-30 | Voice cloning with just a few seconds of audio using deep learning in Python Video: https://t.co/2mAChBKg0C Source: https://t.co/YAhTpZdYpn Paper: https://t.co/s7CXQk0kdX Jupyter - downloads a YouTube Video, extracts & clones the audio: https://t.co/0zhxYAqbhk |
| 2019-10-29 | cvxpylayers is a brand new Python library for constructing differentiable convex optimization layers in PyTorch and TensorFlow using CVXPY https://t.co/CdfG3y78wR #ml |
| 2019-10-27 | High Frequency Trading impact on markets - paper https://t.co/fvPRoC9ywE |
| 2019-10-27 | Self-similarity, change-point and pattern analysis in financial time-series - paper https://t.co/g3MYkZlIZS https://t.co/tLJbYqtiR7 |
| 2019-10-26 | Elixxir, Solid, $FB and a reboot of the Web, as discussed in the WSJ https://t.co/hHqvSptHiR https://t.co/wcntdwWqq3 |
| 2019-10-25 | Google open sources Colossal Clean Crawled Corpus For #NLP https://t.co/mdpzlIhn55 https://t.co/u7h0YdYf29 |
| 2019-10-25 | Paper models fund flows and mispricings spectrally across the frequency domain https://t.co/BjeUrWsJCA |
| 2019-10-24 | Simple SARIMA modeling in Python https://t.co/jzxkwPICrq https://t.co/e2CsAqd05G |
| 2019-10-23 | I don’t know if the ‘Gestalt Shift’ to datify and build D2 + A2 organizations is around the corner, but there will be a shift of sorts to embrace the new realities of society, social engineering and data science https://t.co/b7MxuLhxbP https://t.co/VPUXV2KWnv |
| 2019-10-23 | Volatility, volume and depth ETFs Cointegration, U-shape patterns and their deviations https://t.co/B2pO61ww4R https://t.co/JPEaC7h2Mc |
| 2019-10-22 | Classifying real vs synthetic stock return time-series in R #rstats https://t.co/8HpCw3HzKA |
| 2019-10-22 | McKinsey report on Banking strategy and the need to innovate at scale and nuances of what that means for incumbents vs FinTech upstarts and other scaled leaders https://t.co/QkmjvCG90Y https://t.co/INtSQuc6Oi |
| 2019-10-22 | Deloitte report on exchanges - digital transformations and disruptions https://t.co/FmeDjja15N https://t.co/2BCzwHnaTX |
| 2019-10-22 | FinTech Investment Transactions - Q3 2019 https://t.co/NAiyNLSRUS https://t.co/jNP0l8KGLd |
| 2019-10-22 | #ML frameworks face off https://t.co/Fz7Vi6yCML https://t.co/HkCkTMhpiv |
| 2019-10-21 | IPFS online link utility | hashes are the key https://t.co/YZ5RgsL4RL Blog post: https://t.co/MFRnT3mFcn |
| 2019-10-21 | Cloud data transfer costs are rising for several large customers… https://t.co/ER34N6Sigz https://t.co/fdtoXx9Tla |
| 2019-10-21 | Athletes as a tokenizable asset class • Crypto giddie about Dinwiddie https://t.co/vl9UbB2ic9 |
| 2019-10-21 | Impact of financial services culture on effectiveness of FinTech partnerships https://t.co/0uVr3gFtTR https://t.co/2cVJVDCSpH |
| 2019-10-20 | Institutional equity commission trends on the heels of zero-commission retail trades https://t.co/01HwZFr5Gl |
| 2019-10-20 | Goldman Sachs report on impact of climate change on Cities https://t.co/D9JZSd0YFJ https://t.co/uLqLhQNmcy |
| 2019-10-19 | Agent theory and reinforcement machine learning #ml applied to stock trading https://t.co/mScAuJfu6p https://t.co/9ZpZIofZMJ |
| 2019-10-19 | Paper on global commonality in liquidity and global market volatility in a sample of nine major stock markets https://t.co/UuARKJkTEj https://t.co/P8iOz1poxl |
| 2019-10-19 | Mathematics for Machine Learning #eBook https://t.co/9NNlJ55LQP https://t.co/w349HRshuD |
| 2019-10-18 | AWS, SageMaker and #MLB machine learning https://t.co/NHFt5SzDeU |
| 2019-10-17 | Thinking about Tensors, Twitter, Terabytes and their Topology this Thursday morning https://t.co/IuU16KUGRZ https://t.co/3s65SDarMm https://t.co/UjcbQ29pEL |
| 2019-10-17 | A #Fable about a time series and it’s predictions in two parts… #rstats by @robjhyndman https://t.co/o61UQvQC9a https://t.co/SotlID7Rk9 |
| 2019-10-17 | Re: Trading SI - Short interest LR - Loan rates DTC - Days to cover LBG - Loan balance growth ILA - Inverse loan availability Buy rating High beta https://t.co/FQEGbLLWLX #TCA https://t.co/GEtnsJjtwn |
| 2019-10-17 | Directional change based trading algorithm in FX time-series analyzed with performance measures https://t.co/nC4CdKnMLZ https://t.co/qiTbuDIkHD |
| 2019-10-17 | Qplum and Nvidia deck on AI in Tactical Asset Management ‘only a small fraction of real world #ML systems is comprised of the ML code…’ https://t.co/9LFmOsHsDc https://t.co/eSyZUaXSxR |
| 2019-10-17 | FX OTC Network analysis of microstructure stress - Bank of England paper https://t.co/h60mQKxPuX https://t.co/zegiziRXYG |
| 2019-10-17 | Maureen O’Hara co-author of FRB paper on Corporate Bond market structure evolution #TCA #Liquidity #Electronification future/ohara-zhou_electronic-evolution-of-corporate-bond-dealers.pdf https://t.co/1sOSRPJPlI |
| 2019-10-17 | International Review of Equities Market Structure Regulation - report https://t.co/nBD9ltIHnQ https://t.co/Kn3jCJGWYZ |
| 2019-10-17 | Dissertation models reflexive (herd) behavior in FX markets https://t.co/6QuZuviUIz https://t.co/o0EsceeAqA |
| 2019-10-17 | Survey of Bayesian statistics in Sports https://t.co/7SBb8FRZK7 https://t.co/LcdggxnnKs |
| 2019-10-16 | SIFMA on state of market structure electronification across asset classes… https://t.co/scAaA91uyC https://t.co/pdCBAotqHi |
| 2019-10-16 | Economics of State-led Innovation | in WIRED https://t.co/UEwtxbzveh |
| 2019-10-16 | Gradient Community Notebooks are public, shareable Jupyter Notebooks that run on free cloud GPUs and CPUs. https://t.co/1l9az1zelg #Ml Showcase https://t.co/mQfzGfa87R |
| 2019-10-16 | Limit Order Book price classifier and predictor paper - order book imbalance #lob https://t.co/3sPeDHhaSY And Python code: https://t.co/V7F0ir5Ibw https://t.co/uljXomT1XE |
| 2019-10-16 | Convergence of Traditional, Prediction and Sports betting markets is in sight… https://t.co/3fei1g9hZJ |
| 2019-10-15 | ‘Information of Market Efficiency, Volatility, Volume, and Trend from Limit Order Book’ #lob and #tca paper https://t.co/kC3ajf739F https://t.co/gLnwmH7eEs |
| 2019-10-15 | A Robust Estimator of the Efficient Frontier Paper by Marcos Lopez de Prado Innovates by introducing the nested clustered optimization algorithm (NCO), a method that tackles sources of portfolio construction instability with some embedded Python code https://t.co/ChsReA22O6 https://t.co/JkG8lca17V |
| 2019-10-15 | Nash, State Channels, Blockchain and cybersecurity equilibria… https://t.co/0PRcPEcopY |
| 2019-10-15 | ‘Algebra, Topology, Differential Calculus, and Optimization Theory For Computer Science and Machine Learning’ #eBook - almost 2,000 pages https://t.co/gaTLg0L1gU https://t.co/Y9rEnXqav3 |
| 2019-10-15 | IMHO, a rosy view when agg. transaction volume is in decline in some markets “Global algorithmic trading market was valued at US https://t.co/Vqfk4lwHOm |
| 2019-10-14 | Deep Q-learning https://t.co/bgNzWhcRze |
| 2019-10-12 | Linear Algebra #ebook https://t.co/Fyc8aPXCVf https://t.co/2feemveeQU |
| 2019-10-12 | Perseverance personified… https://t.co/o3xkx68r7i |
| 2019-10-12 | Liquidity and co-skewness and timing of mutual fund investments (in Thailand) #liquidity https://t.co/2GFmWY87zu https://t.co/qGSZO825CY |
| 2019-10-12 | Bakkt Bitcoin futures trading volume jumps 800% (albeit, from surprisingly low initial base) https://t.co/ew86ULsi4A |
| 2019-10-12 | “mutual funds are better at public investing than they are at private investing…" #WeWork #Unicorns https://t.co/th95u05BH8 |
| 2019-10-10 | Productizing data science means end-to-end data, analytics and machine-learning pipelines for reproducibility, scale and automated integration with workflows… And in the near future, using AutoML in that collection of pipelines https://t.co/1vcz08voFO |
| 2019-10-10 | @joshua_ulrich But patent rationality has emerged since landmark 2014 U.S. Supreme Court decision Alice Corp v. CLS Bank. And recently in NASDAQ vs MIAX: ‘Nasdaq’s claims are ineligible for patenting because they are directed to an abstract information routing idea with no inventive concept’ |
| 2019-10-10 | @joshua_ulrich Don’t get me started on this one patent ending in ‘382 which is part of a family of I reconnected patents ‘304, ‘132, ‘382, ‘132, ‘411, ‘768, and ‘996 https://t.co/ZX4wgwvtUA Or their patent war with ESpeed where neither patent infringed the other… https://t.co/uN42pSigau |
| 2019-10-10 | @JoeSaluzzi Just a guess, but 1 trade per minute over 6.5 hour trading day = 60 • 6.5 = 390 seems like a possible origin for that number being used - also, easy to explain to non-numerologists as one trade per minute - but agree, deeply flawed… |
| 2019-10-10 | Semi-Deviations https://t.co/kwMRHHSpbR #liquidity https://t.co/wvdX7B6cxn |
| 2019-10-10 | Semi-Betas https://t.co/kwMRHIa0Ar https://t.co/2x03WcYGi2 |
| 2019-10-10 | More on FinTech / AI patent trends in this report: https://t.co/TbaG3PJtcM https://t.co/g0KNXsaU7z |
| 2019-10-10 | Another patent that should not be awarded - ITG was late into the game with portfolio algorithms with integrated TCA analysis/optimization - JPMorgan (TAO) & Credit Suisse (Ph.D) and others were there earlier (2004) - so there is nothing novel here… https://t.co/v9ZcQi47ox |
| 2019-10-09 | Hmmm https://t.co/tIRt8cMVEw |
| 2019-10-09 | Thought-provoking essay on AI, Ethical-AI and Existential risks related to AI https://t.co/AlUqQIxGbN |
| 2019-10-09 | Good slide deck There really needs to be a really good reason to use a Blockchain because the tradeoffs are very different than conventional cloud-based databases by @sbmeunier #blockchain https://t.co/OTLrqNqBPq |
| 2019-10-09 | StockNet - dissertation on deep learning applied to stock price prediction with word vector spaces on news as a feature https://t.co/sx06dFHldD https://t.co/W2BJWBN3NV |
| 2019-10-09 | Semi-deviation proxy for liquidity applied to #VIX - new measure proposed in this Paper https://t.co/y7kCqsZ5XS |
| 2019-10-08 | Foundations of Data Science #ebook https://t.co/kOaHwOI9Vr https://t.co/Dbo0A07tHc |
| 2019-10-08 | Yikes! https://t.co/j6aZTvBEjF |
| 2019-10-08 | Compression and Performance - Parquet & Arrow by @wesmckinn #python #rstats https://t.co/rs2jWRYGqu |
| 2019-10-08 | Credit factor modeling via @TABBGroup https://t.co/5rcPT6XN6X https://t.co/0OLbMY5RCw |
| 2019-10-07 | V is a high-performance and simple computer language with graphics, web and UI libraries and compiles itself in under a second. Where were you two decades ago?! https://t.co/tZCEgJaUTl |
| 2019-10-07 | Airbus planning to launch an index futures exchange called Skytra in May to help airlines hedge revenue fluctuations (in 1865, farmers launched grain futures on CBOT to hedge harvest revenue fluctuations). https://t.co/g0OALTDy9l |
| 2019-10-06 | @B_Kleine Ughhh I mispelled dissertation in the same Tweet. I’m off my game today AND It was a different document that I was intending to Tweet. Thanks for spotting my gaffe! |
| 2019-10-06 | Crypto Pairs Trading A Disseration https://t.co/VaSKBLoU7n https://t.co/qDVanlPKwE |
| 2019-10-05 | Do not think a patent should be awarded to Fidessa for using z-scores for execution quality: both apply (obvious + incorrect) as aggregate execution slippage is not distributed normally https://t.co/JpB7SKBAAj https://t.co/Blau7tUEPb |
| 2019-10-05 | Lol! The shot across the bow and the war renews again… https://t.co/1bo2tIiqsS |
| 2019-10-05 | Post FPGA… Performance acceleration through DSLs that compile and reconfigure at the spatial / hardware level - dissertation https://t.co/x4re2SUamf https://t.co/zmRwiifczQ |
| 2019-10-05 | Wells Fargo is predicting Automation and AI will reduce banking head count by 10%. Chart shows relative spend by US Mega banks… https://t.co/SrsOUNowcx https://t.co/ggD8Yghlzj |
| 2019-10-05 | Upward and downward price jumps of public stock options and the ability of implied volatility smiles and other features to predict returns https://t.co/4gxF2GqfM3 https://t.co/EfEMOBqCLG |
| 2019-10-05 | ARIMA econometric modeling of Algiers Stock Exchange returns https://t.co/kqSI2lhWKM https://t.co/vlFHXwyKbW |
| 2019-10-05 | Fundamentals of Python Programming - new #eBook https://t.co/Zp5rNTzjHv https://t.co/Mvq34pRH20 |
| 2019-10-04 | Salesforce CEO on how Capitalism is under siege and what may replace it… https://t.co/AuuDqDWPkr |
| 2019-10-04 | More PE Deals than Public Companies… https://t.co/zaKvlb11h2 |
| 2019-10-04 | Now 1, 564 pages and still growing… Lectures in Quantitative Economucs with Python https://t.co/bqIfFSr6oZ https://t.co/OaF1MXXESu |
| 2019-10-03 | Summary of #Crypto research https://t.co/5gXLwmcFzZ https://t.co/sKVMcGX7Bl |
| 2019-10-03 | Macroeconomic news factor model for energy stocks in China TVP-VAR model Change-point analysis Heterogeneous impact https://t.co/2yWwqj9xJU |
| 2019-10-03 | Model-Free Stochastic Collocation for an Arbitrage-Free Implied Volatility that maintains convexity - paper, in two parts Relevant for CMS, Variance Swaps and other derivatives W/ embedded #MatLab code https://t.co/FDShtdHYx1 https://t.co/2yWwqj9xJU https://t.co/FwHYAJ1A9R |
| 2019-10-03 | Risk Parity and Gaussian Mixture Trading Models with embedded Python code (in the dissertation) https://t.co/3rw3z5HHPx https://t.co/E48JANasyd |
| 2019-10-03 | The shift from Moats to Turnstiles is an important metaphorical difference between ecosystems and other models - covered well in this short HBR article https://t.co/ar5VhTp8HY |
| 2019-10-03 | Different approaches for handling the rolls of futures contracts to make them continuous - including Panama Canal methods https://t.co/0WSnhEaNWX |
| 2019-10-03 | Subtle and not so subtle cybersecurity flaws in Crypto projects and their Blockchains… https://t.co/ymlodKzbui |
| 2019-10-03 | Technology changes exponentially, but organizations absorb and change logarithmically… https://t.co/9LSHRDIBfz |
| 2019-10-03 | Financial charts are not always about simple logical defaults - there are idiosyncratic conventions for different persona profiles and other considerations that play in. This article covers it all. https://t.co/L1AXg0j1wX |
| 2019-10-03 | A decentralized protocol for trading (Crypto) derivatives with integrated safety and margining features #Vega https://t.co/4LeeWJK9WP |
| 2019-10-03 | Anomaly detection in financial time-series in Python using: - Low-pass filters: Z-score - Isolation forests - Seasonal-extreme - Studentized deviate (S-ESD) algorithm - One class support vector machines (SVM) #outlier #abnormality https://t.co/02gyZ4Pixv |
| 2019-10-03 | Morningstar announces Crypto strategy: includes provenance of bond ratings on a Blockchain and a Digital Assets ratings platform. https://t.co/GZ2slWafNU |
| 2019-10-02 | @daveweisberger David, of course you and Matt are right: retail brokerage fees include the other revenue streams as well - but, it’s clear that their revenue models are impacted & that these flow businesses will become strategic fodder for different growth engines & synergies & consolidation |
| 2019-10-02 | “If you are not paying for it, you’re not the customer; you’re the product being sold.” (2010) https://t.co/QI024eCOGg ****************************** What are the new #flow economics? Schwab and TD both bring commissions on equity trades to $0.00 https://t.co/OEwXcWxJiK |
| 2019-10-02 | Optimizing trade execution and liquidation using linear market-impact model with time dependent risk aversion #TCA paper https://t.co/YBAkr7kcN0 https://t.co/3J3zFYimSj https://t.co/0OB55Jw8YE |
| 2019-10-02 | Intraday technical analysis with change point detection, heuristic segmentation and gradient based optimization discussed in this paper https://t.co/uzFHApSUKo https://t.co/nnKyU5rDsl |
| 2019-10-02 | Bitcoin price prediction Deep Learning vs LSTM https://t.co/Sxy13zbvwc https://t.co/QL54RL47K3 |
| 2019-09-29 | And now the #NBA says NO #Crypto Tokens for Spencer Dinwiddle https://t.co/BSuBjBNWG1 |
| 2019-09-29 | Predicting the NODA - number of detected anomalies in equity exchanges #anomaly paper https://t.co/vP1m106bJO https://t.co/P3d3HtcJz2 |
| 2019-09-29 | VIX realized variance prediction using #ml paper https://t.co/Vz88CKVwza https://t.co/uT9GtRMCr6 |
| 2019-09-28 | Quantum computing behavior that happens naturally in our DNA Paper: #Grovers algorithm https://t.co/jFSgyv0Z10 |
| 2019-09-28 | SAX encoding baseball time-series #MLB #ml https://t.co/HtrwpDtkT3 https://t.co/ilGJ59hw0H |
| 2019-09-28 | Amazing.  “[This work] may be the path to a serious technological leap, whereby experimentalist would bypass the need for a full-fledged scalable and error-correcting Quantum Computer, and take the shortcut of looking for ‘natural occurrences…’” https://t.co/J3c3fIVFMI |
| 2019-09-27 | Very interesting Crypto tokenization application with credit risk, early mortality, illiquidity and malpractice/contract breach/drug/suspension/legal risks to be estimated and borne by the token holders presumably? Of course other standard crypto risks also apply… https://t.co/unhoVDshJP |
| 2019-09-27 | @globaltimesnews @______138190 Off-gridders have little hope of remaining that way… |
| 2019-09-27 | @gjncs @TheDoorTHEDOOR @orbitalpatterns @QuietPineTrees @mosabou @Ted_Underwood @Fake_Name1234 @______138190 @chaosprime @botandy @nikete @zoltanvarju @naos @vastabrupt Many thanks for the ML #ff |
| 2019-09-27 | Good short pithy introduction to Time Series Analysis basics with Pandas and Python https://t.co/ljcqIcYSSG |
| 2019-09-27 | Deep learning-based Bitcoin price prediction models using Bitcoin blockchain information. #ml paper - deep neural networks (DNN), - long short-term memory (LSTM) models, - convolutional neural networks (CNN) https://t.co/Sxy13zbvwc https://t.co/vieLhqCyDC |
| 2019-09-26 | Forecasting paper - State of the Art by @spyrosmakrid and @robjhyndman https://t.co/iGFWRomeP1 |
| 2019-09-26 | Basics of Random Forests in R #rstats https://t.co/3B8BucgHpT |
| 2019-09-26 | Backtesting vs walk-forward method vs simulation - which is best for testing systematic trading algorithms? Paper by Marcos Lopez de Prado https://t.co/yALYGcgZ4k https://t.co/VNNV6O8be7 |
| 2019-09-25 | Iceberg orders on the CME can be predicted (synthetic and native)…. Paper https://t.co/omwJ2GoaRe https://t.co/5tvbj8704M |
| 2019-09-25 | #Liquidity commonality and spillovers for commodities futures - paper https://t.co/g4VoQbyAMY https://t.co/uZjFJoPrqY |
| 2019-09-24 | Real Estate and Python https://t.co/7SjWmJkDeT And the #ml code https://t.co/mi5wZ539sS Jupyter Zillow data set explorer https://t.co/Or4vUZenFQ |
| 2019-09-24 | When Crypto is a Cloud and not decentralized, how does that impact the narrative? https://t.co/HBKu2irrw1 |
| 2019-09-23 | Lol… then my super serious face: who trusts $FB with a brain interface? https://t.co/gBXZmx8eXq |
| 2019-09-22 | “Sidewalk Toronto Tech,” and a Dystopian perspective https://t.co/BRfqO3vmaF |
| 2019-09-22 | Lecture notes on Supervised Machine Learning https://t.co/nCU4SOlO12 #ml #ebook https://t.co/3dumgsKxAk |
| 2019-09-22 | Multi-modal deep learning models for leveraging combined information across two global equity markets for improved prediction efficiency https://t.co/UQftWX0UQl #ml paper https://t.co/2h2TK0FHHF |
| 2019-09-22 | Speech recognition open source code in Python with PyTorch and support for GPUs https://t.co/PmjKP2b6kl Paper: https://t.co/tUc0MSsrZY |
| 2019-09-22 | Taxonomy of MOATS https://t.co/NuWkmppVBN https://t.co/T9QCp8QQGL |
| 2019-09-21 | @catamilho They will find their inner RegEx and play Volapük while waiting for their next gig or go to Metis and become Data Scientists before the machines code themselves |
| 2019-09-21 | Insights and historical perspectives for exchange operator pivots away from traditional trading fees as their revenue growth engine. #LSE #HKEX #ICE https://t.co/DXkqlYmgqB https://t.co/2gsRsetz50 |
| 2019-09-21 | Liquidity link to returns for Austria, Poland and Hungary modeled https://t.co/nuDhpn96qA https://t.co/03nx4hrMjn |
| 2019-09-21 | iCurrency #crypto paper Generalizing Libra https://t.co/2x5kWoVUcR |
| 2019-09-21 | ‘Traders who can’t code face…extinction’ https://t.co/Qw5u74ZDVs |
| 2019-09-21 | Deep Fake Faces ‘r’ Us https://t.co/TKGDeB0tLr |
| 2019-09-21 | Google claims ‘Quantum Supremacy’… https://t.co/9jky15Bx6z |
| 2019-09-20 | Anonymizing people’s faces with GAN powered Deep Fakes https://t.co/ZJVn5kV8ak |
| 2019-09-20 | @mikeharrisNY Lol - it does seems like an enormous gap in controls, processes, and system design that all #FAILed |
| 2019-09-20 | Rogue trader loses $320M in Oil Trades “According to the company, the employee repeatedly carried out unauthorised trades and disguised them to look like hedges for transactions with customers." https://t.co/HzlS0djWmm https://t.co/JrlTezs8pp |
| 2019-09-20 | Fascinating when companies post their own guidelines for targeting and acquiring other companies https://t.co/WQP9CBUBtD |
| 2019-09-20 | Ode to Overton, Apple’s machine learning lifecycle of building, monitoring, and improving production machine learning systems #ml pipeline https://t.co/mRNgbOb8ge https://t.co/eAC8WUWH8c |
| 2019-09-20 | AltData hiding in public places on Amazon’s S3 and a search utility by startup Quilt to find him https://t.co/8vlZNT0Jqx And some fruits of their labor presented here… https://t.co/6vChTFrAOM |
| 2019-09-20 | I’m not sure I believe that AltData not being optimized is really a THING. “Eighty-two percent of funds say they use alternative data. Zero percent say they’re optimizing them.†https://t.co/9Y7EOaVCtB |
| 2019-09-20 | Dividend Analysis by @jkregenstein in R #rstats and with a two part narrative: https://t.co/AH8hJe6Luz https://t.co/xuakB0vl9a https://t.co/0Hz2abqLQu |
| 2019-09-19 | When a broker routes an order to their own ATS, how does that decision impact execution quality? Paper claims very large dataset of 350M orders used to analyze micro-execution performance. #TCA https://t.co/5Waej5jeNT |
| 2019-09-18 | Trifecta, Explorium Paxata, Clearstory, Tamr and https://t.co/yn0jZQNWPJ are part of the wave of high-flying #AI #startups https://t.co/7apKok3F97 |
| 2019-09-18 | Lectures in Quantitative Economics with Python (1,400+ pages) - New eBook https://t.co/Z9BGSMsuYV https://t.co/B8XY75tFLg |
| 2019-09-18 | AltData fatigue? Alternative reasons abound for poor revenue performance of some Alt Data companies like #Thasos in a $7Bn segment. https://t.co/MxsXFJA5M5 |
| 2019-09-18 | The demise of finance domain expertise in trading is in part driven by lower levels of risk-taking, in part, driven by the passive automation-led transformation of markets Crowdsourced alpha, in my view is a second-order effect. https://t.co/PAL10Rwzu2 |
| 2019-09-17 | A eBook about Pythonic Application Architecture Patterns for Managing Complexity. https://t.co/r2kXDyoAE0 |
| 2019-09-16 | Portfolio inference: Algorithmically reverse engineer portfolios e.g. for detection of window dressing by fund managers & development of arbitrage strategies based on the inferred constituents. https://t.co/Im8P1DUikB #ml #flow https://t.co/DRFeenfQlU |
| 2019-09-16 | Twitter Hate-Speech classified using StellarGraph’s GraphSage https://t.co/ZnJdu6p9wH Jupyter Notebook: https://t.co/ZxssU0YKqn https://t.co/cKY3nS7nh2 |
| 2019-09-14 | Crypto intra-day stylized microstructure facts paper https://t.co/6N0citvTrC |
| 2019-09-14 | Using R to analyze tweets at the account level #rstats https://t.co/LL5UdHt0Pl |
| 2019-09-11 | Bitcoin Billion$ Block trade https://t.co/Sgqbx85n1E |
| 2019-09-11 | 🤔 https://t.co/bXZhdz7j5L |
| 2019-09-11 | MiFIDII and relative Market Impact effects between MTFs and RMs #propagator #TCA https://t.co/xtaSYlMoxL https://t.co/9wgMkkA7F1 |
| 2019-09-10 | Machine learning #flow based reclassification of stock sectors https://t.co/XKzglUw2Vr https://t.co/Vf28B4PS7d |
| 2019-09-10 | Arbitrage-induced comovement leads to over-reaction for stocks more sensitive to ETF #flow arbitrage & under-reaction for those less sensitive. ‘A long-short portfolio constructed based on arbitrage sensitivity generates an alpha of ~ 7.5% per year.' https://t.co/XpNir0b5rO https://t.co/yqko2WlDSm |
| 2019-09-10 | #ml Paper predicts the next-day pattern of a single stock for each combination mode of stocks using the network topology properties as input variables for SVM and KNN algorithms. https://t.co/neiLu8SAm6 Dataset: https://t.co/65hxOpf94g. https://t.co/K02SivkG1l |
| 2019-09-10 | @_nitishgarg @modaeastanbul Thanks! |
| 2019-09-10 | Tidyverts, tstibbles and feast for tidy time series data munging, plotting and more in R #rstats https://t.co/vwWfE6Xkpj https://t.co/FjNQMHaEie https://t.co/g7NlfQZcEk |
| 2019-09-10 | #Volatility - implied vs realized in its many forms - GARCH, HAR, … https://t.co/rghkofHvvx |
| 2019-09-10 | Factor investing in Korea with market-impact costs https://t.co/ncpsNyLiK2 #TCA paper |
| 2019-09-09 | Firms with higher analyst coverage have higher stock #liquidity for 41 global markets. Results are robust to two alternative measures of stock liquidity (i.e., the Amihud’s illiquidity measure (Amihud), and the percentage effective spreads. https://t.co/HAdchjsc5A #tca paper |
| 2019-09-09 | Stock liquidity measures including auto regressive distributed lags discussed in paper - BSE500 stocks #TCA #liquidity https://t.co/MSx22ELbY5 |
| 2019-09-09 | Volfefe! Quantifying impact of polarizing tweets on interest rates volatility… https://t.co/Aj16WbIaD4 https://t.co/9UZMvhAnqF |
| 2019-09-08 | Versatile HAR model for realized volatility - paper https://t.co/9mSbfoumln |
| 2019-09-07 | CSV Code Injection hack #Excel #CyberSecurity https://t.co/BIEFbbM6zG |
| 2019-09-07 | High frequency data for factor models methodology allows for general time variation in factor betas, and so is particularly suitable to study individual stocks and the asymptotic theory for the estimators of time-varying betas https://t.co/GiMZZRnJAb https://t.co/9fzyemtvLD |
| 2019-09-07 | @mikeharrisNY Yeah - definitely makes my head spin just watching them all https://t.co/VDU5KAJTBK https://t.co/N2tHHRvBtV |
| 2019-09-07 | Applying machine learning to portfolio construction: apply a combination of recurrent neural network (RNN) and a long short-term memory (LSTM) network for predicting the future prices and to perform constrained optimization on the portfolio #ml paper https://t.co/lZEYxjGykV |
| 2019-09-07 | #NewSpace - 20k new satellites over the next 10 years will mean risks of crashes will quintuple Paper: https://t.co/myfFmtA6FR Article: https://t.co/QH2eXTI0sO https://t.co/yg7iEJmMyD |
| 2019-09-07 | Lots of web scraping to get the data, then an item-based collaborative filtering coded in R #rstats behind this Beer recommendation system https://t.co/OmID9bXVv8 https://t.co/Wy7sNLzm28 |
| 2019-09-06 | multi-level order-flow imbalance (MLOFI) #lob https://t.co/wVSJ04JCI6 |
| 2019-09-06 | Convertibles and their liquidity dynamics https://t.co/FoyTOdkgSu |
| 2019-09-06 | Crypto exchanges are becoming more stratified in exchange services and Bitcoin flow is less concentrated in larger exchanges https://t.co/QGDNzu1r9b |
| 2019-09-04 | Jump-tests to capture those intraday S&P500 stock price sharp movement outliers profiled on this paper on statistical arbitrage Methods profiled include those by Barndorff-Nielson and Shephard(BNS) and Andersen https://t.co/3mkTxaWq0g #anomaly #outlier #jump #trading https://t.co/5Wwav77zBE |
| 2019-09-04 | #Crypto limit order book modeling with a focus on trade order low imbalances - paper with embedded #Python code https://t.co/p3n3OD6Ajb https://t.co/fMLWnx2B3B |
| 2019-09-04 | Sentiment connectedness and price-linkage causality with #Cryptos - paper https://t.co/p3n3OD6Ajb https://t.co/xJN15o51Zo |
| 2019-09-04 | Extreme Blockchain Chainlet activity, characterized by transaction amounts and occurrences, is shown empirically to result in significant changes in the intraday Bitcoin price volatility. https://t.co/IK8xzF5t2k #Crypto paper https://t.co/ktiwzn0eWJ |
| 2019-09-02 | Mid-price limit order book price move prediction with broad Feature-Engineering https://t.co/RTd97grbcf #tca #lob #ml https://t.co/ZdlS9FCZTG |
| 2019-09-02 | Dynamic trade informativeness or market impact? #tca paper https://t.co/w88ZztfinC https://t.co/Z9ToABkjmb |
| 2019-09-02 | Instantaneous volatility estimation in this paper solely relies on a new market invariant, which links together volatility, traded volume, order book volume and the spread #tca #lob https://t.co/VZqPhxww64 https://t.co/YT3FD4ofYV |
| 2019-09-01 | Brilliant @cgbassa analysis of Tweet of Iranian Safir launch failure with reproducible research via his Jupyter notebook https://t.co/vPgQE3xnOa https://t.co/aFEDMWg4HT |
| 2019-09-01 | @nic__carter on Crypto Rankings sites and Crypto-to-Crypto exchanges: “A glimpse into the dark underbelly of cryptocurrency markets” https://t.co/2AQqZuuM1O https://t.co/NkmlSVxZYW |
| 2019-09-01 | AutoOut: Automated Outlier Detection and Treatment Tool in Python https://t.co/YPQRVJ26EY https://t.co/ocjagQq9lk |
| 2019-09-01 | Brazilian Equities dissertation (2018) on stochastic liquidty curves and #lob limit order book analysis in R #rstats #tca https://t.co/advyJWefXF https://t.co/P32J5J9OlV |
| 2019-08-31 | Paper presents a taxonomy of automated machine learning - automated feature engineering and hyper-parameter learning https://t.co/odQlRLwu9k #ml #automl https://t.co/DdlywlTupM |
| 2019-08-29 | @jeffneuen Agree. With Jupyter notebooks and the pipelines behind them, it has never been easier to have the code accessible to view, apply, retest and incrementally modify. Papers, as a standard practice should link to a Github repo. https://t.co/HHuklFZHOH https://t.co/qGmfqsgmqV |
| 2019-08-28 | Relatively rare for a paper to present embedded code, written in JavaScript! for Bitcoin trading (2018). So here it is: #Crypto https://t.co/yfyGzJERoQ https://t.co/FrAMjgOk1T |
| 2019-08-27 | Good summary of #NLP advances beyond #BERT by $FB - RoBERTa, RACE, GLUE… https://t.co/90arrWVbaa |
| 2019-08-26 | CVA calculations for derivative modeling and the Jupyter notebooks that reproduce them Paper: https://t.co/WuO5mYXF9b Jupyter Notebooks w/ Python code: https://t.co/rOeRQVoYaq |
| 2019-08-26 | Dispersion in information by dealers when market-making or risk-based trading in corporate bonds - #Fed paper #asymmetric https://t.co/9lNDx7Mn5l |
| 2019-08-26 | Literary order of operations for… adjectives! https://t.co/NMq4VZux8w |
| 2019-08-25 | Python and various machine learning methods for detecting time-series outliers profiled in this article https://t.co/plaUh43CK0 With Python source: https://t.co/UyJnP7NejW #SVM #IsolationForest |
| 2019-08-25 | Python based download and analysis of insider trades https://t.co/YVz0SrBjwa mybinder rendering: https://t.co/o49wk8dHI8 https://t.co/DnOeV3FoMO |
| 2019-08-25 | Just-in-time Machines are getting much better in detecting deception in human speech - dissertation on machine-learning based classifiers https://t.co/HTtgzkLSqb #svm #logistic #nlp #lexical https://t.co/cwpmfOyR0R |
| 2019-08-25 | Paper analyzes: ETFs distort stock prices away from their stock fundamentals and also impact of BlackRock #flow shock https://t.co/7mZcLt3JWf https://t.co/SqJRl49S5p |
| 2019-08-24 | Tensorwatch #streams for machine learning #ml https://t.co/1jdsNvJH3j https://t.co/Yw1i8J0CPv |
| 2019-08-24 | One week of fires in the Amazon via #NASA #FIRM project https://t.co/IoGBvNvOMu |
| 2019-08-24 | NYT excellent #dataviz on Web tracking and #privacy https://t.co/DAedGKZShy https://t.co/aqShZjmkMt |
| 2019-08-24 | Momentum strategies can take on many quantitative forms: e.g. idiosyncratic, constant volatility-scaling and dynamic scaling - comparative international 🌎 performance analysis paper https://t.co/gH5QKPI7qW https://t.co/4HYnyymcEz |
| 2019-08-24 | Paper models ETF #flow dynamics and causal effects https://t.co/7mZcLt3JWf https://t.co/mRyPOENJof |
| 2019-08-24 | Ode to Brownian motion in financial markets https://t.co/IkwVqitRjv https://t.co/qmGP2KQTmX |
| 2019-08-23 | @chanep Blame the patent office examiner(s) involved… |
| 2019-08-23 | Statistical causality via Granger and a bit of R code #rstats https://t.co/cMZIKM3spr |
| 2019-08-23 | Even Google has a recent patent on an abnormal trade kill-switch using exponential moving averages https://t.co/BsC73Ip1iu https://t.co/kmw8Za54oW |
| 2019-08-23 | “Would ICE buy Bloomberg?" At what price? https://t.co/FIXQPbzyyX |
| 2019-08-23 | It’s getting hot 🔥 in here, Hardware malfunction, Pre-trade check gap, DevOps snafu … ==> Bitcoin sold at $1 #abnormal trade values and/or market data should trigger trading halt - so many good algorithms for detecting outliers and abnormal values https://t.co/kamnM509Ve https://t.co/f7e9MWvcOk |
| 2019-08-23 | Using the temporal evolution of clusters to detect anomalies in code and across other networks: “A self-learning algorithm then detects anomalies in the temporal behavior of these evolving clusters by analyzing metrics derived from their developments” https://t.co/mVB0MN3QgC https://t.co/FldzXx1k35 |
| 2019-08-23 | Realized Moments for underlying stocks - variance, jumps, skew ness, Kurtosis - https://t.co/BvzH9zjxgm https://t.co/U1UFsupX89 |
| 2019-08-23 | Probability Adjusted Volatility Spreads (PAVS) Paper https://t.co/kSB4sRLgw8 |
| 2019-08-23 | Stock price fluctuation link to news features (from market data vendor) https://t.co/UX01l7LlBl https://t.co/WgtNLDGPGT |
| 2019-08-23 | Dissertation “effective applicability of machine learning methods for mid-price movement prediction, over the nature of long-range autocorrelations in financial time-series, and over the econometric modeling … in high-frequency settings.†Paper: https://t.co/HX1LMi0x5v https://t.co/pgR7FE3W0w |
| 2019-08-23 | ‘crypto portfolios constructed via optimizations that minimize variance and Conditional Value at Risk outperform a major stock market index (the S&P 500).’ https://t.co/ik0lvRhB1Y https://t.co/1oTfMbO22s |
| 2019-08-23 | Intraday stock liquidity across various global markets analyzed with stylized facts and auto-regressive modeling https://t.co/5ajcE2XFat https://t.co/m6rPyp2PLp |
| 2019-08-23 | Forensic trade-matching paper for #lob stock trades in Paris, London and Frankfurt https://t.co/iaSXBGSg8w https://t.co/0n4fOn0Zj0 |
| 2019-08-22 | Sector Rotations using #SVM #ml in Python https://t.co/Ngjqyl16wu https://t.co/EmqbzMtSXi |
| 2019-08-22 | Impact of #AI on jobs in financial markets, advisory and trading businesses https://t.co/r8gDDzvMkN |
| 2019-08-22 | Mathematics for Machine Learning - brand new #ebook https://t.co/fxkvgZ80In |
| 2019-08-21 | Detecting stationarity in time series https://t.co/9wrvoz2RWo |
| 2019-08-20 | Geo-industrial clusters - paper, data visualizations and Python code Nature Paper: https://t.co/3ZklhcMwJu #flow #dataviz #sector #louvain GitHub: https://t.co/BmqaQcX2pL https://t.co/Wt4q0WkE9S |
| 2019-08-20 | Deep Squeak Pioneering work using deep-learning based universal translator for the ultra-high frequency utterances of RATs speak Paper: https://t.co/3L2AUkDJGV MATLAB & Simulink source code: https://t.co/QEPTf1j48B FLAC audio squeal files: https://t.co/dlotCbtyrr https://t.co/ZJfanD7JTw |
| 2019-08-20 | This paper determines that order flow imbalance explains 65% of price movements & market impact can be modeled by a linear function where the coefficient is dynamic & based on a Kalman filter & multiplicative autoregressive dynamics #TCA #Kalman #lob https://t.co/RnxEVW8vOg https://t.co/dEeeL7USRe |
| 2019-08-20 | Interesting empirical analysis of how many different entities do mobile apps send their information to https://t.co/GeMtQirrgU #GDPR #privacy #cybersecurity https://t.co/wDOS7dR8GG |
| 2019-08-20 | Optimal portfolio trading incorporating limit order book, transaction and market impact costs - #lob and #tca paper https://t.co/PwLM6su2Aw https://t.co/0KjhbYav1R |
| 2019-08-19 | Interesting compendium of buy-side perspectives on US Equity Exchanges from @TabbFORUM https://t.co/KWquilUuoN https://t.co/Gu60rQwAq1 |
| 2019-08-18 | @ElizabethFlux I’m a “paper-tape reader-punch for a PDP-8” years-old and back then we measured all in kibibytes #kiB. https://t.co/wQfURInI5M |
| 2019-08-18 | Hmmm “Kaspersky has created a dangerous tracking mechanism that makes tracking cookies look old. In that case, websites can track Kaspersky users, even if they switch to a different browser. Worse … can even overcome the browser’s incognito mode.†https://t.co/YkjTcATRke |
| 2019-08-17 | NBER broker intermediation paper “While the average investor values these broker services, there is substantial heterogeneity across investors. Hedge funds place almost no value on sell-side research, but place a large premium on order flow information†https://t.co/1VclUj7jf1 https://t.co/3n0mD1LJ1Q |
| 2019-08-17 | Do not think that a patent should be awarded to Trading Technologies for FIX Translation methods, since this type of processing has existed in many forms since the dawn of FIX - #PriorArt #patent https://t.co/VB26oKmwz0 https://t.co/VBOHOOefHX |
| 2019-08-17 | Volatility and limit order book modeling #lob dissertation https://t.co/HX1LMi0x5v https://t.co/LnAYm5nTWF |
| 2019-08-17 | Learn sector classifications using machine learning #ml #flow #GICS https://t.co/dh56wNrP6k https://t.co/1h8aoqwMGy |
| 2019-08-16 | From meta-coordination to discord to slack-ing-off and everything in between https://t.co/rZsJie7ffm |
| 2019-08-15 | The effect of Twitter corporate information dissemination on cost of equity - large study on US public firms https://t.co/G0zxWJaO7A |
| 2019-08-15 | Paper on impact of US stock market trade intensity spillover across international markets - a number of different measures analyzed and summarized empirically. #flow #tca https://t.co/H8y1zzkN29 |
| 2019-08-15 | Agree completely - innovation has to be decentralized and woven into the DNA of the enterprise everwhere: each business unit, each product team, each technology team and integrated into roadmaps and financial plans. https://t.co/GZ1zBhd40w |
| 2019-08-14 | Title says it all Huge Survey of Firmware Finds No #CyberSecurity Gains in 15 Years https://t.co/ZEMhzCOnc4 |
| 2019-08-14 | mystical art of machine learning model #pipeline of validation to deployment to canary testing (in SageMaker) https://t.co/xyjzYzxZxn |
| 2019-08-14 | Article on the power of idiomatic R in trading #rstats Via @jkregenstein https://t.co/L1cqljk0JV |
| 2019-08-13 | @ltabb Inspired to post by the great minds behind those papers I come across. Thanks for the shout-out Larry! |
| 2019-08-13 | Techlash impact on hiring… https://t.co/IlyfpoJzsw |
| 2019-08-13 | Deep and machine learning applied to derivatives hedging and valuation… https://t.co/6IXqptf6mi |
| 2019-08-13 | Latency and an FX limit order book model #lob https://t.co/w8QVnOlpzb https://t.co/6Mn4qTrbu8 |
| 2019-08-13 | Instantaneous realized volatility paper https://t.co/VZqPhxww64 https://t.co/6XEWCD5ji7 |
| 2019-08-13 | Factor models and their transaction costs - #Tca paper https://t.co/BrD0GxgkEr https://t.co/qAVacMYgIe |
| 2019-08-13 | Metaorder limit order book modeling and transaction cost analytics https://t.co/z48DwLk244 #tca #lob paper https://t.co/syQcHo6o5t |
| 2019-08-13 | CFTC paper on stylized facts, transaction cost and limit order book analysis of futures contracts https://t.co/ovctBPZ9Zj #lob #tca https://t.co/hDodH93llD |
| 2019-08-12 | Thermometr anomaly detection for Pandas time series coded in open-source Python and using a Twitter S-H-ESD Algorithm with an ARIMA based validation https://t.co/pFwiErFbl7 |
| 2019-08-11 | Anomaly detection with Python code - SVM, Isolation Forest… Article: https://t.co/kVHVix0Vn1 Notebook: https://t.co/qhxeuJNS6m |
| 2019-08-11 | List of Open Startups https://t.co/MukJVfkr6F |
| 2019-08-11 | SELECT code_execution FROM * USING SQLite; Cybersecurity hack https://t.co/CC29QiBwGw |
| 2019-08-11 | Startup Cohort Revenue LTV curves in Python and https://t.co/jZI5nvaiOQ https://t.co/xVC5Y2beW5 https://t.co/HhPpNFd80P |
| 2019-08-11 | Machine learning in asset management: 15 distinct trading varieties and around 100 trading strategies Paper with many code links: https://t.co/0RRX0bxxHv GitHub links: https://t.co/3hO2w9bTTt https://t.co/lFuGIbFxAv |
| 2019-08-11 | Oil and other commodity trends as bond predictors - paper https://t.co/apuqjvMG5B |
| 2019-08-11 | Bottoms-up approach to modeling trading strategies inspires alternative methods including HFFF (High-Frequency Financial Funnel) & Particle Filters to model trading at a low level inclusive of market-impact effects & market simulations - paper #hft #lob https://t.co/c6MILHaHZP https://t.co/6YWdTdJnih |
| 2019-08-10 | Bank of England paper on Machine learning expandability (in default risk) https://t.co/53hynZ7rOx https://t.co/VjqcyF1zZI |
| 2019-08-10 | Anomaly detection using extended isolation forests coded in Python profiled in this article https://t.co/JGTXrgJL7c https://t.co/jwGxUPXdyX |
| 2019-08-10 | Deep denoising autoencoding and isolation forest anomaly detection algorithms applied to algorithmic trading #ml #algo #IS paper https://t.co/IdzCYQSryD https://t.co/B6beli2VGr |
| 2019-08-10 | TheAtlantic on the need for a new science of Progress https://t.co/IxjALW1AnU |
| 2019-08-10 | Re: String Theory Wars https://t.co/UNKYPgTzPf |
| 2019-08-10 | Defending against neural #fakenews Background: https://t.co/4VeNsC1NVj Paper: https://t.co/eiPtPI6pFK Python Source: https://t.co/FqaEcqr75i #misinformation |
| 2019-08-09 | BERT vs Ernie Faceoff of #NLP Models https://t.co/EnJpEv0pge |
| 2019-08-09 | Interpretable machine learning libraries in Python profiled: ELI5, yellowbrick, MLxtend, and Lime https://t.co/2Sg7Eoxiqh https://t.co/0EvQXsxXDZ |
| 2019-08-08 | WSJ article on SFTI #hft #NYSE https://t.co/yh7PXZLAB1 |
| 2019-08-08 | BEEMKA cybersecurity injection hack of Electron Apps https://t.co/bDHFCQG1os |
| 2019-08-08 | Team and Product State Classification https://t.co/UGqi6cX8t8 https://t.co/CvikmYeVes |
| 2019-08-07 | FT on emergence of generalized #AI as function of rise in networked compute power, new neuromorphic chips and new innovations in reasoning and symbolic logic https://t.co/YiTZWMQ61d |
| 2019-08-07 | Dissertation on Algorithmic Trading with closed form solution #meanfield #latentfactors and large scale stochastic games By @phil_casgrain https://t.co/ubuhzK6Jyi And related paper: https://t.co/URBv4XkGRv https://t.co/5MR4Jnnfaq |
| 2019-08-07 | Realized trading impact costs < 1% on returns on average #tca https://t.co/Smj7WyFuWT https://t.co/5swU5R02H3 |
| 2019-08-07 | Correlation Funnels in R for exploratory data analysis #rstats #dataviz https://t.co/49r9pFPQAg https://t.co/bhfSpJdDwY |
| 2019-08-07 | Potpourri of anomaly detection methods profiled in Python - pca, autoencoder, classifier, ensemble, isolation forest… https://t.co/9wGgsk0uyz https://t.co/GGg5DM2eLY |
| 2019-08-07 | anomalize - detect anomalies in R #rstats package https://t.co/oeNTAhCfQz https://t.co/lIhMOYC5ly |
| 2019-08-07 | DeepMind’s new mission to solve protein folding | in WIRED UK https://t.co/XNluYQNEwv |
| 2019-08-05 | Too late for Yahoo to win at email, but their idea of have AI read, respond and react is spot-on. When the AI starts to completely write the emails themselves using natural language generation then we can focus on truly productive work - or else! https://t.co/zUovU6IQ47 |
| 2019-08-05 | Information Revelation in Markets (eg FX) via an empirical map where two dealers are connected based on the synchronicity of their quote changes. By @bjornhagstromer Slides: https://t.co/p0vfZnyn2B Paper: https://t.co/s37WchluoP Source Code (zipped): https://t.co/MCna02IWqG https://t.co/n8wSILlyUs |
| 2019-08-05 | “Data-mining reveals that 80% of books published 1924-63 never had their copyrights renewed and are now in the public domain” https://t.co/YXYuNO0uY6 |
| 2019-08-04 | Risk-parity A Python library https://t.co/Y6WVdkexbg https://t.co/vh2JWZCFKn |
| 2019-08-04 | Superconducting nanowires can match the human brain in efficiency with roughly 10^14 synaptic operations per second per watt! For low-energy consumption #AI paper: https://t.co/m3WxrrSmR3 For finding dark matter: https://t.co/4hBaSHhPa7 & Paper: https://t.co/EKluRtd1ZG https://t.co/uOJggTLTj0 |
| 2019-08-04 | DNA Data Storage “The information density of DNA is remarkable — just one gram can store 215 petabytes, or 215 million gigabytes, of data.” Research by @luisceze Article: https://t.co/HbgIzJOdGb PowerPoint: https://t.co/rlR0NJWXxe https://t.co/KDC8zOKgvC |
| 2019-08-03 | And risk parity portfolios with R code #rstats https://t.co/HJdPgYkZCF |
| 2019-08-03 | Jupyter notebook and python library for risk parity portfolios https://t.co/ZjpC1MeAbP |
| 2019-08-03 | Options Market Making #AMM for listed equity derivatives paper https://t.co/BCWEqx0itO https://t.co/ApuCli64HX |
| 2019-08-03 | Extreme value analysis, ES and VaR of highâ€frequency cryptocurrencies https://t.co/wyRTzrlJe5 https://t.co/gDRNSuOc7S |
| 2019-08-03 | Paper on predicting cancellation events in limit order books containing fragments of large order #flow using SVM #ml methods https://t.co/wyRTzrlJe5 |
| 2019-08-03 | Activity-weighted spreads and returns and identifying anomalies using L1 limit oder book information - paper https://t.co/vP1m106bJO https://t.co/FpIk0qvXnM |
| 2019-08-02 | fun fact Friday: “On Fridays, VIX experiences an average daily decrease of nearly 70 basis points." Short article with R code snippet, #rstats https://t.co/6yZjUewmqN |
| 2019-08-02 | Huber regressions to mitigate outliers, short article and R code snippet #rstats https://t.co/6biOOSQOSn |
| 2019-08-02 | Paper on optimizing investment portfolio higher-moments (coskewness, skew-adjusted Sharpe ratio) https://t.co/ticu6HJAxJ |
| 2019-08-02 | Henry Kissinger, Eric Schmidt, and Daniel Huttenlocher on #AI ‘Hardly any of these strategic verities can be applied to a world in which AI plays a significant role in national security.’ â¦@TheAtlanticâ© https://t.co/F7newJEGRM |
| 2019-08-01 | Sentient geospatial intelligence https://t.co/e0NQwFxeXq https://t.co/H68FDrUZZB |
| 2019-08-01 | Tianjic chip fuses previously incompatible #AI architectures to garner neuromorphic powers and a dataflow architecture suitable for artificially guiding bicycles @nature Paper: https://t.co/pOiImFQrXl Video: https://t.co/qd3Zps8oqD |
| 2019-08-01 | Age of #misinformation https://t.co/2OylCz6zyY |
| 2019-08-01 | Yet another way… https://t.co/o5bLcQZk3A |
| 2019-08-01 | Awesome introduction to cryptographic attack vectors https://t.co/goJMuf80jA |
| 2019-07-31 | This may not turn out well. #HumanAnimalChimera https://t.co/rqP5efxyHo |
| 2019-07-30 | Automated Machine Learning Hyperparameter Tuning in Python #automl https://t.co/sXxqMwJ6A5 |
| 2019-07-30 | And there is this new mass-surveillance mask… https://t.co/YODhXgzcAS |
| 2019-07-30 | Facial Recognition Key challenges for society Via @guardian https://t.co/7qBIpHuSBv How to dodge facial recognition using occlusion or confusion… Via @WIRED https://t.co/hgLeyv2O5j Python code for facial recognition: https://t.co/swnraKDr3V https://t.co/jOschhyeFh |
| 2019-07-29 | Hmmmm $FB bypassing end-to-end encryption… https://t.co/drxRvf7DxS |
| 2019-07-29 | In a future world of tokenized everything, lower transaction fees, and ‘round the clock trading, the missing ingredient in this discussion will be the empowering intelligent data, analytics and algorithms in between. https://t.co/a7EqypIjEP |
| 2019-07-29 | Pythonic grid / spreadsheet https://t.co/Qy3iepeaxk |
| 2019-07-29 | #AI usecases on Blockchain #crypto https://t.co/06I2U8GcFs |
| 2019-07-29 | FinTech global financing statistics https://t.co/9EICkaUuZ0 https://t.co/f4LtAk2Zy0 |
| 2019-07-29 | Tensorly - design and train deep tensorized neural networks using Tensors and NumPy, MXNet, PyTorch, TensorFlow and CuPy #ml Paper: https://t.co/y7S46aOiHD Python source code: https://t.co/tK9EZkwrGT |
| 2019-07-28 | Detecting #fakenews and #misinformation on Twitter paper using geometric deep learning techniques #ml https://t.co/ZQPbkAIy5o https://t.co/DeOLFMenli |
| 2019-07-28 | The Great Hack | Official Trailer | Netflix https://t.co/Olw2QFgZjr via @YouTube We should ALL watch… WIRED review: https://t.co/xJy8DhP0aQ |
| 2019-07-28 | Web service to generate natural language text summaries of articles or content snippets #Hackeryogi #tldr https://t.co/RI7GFJmqe3 The pic is the text summary of the article below https://t.co/8U8Hmceqc0 https://t.co/2EGk33JZNp |
| 2019-07-28 | The New Yorker on #AI and ‘Intellectual Debt’ “We should also worry, though, about what will happen when A.I. gets it right” https://t.co/8U8Hmceqc0 |
| 2019-07-28 | Algorithmic Trading, latent alpha, mean-field games and stochastic heterogeneous agent modeling - dissertation https://t.co/ubuhzK6Jyi https://t.co/oBxGdytyo0 |
| 2019-07-27 | Automated market making #AMM using Reinforcement Learning #ml https://t.co/AyKQypTBEq https://t.co/L28LA09rXp |
| 2019-07-26 | Hmmm 🤔 an asteroid - just 1/5 of distance moon to earth just whizzed by ‘Asteroid 2019 OK to flyby Earth at 0.19 Lunar Distance on July 25’ https://t.co/XmC6zhYnRT |
| 2019-07-26 | From @WIRED Fridays are for frolicking in the farrago of frenetic forensics of falsidical, factious, falsiloquenct, even freakish social media $FB to fringe faves like 4chan, 8chan, Voat, and Gab with fecundity from Stanford Internet Observatory https://t.co/MuMj5LPMoI |
| 2019-07-26 | Interesting perspectives on US stock exchange game theory “MEMX surely can draw massive orders away from the Big Three under the order protection rule against ‘trade-throughs.’” https://t.co/mj0rRsyJ3M |
| 2019-07-26 | Behavioral maxims for incentives, metrics and goals Campbell’s Law & Goodhart’s Law https://t.co/nvw3BTbJYk |
| 2019-07-25 | Unsupervised learning for anomaly detection in stock options pricing with Python code Isolation Forest #ml https://t.co/tFWEsfbI1U |
| 2019-07-25 | Josh Wolfe opines on formation of a Liquidity Crisis as a natural consequence of trade wars and bubble asset valuations in private and public assets? @wolfejosh https://t.co/dYBF014z7p |
| 2019-07-25 | How Is Market Uptake of SOFR? “Outstanding SOFR-linked notional across all products has grown from less https://t.co/roy2lvZT5J #Libor #RFR |
| 2019-07-25 | Capturing stock cross market arbitrage opportunities with a median of 332 microseconds and not a microsecond to spare… [Survey paper on arbitrage market structure attributes, not a playbook for high-frequency Alpha] https://t.co/I43XEhDGkl |
| 2019-07-25 | NYT opines on FaceApp https://t.co/A8ZrXzlCtX https://t.co/Wigf23NDCQ |
| 2019-07-25 | De-fi primer by @zerohedge https://t.co/DuZCysGbdD |
| 2019-07-24 | Global FinTech 250 as compiled by @CBinsights https://t.co/nXy0vxG8M5 https://t.co/8HvD5UnMXm |
| 2019-07-24 | Tokenized real-estate startup ReatT tackles the enormous challenge of applying Crypto and driving liquidity to the largest form of illiquid asset. https://t.co/mnEho61EIc |
| 2019-07-24 | When data is anonymized but actually is re-identifiable… Paper: https://t.co/TSqZ0XbhCh Code: https://t.co/zqQCLgTx3o |
| 2019-07-23 | Interesting read on stock liquidity shifts by @ltabb on @TabbFORUM https://t.co/kEJDzHXFEA |
| 2019-07-23 | Seasonal and Trend time-series decomposition using Loes and Python https://t.co/j97AxMk36K https://t.co/Vxr95rHIai |
| 2019-07-22 | Fidelity applies for a Trust license for its #Crypto business “A trust license allows a firm to operate a broader swath of services in financial markets, such as financial advice, hinting at far reaching ambitions." https://t.co/IcEO8oYt6w |
| 2019-07-22 | Simple, Bitcoin sentiment strategy profiled using Python and Augmento sourced data Article: https://t.co/NMCCyzhmqk Python notebook: https://t.co/J46GSTFQzm https://t.co/tFjQHDjjYC |
| 2019-07-22 | Quantamental Sentiment has it’s proponents… https://t.co/uorQzroIsT |
| 2019-07-22 | EIP Block-size and #TCA Analysis https://t.co/01P68Sb4jM |
| 2019-07-21 | Bear Sterns, Lehman, … DB? Post financial crisis, have the controls and risk management that corporates, depositors, funds and banks implemented sufficiently mitigate the systemic risk of a global moneycenter bank’s demise? https://t.co/PLwMFegOCI |
| 2019-07-21 | Coinbase provides aggregated crypto order #flow information https://t.co/4kI0w7A3eW |
| 2019-07-20 | Bridgewater analysis of diversification benefits vs geographic concentration with simple equal weight portfolios https://t.co/fySWSADch9 |
| 2019-07-20 | Paper on multi-level order #flow imbalance indicators #lob for optimizing trading https://t.co/wVSJ04JCI6 |
| 2019-07-20 | Gen, new computer language optimized for #AI and #ml machine-learning powered applications from Robotics, intelligent chat bots, recommendation systems and computer vision https://t.co/Du1bcxOEnV https://t.co/jVj62BEkql |
| 2019-07-20 | FaceApp vs $FB Meitu in the invasion of privacy war https://t.co/7l2h7hWZBL |
| 2019-07-19 | Analysis of stock dividend history in R #rstatsby @jkregenstein https://t.co/AH8hJe6Luz |
| 2019-07-19 | @pablo_tech Hmmm Play piano like Amadeus, Grandmaster chess like Magnus Carlsen, Polyglot better than Richard Hudson, Jeopardy better than Ken Jennings, Math better than Euler, Write better than Hemingway, Instant Recall better than Google |
| 2019-07-19 | Reinforcement learning applied to crypto market making paper #Markov Decision Process #hft #lob #algorithmic trading https://t.co/ggBWoMsqoF |
| 2019-07-18 | Autocodecompleter - #deepcode https://t.co/R3ye347zdj |
| 2019-07-18 | Crypto ‘painting the tape…’ - Crypto needs to be regulated to minimize these sorts of miscreant activities https://t.co/1ajKJlEA5j |
| 2019-07-17 | Hmmm. What could go wrong? https://t.co/eKXznepET9 |
| 2019-07-16 | The reverse of the title is also very true as Real Time #Analytics is more than just Real Time Data https://t.co/hwPRRnFPQN |
| 2019-07-16 | Danger from above… Loud music disturbs a neighbor and he resorts to loading up his #drone with fireworks and #dronerage takes over… https://t.co/FQbiIixjIu https://t.co/Iqu36N8Hgw |
| 2019-07-16 | The importance of meta order limit prices in influencing transaction costs #TCA Paper https://t.co/3abDqGcxhA https://t.co/IxYD1aMHxP |
| 2019-07-16 | If all of us left “to go back to where we came from# #rstats #dataviz https://t.co/tFAfif5I7p https://t.co/JwCJWvygwV |
| 2019-07-14 | Paper on a new #AMM automated market-making model that avoids common assumptions of price processes, constant volume, one-tick jump and spread, continuous switching without penalty and no market orders https://t.co/a95fx83bEf |
| 2019-07-13 | Good short overview of the challenges of retiring Libor - good weekend read for market mavens and newbie neophytes alike #SOFR #OIS #Derivatives #Trading #Refinitiv #Libor #overnightsecuredrate https://t.co/X07yZBHbbF |
| 2019-07-13 | Statistics with Julia New #Julia #ebook with sections on #ml and #AI https://t.co/DRXPNdIh1S https://t.co/vNx3kwr7ya |
| 2019-07-12 | Palantir and the surveillance state https://t.co/TdF8u7gMmB https://t.co/TKSWWJYrzC |
| 2019-07-12 | #MLB Curve-Balls and Sliders are seemingly ‘breaking’ more than ever https://t.co/geK0ayVL7E https://t.co/OC9naw8gxp |
| 2019-07-11 | #RefinitivSocial100 | Top 100 finance social-media influencers #ff ranked https://t.co/SEmJpNTzUj |
| 2019-07-11 | @Public_Citizen @Ereche1Erik ,z, , , 🇦🇸 🇦🇼🇦🇼 🇦🇸🇦🇽🇦🇼. ,,,b 🇦🇸 🇦🇸🇦🇸 🇦🇸 🇦🇼 🇦🇼. 🇦🇹 https://t.co/WCXLeQbiWH |
| 2019-07-11 | An important Crypto milestone - 1st Reg A+ Crypto utility token offering https://t.co/TLKY8lkLuT |
| 2019-07-09 | R package for stochastic volatility modeling #rstats in trading R package synopsis: https://t.co/YcmZ4rYMGN Paper: https://t.co/37IxRRKdwk https://t.co/pZUuQqCYU6 |
| 2019-07-09 | Article introduces stock pairs trading for the uninitiated using Python and Cointegration https://t.co/RhRu25qhOq https://t.co/mqTNbWeSm8 |
| 2019-07-09 | Implied factor ratios for China A shares #flow https://t.co/RbAE9vCnrN https://t.co/rVp3PGgO0a |
| 2019-07-09 | An astrophysicist analyzes baseball home run dynamics #MLB https://t.co/aERZhontz9 |
| 2019-07-09 | 🤔 https://t.co/K7WaxUKXRc |
| 2019-07-08 | @BCBSAssociation Vth.j n j I’m be. :-!:-!:-):-)O:-)O:-):-)O:-):-)👙🥼🥼👔👖👙👘👕👘 🇦🇨 🇦🇴 🇦🇴🇦🇺🇦🇴 kckzk kb. Ocm..t i |
| 2019-07-07 | Bounded-Error Quantum Polynomial Time https://t.co/I9XzBFIIr0 |
| 2019-07-03 | Culling sentiment information from FX trading order #flow in Python and Pandas https://t.co/251LpaN3A7 |
| 2019-07-03 | Harvard’s new Data Science Review contains articles on AI, data governance and data life-cycle https://t.co/vTW2g6TaxJ |
| 2019-07-03 | $FB open sources #DLRM an “advanced, open source deep learning recommendation model” ideal for use with sparse categorical data #Python https://t.co/jRBNdZYFVR |
| 2019-07-03 | Datafication and #AI Trends in 2 parts: https://t.co/ABURuTqWOM https://t.co/yNMdsL5wTN |
| 2019-07-02 | Valuation of equity barrier options and their Greeks Monte Carlo performance boosted by (T)GPUs on Google Cloud #gpu #python #derivatives https://t.co/7SJBkIAZJC |
| 2019-07-02 | Simple volatility estimation in R #rstats #VIX https://t.co/nW200GCvhE https://t.co/jmP3QwCw2n |
| 2019-07-02 | Common portfolio construction optimization techniques profiled in R #rstats https://t.co/wQJWc5RIFn |
| 2019-07-02 | Ten #AI #Ted Talks https://t.co/TPwY4mel9L |
| 2019-06-27 | Econometric and technical features for mid-price prediction using deep learning techniques. https://t.co/S8kztjuxGx #ml paper https://t.co/BljOIaR4O8 |
| 2019-06-26 | $FB acquired Cheddar with expertise in Crypto smart contracts for smart metering, polling and banking to infuse #Libra with more #Crypto talent https://t.co/wJ3sLODVqd Related Cheddar smart contracts paper: https://t.co/Flov5YrtJm |
| 2019-06-26 | BTrDB database for high-performance time-series storage, compression and associative analytics https://t.co/2Y9UHtBQHC https://t.co/jhfBOwfCR8 |
| 2019-06-25 | Institutional investor article on shifting competitive dynamics of investment - unbundling, factor attribution and AI https://t.co/MBLQy1HHJm |
| 2019-06-25 | Sports Data Science: Go for it on 4th down is the analytical optimal solution according to this paper: #NFL coaches generally are overly conservative. https://t.co/kkLE9oF3Uy https://t.co/kcX8vK0E36 |
| 2019-06-25 | Using the confluence of Activity Weighted Spreads & Activity Weighted Returns as early intraday predictors of anomalous market behavior https://t.co/paKTm7qTAS #outlier #trading https://t.co/SXRhkJADrR |
| 2019-06-25 | Trust, mixed metaphors and #Libra https://t.co/PSCX4Yw85v |
| 2019-06-25 | Comparing Ethereum and Libra from an architectural design point-of-view https://t.co/TnG2oDYTjH - blockchain vs transaction Merkel trees - permissionless vs permission - quasi-centralized vs relatively decentralized - corporate privileged governance vs voting model … |
| 2019-06-25 | If he is right, when fixed-income trading hits 90% electronic execution levels, then as a natural consequence the investment process will follow and become more factor and data science driven and increasingly passive as well. https://t.co/cCwm2nNh7j. |
| 2019-06-25 | Quantitative Politics #ebook #rstats https://t.co/or1bequmMn https://t.co/0bQkwgxIJo |
| 2019-06-24 | #Libra will usher in acceleration of regulatory forces, as well as collusive or collective animal spirit game-theory dynamics that will likely play their hand in the first confrontation between central banks hegemony and crypto-inspired markets. |
| 2019-06-24 | With each passing month, implicit trust for security of the math underlying decentralized models seems to be trending upwards, but trust for the centralized or quasi-centralized entities intermediating and governing and regulating those processes remains suspect … |
| 2019-06-24 | … #Libra will have similar challenges to implementing scaling as Ethereum And will have regulators and legislators watching very closely and unlike Bitcoin, able to target, fine and subpoena senior leaders at Facebook $FB and partner firms … |
| 2019-06-24 | #Libra as a #Crypto stablecoin based on traditional basket of instruments will theoretically reduce some of the (floor) volatility but multi-jurisdictional regulatory, trust, basis and correlation and utility effects are currently unknown https://t.co/NOZ2oS2que |
| 2019-06-23 | Bokeh based multi-sports animations in Python #nba https://t.co/DTjRoKbQV6 https://t.co/Rf5FwZ7Q42 |
| 2019-06-23 | Reinforcement Learning using Monte Carlo & OpenAI Gym in Python https://t.co/WOF7Nfyc6X |
| 2019-06-23 | ARIMA modeling in Python https://t.co/ity7nq0x0p https://t.co/V5G1g17aTm |
| 2019-06-23 | Ameribor Futures https://t.co/Hz1ipYw6Vp |
| 2019-06-23 | Another Book on Data Science #ebook in R and Python - includes chapter in Optimization https://t.co/aJ3OheHusQ #rstats https://t.co/R98UvY53Tn |
| 2019-06-22 | Multifractal Detrended Cross-Correlation methodology applied to the foreign exchange (Forex) market. #FX #Paper https://t.co/RXt4AEAvAj https://t.co/rIY0ssibsQ |
| 2019-06-22 | AI startup @TextIQ raises $12.6M and applies #NLP on sensitive corporate docs for legal discovery, HR and compliance #GDPR https://t.co/2IPxCWPZgL https://t.co/ExqIsuimbw |
| 2019-06-22 | AutoML startups are in vogue as @intersectlabs launches automated model choice and prediction tool. The space is profiled in this @techcrunch article https://t.co/b8HyWhK6lo |
| 2019-06-21 | #loungelife @ @HeathrowAirport Terminal 5 with Amex Platinum Go To Gate A7 Plaza Premium lounge and don’t make the LONG trek to Aspire which used to support Amex Platinum https://t.co/f5vsW6JMwU Please update your list @thepointsguy https://t.co/kSllHYoSBF |
| 2019-06-21 | Facebook’s Libra Project profiled in this report #Libra #Crypto $FB https://t.co/Mma38LvUR5 https://t.co/nK70OC3qSu |
| 2019-06-20 | WSJ on Crypto Regulatory Paralysis https://t.co/clzti931lo |
| 2019-06-20 | Paper on trader classification using order #flow features: inventory ratio, order cancellation ratio, order frequency, and number of stocks per trading server as proxies of behavioral char- acteristics and Machine-Learning #ml https://t.co/g60eBboxNu https://t.co/7VcXNXH7r7 |
| 2019-06-17 | Semiotics and the construction of a data science language #dsl paper https://t.co/eRKuvWiZ0B https://t.co/A4oRCGTnmo |
| 2019-06-17 | Short time-series prediction in R “transfer of a learned posterior on one time series as a new prior on a related time series to model yearly seasonality for a short time series” Article: https://t.co/RD5q1C7PPt #rstats Source code: https://t.co/qZs1b5EsJH |
| 2019-06-17 | identity, health and veracity derived from video facial cues for insurers… #affectivecomputing https://t.co/l2Liqg9sjg |
| 2019-06-16 | Sadly, but not surprisingly, NYC subways are still running OS/2 https://t.co/xIqgolTnEI |
| 2019-06-16 | Time-series detrending and benchmarking using all commonly known methods in WÅtan Paper: https://t.co/Ma1FOtfAiT Python Source: https://t.co/3fbg92D973 https://t.co/5t2DPEekp3 |
| 2019-06-15 | Machine-learning classification of stock sectors #ml #flow paper https://t.co/XKzglUNEk1 https://t.co/JjXykhiZxW |
| 2019-06-15 | Bitcoin bubbles and crashes modeled using a log-periodic power law singularity (LPPLS) confidence indicator https://t.co/02dc3nY3tx https://t.co/HP59MTTiwM |
| 2019-06-13 | BigData, AltData and now crowd-sourced signals with a choice of machine learning based return profiles from Kaggle, QuantConnect and Quantopia… https://t.co/WMGOkjzDzY |
| 2019-06-13 | Note on time-series patterns / shapelets https://t.co/IJXQMi9B72 https://t.co/dzvx5LBKjr |
| 2019-06-13 | Time-Series Motifs - paper https://t.co/8HcmvPjHD0 https://t.co/OvqKLPgkXs |
| 2019-06-13 | Outlie………………………………r #Python #PyOD https://t.co/iBauaOPzRS https://t.co/rR0SjDCHTU |
| 2019-06-12 | Mint synthetic assets ranging from cryptocurrencies to fiat currencies to derivatives with #Synthetix #crypto https://t.co/Z3Edw4qoUI |
| 2019-06-12 | Yet another perspective on the AQR paper on machine learning in finance https://t.co/k890Isvdp0 |
| 2019-06-12 | I do not agree entirely with the thesis that because there are fewer public companies to chase with investment that has led to a boom in valuations. Beta-hunting primacy, relative liquidity over PE/Real Estate and low relative yields are few other factors https://t.co/NRILMeMnim |
| 2019-06-12 | “Do GANs Dream of Fake Images?†#deepfake https://t.co/Ojpwv5cBTb |
| 2019-06-12 | Aladdin and information leakage from unexpected places https://t.co/xLuBU6p4Zo |
| 2019-06-12 | FT | Robin Wigglesworth on Credit markets structural changes in automation and algorithms for small trades https://t.co/KHlRgbY7zk |
| 2019-06-12 | Analytics and Private Wealth report by BCG https://t.co/LbV8t8ECu9 https://t.co/r8yuvUYliz |
| 2019-06-12 | Slightly expanded thoughts on the subject of machine learning in finance: https://t.co/ogu01PNmC2 |
| 2019-06-12 | AQR on Machine Learning in Finance https://t.co/TttnBefyyt https://t.co/1xtGaM5KhI |
| 2019-06-12 | Block chain inspired transparency around settlement process and market-driven SOFR fixings could improve liquidity that has been lost as a result of financial crisis and Volcker and Basel legal frameworks |
| 2019-06-12 | Good thought process outlined in @TABBGroup article (& report): Blockchain & smart contracts can be weaved into ISDA workflows programmatically w/ just minor tweaking. No reconciliation and secured market rates #SOFR are market structure improvements https://t.co/Ry2fGusgkt https://t.co/EcEbRqUs6J |
| 2019-06-11 | Optimized execution with an agent model that uses decision trees in a limit order book framework - #paper https://t.co/l80QrllfD8 #lob #trading https://t.co/ZQt6sGKcku |
| 2019-06-11 | Mary Meeker’s fabled annual report on Internet - growth slowing, crypto barely mentioned, China asserting steady path to dominance in related company valuations https://t.co/MYdt8rhpqs |
| 2019-06-11 | Limit order books modeled by a multi-layer perception neural-net #lob #nn #ml https://t.co/qz4MxVJOtf https://t.co/u1CBF4TjLK |
| 2019-06-11 | #DeepFake Voices - paper and background article with voice samples https://t.co/ok2klDYj3j https://t.co/jwdeCaq3b2 |
| 2019-06-11 | Market map of #crypto via @puntium of @ElectricCapital https://t.co/Rb6WsaRl7L https://t.co/VjtONs8USa |
| 2019-06-11 | Startup idea-generating heuristics… https://t.co/156gKR1aPO |
| 2019-06-09 | A tale of when AWK and R was the best for to the problem at hand over more illustrious analytical infrastructure and patterns https://t.co/gHtzBF9U6j #rstats #bioinformatics |
| 2019-06-09 | Startups analyzed and simulated - by funding, global city, and across sectoral / industry diversity measures https://t.co/NzJdS3LmwA https://t.co/liJctkF1ok |
| 2019-06-08 | Can anyone quickly answer what is a Counterparty risk-free asset in tokenized form? https://t.co/SlZkiRSuFH https://t.co/ST3UQXjpbd |
| 2019-06-07 | Crypto Analytics - using SQL to traverse the blockchain by @duneanalytics https://t.co/P5zQA8Sbew https://t.co/llR45KYlZE |
| 2019-06-07 | Not an oxymoron Smart Beta Crypto… https://t.co/qpFUkOVWZa |
| 2019-06-07 | Anomaly detection in time series with Prophet and Python https://t.co/GsnZmKDsU6 |
| 2019-06-06 | Private equity needs to become a liquid asset class and part of the rationale is that new research throws a curve ball at conventional wisdom that private equity funds will continue to deliver value past year 10. https://t.co/PCoWvZLxky |
| 2019-06-06 | Enigma is now classifying tabular data using natural-language processing (NLP) techniques but leveraging high-occurrences to improve classification accuracy. #altdata #machine-learning #ml https://t.co/Y9AXXdVriQ |
| 2019-06-06 | Kedro, an open-source machine learning and analytics pipeline tool just released by Mckinsey https://t.co/Qbtf5Glf6A |
| 2019-06-05 | Impact of ETFs on Bond Liquidity htps://www.bloomberg.com/amp/news/articles/2019-06-05/bofa-jane-street-say-rise-of-etfs-is-improving-the-bond-market |
| 2019-06-05 | 57 hot startups as per a coterie of VC perspectives https://t.co/jy5TfGS3O0 |
| 2019-06-05 | Liquidnet buys @prattledata for machine learning based trading insights https://t.co/6zjV5VrqTg “Prattle applies natural language processing on central banks’ communications in order to extract macro level sentiment scores on countries, industries and sectors worldwide” |
| 2019-06-05 | Cisco open sources Mindmeld: A Conversational Platform for Deep-Domain Voice Chatbots. https://t.co/Lz1Y3QHaZx |
| 2019-06-05 | Watch the devices that watch you at home… Princeton IoT Inspector, a open-source tool that lets you inspect IoT traffic in your home network right from the browser. https://t.co/BDtQeH3wCO |
| 2019-06-05 | Crypto market impact / implicit transaction costs and risk #TCA article https://t.co/mVOllSTOsy |
| 2019-06-04 | @CJ_Hernandez2 @jpmorgan Lol - what is old is new again?! |
| 2019-06-04 | RFQs, Block indications and Alerts are ostensibly what institutional equity Bots are for… https://t.co/HAWHteV82q |
| 2019-06-03 | Time Series Neural models made with Python and GluonTS magic courtesy of Amazon (and Apache) https://t.co/C6YXv5AX47 |
| 2019-06-02 | Hmmm https://t.co/hYwqnDW56k |
| 2019-06-02 | HBR on strategy for dealing with the battle between the tyranny of the immediate vs the truly important - https://t.co/xipf0ZvJCu |
| 2019-06-02 | Momentum investing using R blog post by @jkregenstein https://t.co/a5wNJi3QkV |
| 2019-06-01 | @mikeharrisNY Agree it’s an academic survey with all the points you mention, no transaction costs and only a sliver of model choices. Still useful to non-practitioners as an intro to the research around the subject. I hesitated a tiny bit when I posted but that was the reason I posted. |
| 2019-06-01 | Survey of machine learning and econometric techniques applied to stock price prediction #ml paper https://t.co/uGFp6lClDY https://t.co/RVJ50n1vmN |
| 2019-06-01 | @catamilho Lol - you must have been peeking at this article which claims proof-of-provenance food supply chains (eg gluten-free) is a natural blockchain benefit. :) https://t.co/hjMeh0uRM4 |
| 2019-06-01 | DeepFake vs Blockchain?! Article in WIRED https://t.co/azJfhZjsBw |
| 2019-05-30 | Python code for simple equities micro-execution oriented #TCA - slippage benchmarking, passive vs aggressive execution, 3-minute reversion… https://t.co/EaHEWuH6JM |
| 2019-05-30 | More on related crypto development tools in WSJ https://t.co/pIQzKE1Mhs https://t.co/8TkasRhP0h |
| 2019-05-30 | When data and their workflows are the (crypto) currency between counterparts… #CRM #Blockchain https://t.co/OqY2NyQhMc |
| 2019-05-29 | STOs and accelerating Innovation… https://t.co/t8JUj88bIA |
| 2019-05-29 | Bitcoin ownership segmentation analysis https://t.co/ud1OfRYcOu https://t.co/MGAM9qANL2 |
| 2019-05-28 | Neural Net applied to currency pairs - spot and futures - paper #lob #ml #DeepLearning #Korea https://t.co/qz4MxVJOtf https://t.co/mgfYMQXUgM |
| 2019-05-26 | Systematic risk factors for US Stock based portfolio selection via a GICS Ten-Factor model. https://t.co/AjOkDLB9sE |
| 2019-05-25 | Cross-security market impact #TCA paper for portfolio trading https://t.co/sIyj1Ee3cp https://t.co/a61iVnaw8c |
| 2019-05-25 | Stylized facts of stocks at market open “the data collapses to a power law with small negative exponent for the majority of the stocks,… the spread is non-stationary during the whole trading day and closes slowly.†https://t.co/pF1hBhUhmV #TCA https://t.co/mpKTctnuiT |
| 2019-05-25 | Corporate bonds - stylized facts and implicit transaction cost estimates #TCA paper https://t.co/CmRVPx7gKZ https://t.co/yUhD922OHB |
| 2019-05-25 | Many open questions remain in #TCA https://t.co/QH9IfHYsyW https://t.co/YlDW5wX3px |
| 2019-05-25 | TCA paper “price changes are mainly driven by the aggregate (net) order flow imbalance rather than the ’impact’ of trades and that, once conditioned on trade duration, trade size has very little explanatory power for price changes during execution†https://t.co/rHwx7GgMQ0 https://t.co/IScyClyYty |
| 2019-05-23 | What is real anymore? #DeepFake masterpieces https://t.co/aUvkZunAVD |
| 2019-05-23 | #QuantMinds2019 presentation on Deep Analytics https://t.co/Xlji8CHVLE |
| 2019-05-22 | Paper on positive impact of growing passive flows on availability of lending shares, lending fees and cross-correlation with negative returns/skews https://t.co/DzSO4xlPMh |
| 2019-05-22 | Hmmm I will take the Over (O/U) for sure… It’s not just automation It’s also the confluence of ML in chat bots & investment Dominance of passive Volcker & other reg frameworks And Crypto & Fintech innovations https://t.co/HF4KrJKrBp https://t.co/PE9y4lXIIM |
| 2019-05-22 | Collection of papers on BigData, FinTech and Blockchain https://t.co/Ai07wFq5Oy https://t.co/RlAKE3pWOL |
| 2019-05-21 | New patent for an Algorithmic kill switch relies on entropy to discern abnormal trades #IS https://t.co/BsC73Ip1iu https://t.co/R5sChCRIJV |
| 2019-05-20 | Mean-field Monday https://t.co/lcAAmoUsRh Optimized multi-asset trading with linear transaction costs #TCA Paper |
| 2019-05-20 | Over-engineering team design when integrating data scientists is a thing. Data Engineers are not just ‘ETL’ and Data Scientists are not just Model, Validate, Next… https://t.co/YfhiLgnnTj |
| 2019-05-18 | @KnickFilmSchool Rp |
| 2019-05-16 | SPTAG: A library for fast approximate nearest neighbor search algorithm. Microsoft open sources SPTAG: SPTAG: A library for fast approximate nearest neighbor search https://t.co/oObKjbXWWz https://t.co/l6qpE2ZxCo |
| 2019-05-16 | Intraday Trading - stylized facts and dynamics #TCA paper https://t.co/QJmMfDTfWT https://t.co/mQPSB9Xeaf |
| 2019-05-16 | Order imbalance volatility and the relationship between liquidity, volatility and stock spreads #lob https://t.co/2Qdd7S8kw1 https://t.co/iioDSBj4c1 |
| 2019-05-15 | Powerful story on the power of hidden teams in HBR https://t.co/nzic5Pszv9 |
| 2019-05-13 | Using natural language generation to classify market movements - conceptual framework article https://t.co/eb9Az6hNzV Related ResNet source: https://t.co/MtVrJVldfG Paper on ResNet algorithm https://t.co/8YIKI3pIeh #nlp #nlg #ml #BrownianBridge https://t.co/J9HKd5hmyH |
| 2019-05-13 | Data Science online #ebook now available under Creative Commons license #rstats #python https://t.co/3zrDS5V3T0 https://t.co/v4x2SH7zbW |
| 2019-05-13 | @OpenSourceQuant Thanks for attaching the link - and yes, very similar to I* model, but interestingly has another contemporaneous term incorporating intraday volatility and current market volume. |
| 2019-05-13 | Tilt, Turnover and Turnover Concentration as implicit contributors to transaction costs for ETFs #TCA https://t.co/2JsAFEvvQ9 |
| 2019-05-13 | WorldQuant #TCA model https://t.co/tNUlGn9hWW https://t.co/ugkCXDFqMC |
| 2019-05-13 | Bayesian #TCA model applied to broker algorithmic execution ranking https://t.co/jyuuXOOwIN https://t.co/rdrnSpiAMY |
| 2019-05-13 | Bitcoin transaction cost model - simple formulaic approximation #TCA https://t.co/dP9VxkNHc5 https://t.co/XnIQ5Ok8OT |
| 2019-05-12 | Some details and drivers behind the new LTSE - Long Term Stock Exchange approval by the SEC https://t.co/irMFMU6NRK |
| 2019-05-06 | “Goldman’s PSI team, which has invested https://t.co/OTWlcUFNqf |
| 2019-05-05 | AutoML article documents several key machine learning pipeline to prediction automation projects #ml #automl https://t.co/G51k0CzpVA |
| 2019-05-05 | Paper on the roughness or the anti-persistence of #Bitcoin volatility using the multifractal detrended fluctuation / #Hurst https://t.co/59mq0ALW0D #Crypto https://t.co/DVTG5HxVP1 |
| 2019-05-03 | This paper utilizes a unique dataset of banking sector cross- holdings of securities to map exposures among banks and economic and financial sectors for contagion and other effects. https://t.co/cgEZmtdFpD #network #graph https://t.co/lKDPa1I3aH |
| 2019-05-03 | Article on ClimaCell, a startup using cell signals to generate accurate weather predictions https://t.co/LtFbTsNiJy #altdata |
| 2019-05-02 | $GS Chavez on importance of clarity of government regulations as precursor to Goldman starting crypto trading and custody businesses (beyond trading Bitcoin Futures and use of blockchain inspired technologies) https://t.co/BGTM0byCk7 |
| 2019-05-01 | Crypto startup TokenSets and their censorship-resistant algorithmically-adjusted derivative and structured products protocol dubbed SETS… https://t.co/3DJigwflqC |
| 2019-05-01 | Crypto custody service partnership Bakkt and BNY Mellon https://t.co/IrLaokyTca |
| 2019-05-01 | Cryptocurrencies - paper co-authored by Campbell R. Harvey https://t.co/RwoKjg4iJK https://t.co/LqfOCOtX3Y |
| 2019-05-01 | Competition and high frequency trading impact on market quality - paper https://t.co/mDx305qNU4 |
| 2019-04-30 | Visualizing decision trees in Machine Learning - dtreeviz python library https://t.co/5qaudp4MDG https://t.co/YeNu4KQVTW |
| 2019-04-29 | Stylized facts for corporates and their stock markets - short-termism, adaptive behaviors, market dynamics, market capitalizations, stability, feedback loops and other integral factors explored in this paper https://t.co/CXxZyoLVx4 https://t.co/WhiUqRlX5l |
| 2019-04-28 | AI & Humans “Maybe I can try and formulate an equation to explain what’s happening. And the equation is: B times C times D equals HH, which means biological knowledge multiplied by computing power, multiplied by data equals the ability to hack humans." https://t.co/vgNnF9slvv |
| 2019-04-28 | Population maps and extrapolations using a mixture of machine learning techniques, labeling, and high-resolution satellite imagery at 30 meter radius by $FB and #CIESIN https://t.co/PkUAS5wDvV #AltData: https://t.co/IXZRYlpfw3 A humanitarian use-case: https://t.co/RqUVs9kFFl https://t.co/U6vUBtAcuJ |
| 2019-04-28 | Orwellian or just #AltData? https://t.co/hmAiSYMquJ https://t.co/EzckHf1D7q |
| 2019-04-27 | $FB and memory-efficient hash tables dubbed F14 https://t.co/7GTbAbYhYb |
| 2019-04-26 | The #math behind bootrapping discount factor and zero curves and market interpolation methods for the uninitiated all discussed in this short paper https://t.co/o1oQY6Hm1U |
| 2019-04-26 | $MMM When you • know • you are “falling behind the curve”, you risk all - 8 Sigma stock moves (12.95%) are not Black Swans, but predictable outcomes - earnings only validate that narrative. A mean-reversion re-reaction aside does not diminish the point https://t.co/kOxzkSubme https://t.co/jOgZYnUNd6 |
| 2019-04-26 | Panel of market participants opines on #AltData relevance to buy-side but data accessibility is a fraction of #datascience work to clean, extract features, insights and software engineering to systematically integrate into an investment & trading process https://t.co/KyC2izvr7x |
| 2019-04-26 | Hmmm Is near-term AI relegated to just condensing and filtering information for traders?@#! https://t.co/tR5KDhwnuR |
| 2019-04-26 | #TCA Multi-broker Multi-asset Multiplicity-of-Benchmarks Machine-Learning Model-Envy MiFID-compliant Matters less?!@# https://t.co/e6aMwREA3G |
| 2019-04-25 | Not that they wouldn’t eventually figure out our tech anyway… https://t.co/5JuREJ6l9b |
| 2019-04-25 | When AI authors #FakeNews https://t.co/6n0FHN60SB |
| 2019-04-25 | Usher in bond securities tokens #STO #Crypto https://t.co/HcO4kQsPqd |
| 2019-04-25 | Apparently, we are less different from our silicon AI counterparts than we think… https://t.co/nfQAfs2jrE |
| 2019-04-24 | Unstructured data is the last frontier of #AltData for hedge funds and other investment professionals… https://t.co/vKpO8vcmB2 |
| 2019-04-23 | When dark pool bans are in effect, that only means that orders migrate to dark orders on lit venues or quasi-dark venues. This paper explores the effects on market quality and structure #MiFIDII #TCA #LOB https://t.co/e9XpRRNhzL https://t.co/J5ZCXUafI9 |
| 2019-04-23 | Tuesdays are for Time-Series Time-series deep learning and reduction of dimensionality using a new logistic Bag-of-Features model Inline: https://t.co/awtI8DZVXs PDF: https://t.co/Bq42tW8e3Q https://t.co/AL6pmDQ0CZ |
| 2019-04-23 | How Data Science augments intuition in the NFL Draft… https://t.co/P4vBGFYGXp |
| 2019-04-22 | Sigmoids + neural nets can approximate most functions… https://t.co/6eKkabRkKw |
| 2019-04-21 | Empirical paper compares a variety of machine learning #ml and deep learning approaches to predict stock prices / returns factoring transaction costs https://t.co/tS5Jd4ODE9 https://t.co/ajxi4qGCKm |
| 2019-04-20 | Yes, Security Token Networks do need network effects as Jesus Rodriguez opines… STOs for Real-Estate are particularly vexed because control is a key benefit of ownership and that is a key drawback of STO ownership. Other benefits are needed… #STO https://t.co/HAtoxAroop |
| 2019-04-20 | Ode to Facebook Scientists and their Randomly Wired Neural Networks … #ml https://t.co/JbpN4OlArp |
| 2019-04-19 | Good FT article by @RobinWigg surveys quant and machine-learning players in Private Equity https://t.co/Qy52qgLtaX |
| 2019-04-18 | A Securities Token Deal for real-estate has collapsed - #sto details: https://t.co/tJOyaaWG9E |
| 2019-04-18 | ETH Crypto data courtesy of a service linked to Google’s BigQuery https://t.co/MCBorDnkFO |
| 2019-04-18 | The world is a circle, goes around the sun in near circles and visualization in circles can be useful and fun in R Circular Visualization in R #rstats #ebook https://t.co/lOuhBu9S6B And code: https://t.co/EmH3Jtq3CS https://t.co/fYHe3nSLfP |
| 2019-04-18 | Good morning read: There are many reasons why econometrics fail to work in finance (eg p-hacking, machine-learning-disentanglement) - this short, non-quantitative presentation by AQR’s Marcos Lopez de Prado highlights why… https://t.co/QDiMjVasde https://t.co/o3MQkmbdP0 |
| 2019-04-18 | WIRED article outlines how mathematicians have discovered the fastest way to multiply large numbers… https://t.co/BTGe10tHOY | …But, there yet may be another, even faster way… https://t.co/Efn9QdTt26 #math https://t.co/NwsinL8MWa |
| 2019-04-16 | #DEX represents the future for digital assets but linked market microstructures that are easily gamed (eg undercutting, timebaited) as @phildaian highlights in his paper https://t.co/sweFvgQ5LI and Matt Levine simplifies and expands https://t.co/43sXQQRO7w slows that momentum |
| 2019-04-16 | Inverse Gamma Distributions, uncertainty around a handful of projects and a statistical explanation of why large software programs are often mis-estimated… https://t.co/47evUm4pDN |
| 2019-04-16 | Collection of Jupyter notebooks featuring natural language processing #NLP and semantic classification in #Python and #PyTorch https://t.co/awmC6uC5kD |
| 2019-04-16 | Invesco analysis of factor strategy performance across market cycles https://t.co/VaqitXDH84 https://t.co/VafBGR30j7 |
| 2019-04-16 | Endowments are far more aggressive in crypto / digital asset allocations https://t.co/BWlvRNIzEb https://t.co/xrUlf8J7HW |
| 2019-04-15 | Excellent interactive #dataviz and profound coverage of profound #dataethics and #legal challenges in this NYT deep dive into Google’s Sensorvault technology to respond to #geofence warrants https://t.co/1xMYJuvAmw |
| 2019-04-14 | Recent spurt of Mega PE/M&A FinTech deals profiled https://t.co/qaz2IS8gIk |
| 2019-04-13 | Dark Data is data that analytics are not being generated for… “According to reports, 7.5 sextillion gigabytes of data is generated worldwide every single day where 6.75 Septillion megabytes of data goes as dark data." https://t.co/X4v9hLwv7p |
| 2019-04-13 | Client profiling has quickly become incredibly aware of our past and future transactions, actions, biases and interests… https://t.co/IgzKmccHq2 #profiling #altdata https://t.co/4eEvpOPlhI |
| 2019-04-12 | Deloitte note on the challenges and benefits of using external data to drive actionable #Analytics https://t.co/KMri2QVMOc https://t.co/Vt1npMnMKJ |
| 2019-04-12 | Blockstack PBC recently announced that its subsidiary, Blockstack Token LLC filed with the SEC to raise \(50 million token offering via the regulatory body’s Regulation A+ Framework.</br></br>Stacks (\)STX)https://t.co/7c5kOyBBFL Harvard invested $5M+ https://t.co/z3KjtBm4PQ #crypto |
| 2019-04-12 | Estimating and monetizing momentum trends by using various deep learning methods - paper https://t.co/W8z2RgWtmf https://t.co/bT9J5Zk3uK |
| 2019-04-12 | HBR on using data science to value emotional connectedness https://t.co/tKEOTSaHjY #affectivecomputing https://t.co/fBHYYoTxa6 |
| 2019-04-12 | @mikeharrisNY @n0x00 Exactly! Lol! |
| 2019-04-12 | Hmmm. Securitization and Tokenization of People-futures? Career Spread contracts?! Income Term structure bets?! Index options on quantum computing income?! Convertible structures?! What is new is old again… #predictionmarkets #markets https://t.co/1MsJScxWED |
| 2019-04-12 | Paper on building a futures prediction market for software bugs: https://t.co/Y6m3jNkCx7 Source code: https://t.co/Y6m3jNkCx7 https://t.co/nbmYjqk56z |
| 2019-04-12 | @ThemisSal Hope so too. Otherwise, we will need to rely on Solar powered, Alpha-Go inspired, semi-sentient Elon Musk creations to save humanity from extinction. https://t.co/bCduAwNnKo |
| 2019-04-10 | Oh no! And so it begins! https://t.co/E3wvSmpOp2 https://t.co/A9StfBX42k |
| 2019-04-10 | Using Mathematics to Repair a Masterpiece | And C++ source code and executables https://t.co/yJehMxTJMs https://t.co/P8hA2pygZe |
| 2019-04-10 | Three-part tutorial on fuzzy time series, interval and probabilistic predictions. Coded using pyFTS by @petroniosilva and hosted in Google Colabs https://t.co/lNB8iK1Ua0 https://t.co/4C2ZDHknk8 https://t.co/NBILN83QyS https://t.co/d1Ze3jZqIG |
| 2019-04-09 | Erisology and the Zeitgeist of our times: Arguments, Discussions and Debates are very different now in the age of Twitter and DeepFakes https://t.co/JNjFiRueMI |
| 2019-04-09 | Bayesian #TCA regression model calibrated to broker benchmark algorithms calibrated against Bloomberg’s captured EMSX orders and fills https://t.co/jyuuXOOwIN https://t.co/JGmTviaNI5 |
| 2019-04-09 | 10 use cases of blockchain by central banks https://t.co/76Gr778RDL https://t.co/Vg3TeEH9wU |
| 2019-04-09 | A new market for private equity fund secondary sales for private investors backed by Blackrock and NASDAQ to bring liquidity, standardized contracts and an auction market https://t.co/8DEp2U6Y1C |
| 2019-04-09 | Goldman analysts opine on a world without stock buybacks: impact on stock prices, EPS, forward multiples and volatility https://t.co/OTKreC4lwO |
| 2019-04-09 | Predicting intra-day volume of liquid and illiquid stocks using an ensemble of simple methods but calibrated using new asymmetric error metrics #vwap https://t.co/PJ3VpMNtc8 https://t.co/COh97dt1Ma |
| 2019-04-09 | Mathematics of Computation ebook https://t.co/a4o18cC7qb https://t.co/TLFogxTFFb |
| 2019-04-07 | An interactive introduction to Fourier Transforms for the uninitiated #frequencydomain #fft https://t.co/0nzXIcITBH |
| 2019-04-07 | Multi-scale fracticality and super-chaoticness based methods to modeling Bitcoin - paper #Hurst #Spectral #Crypto paper https://t.co/vJyj2A2mzN https://t.co/4BIZg3wTzC |
| 2019-04-07 | 51 page report on how Facebook obtains and shares data with app providers on people - even without a $FB account https://t.co/2dhbZeEH8b https://t.co/AdTQDaYTmg |
| 2019-04-07 | Order and Trade #flow imbalances in limit order books of Bitcoin (and other cryptocurrencies) is the subject of this paper - #lob and associated Python source code https://t.co/6coQiCmIZh https://t.co/WyRz5S8ihZ |
| 2019-04-07 | Easy anomaly detection in R #rstats #timeseries https://t.co/xXHh1rpNo7 https://t.co/RVnwFOsMgs |
| 2019-04-06 | An insightful article by @RobertIati on @TabbFORUM on AltData for PE Firms underscores pricing and accessibility dynamics https://t.co/OpSW5kzBpN https://t.co/lYEuaAzf0y |
| 2019-04-06 | And the R Shiny #rstats winner was this excellent data visualization tool Shiny App: https://t.co/FinSzM6P7k Source: https://t.co/mysJcXtrhp https://t.co/WcNFYDmmX8 |
| 2019-04-06 | A personal geo-quantification of Uber using R and Shiny, posted as a Shiny contest entry like others in this thread Shiny App: https://t.co/l0R6EW1Vtq #rstats Source: https://t.co/ZDE64lYU6L https://t.co/rmAEdPGtt5 |
| 2019-04-06 | Another real-estate oriented R Shiny contest submission Shiny App: https://t.co/iDSe9tSmL4 Cloud: https://t.co/WDaE7DqN7W Source: https://t.co/QJg0dmanpm https://t.co/NuZzmRn7FQ |
| 2019-04-06 | R and Shiny based demonstration of analytics of NYC real estate, crime, school quality, and other relevant cross-sections and features https://t.co/KoeEiDBRXq Submission to R/Shiny Contest https://t.co/wF1bR3Tdzw https://t.co/kCfacC3hHn |
| 2019-04-06 | Excellent R & Shiny based Stock Portfolio demonstration of analyzing stock returns - cumulatively, by calendar, and across accounts. #rstats Shiny App: https://t.co/bz8SQewGUt Source: https://t.co/qoMvQDKlaf Packages: Highcharter, Argon, PerformanceAnalytics and Tidyverse https://t.co/a5DGhwxFyQ |
| 2019-04-05 | Ray Dalio’s new reformation of capitalism essay here: https://t.co/otMIg88h1G |
| 2019-04-04 | EconML is a Microsoft Research project that blends econometrics and machine learning and is part of ALICE (Automated Learning and Intelligence for Causation and Economics) Notebooks: https://t.co/apztO6dCYq https://t.co/c8JEAYWix2 Github: https://t.co/f0LkVm8QGm |
| 2019-04-03 | Amazon’s Topical Chat data set consists of more than 210,000 utterances or over 4,100,000 words #Altdata #Voice https://t.co/fpDzguysmN |
| 2019-04-03 | 17 Algorithmic Crypto Trading Funds have opened since September https://t.co/Wwo2LXf4GA https://t.co/ktnOQIjsZ1 https://t.co/9GA57X4tH1 |
| 2019-04-03 | New SEC guidance on STOs / Digital Assets https://t.co/aEPRvlws8L |
| 2019-04-03 | DB research report on European Banking https://t.co/pSGvKXR3yS…_and_why_it_matters.PDF https://t.co/bbBGLi25Bg |
| 2019-04-03 | Stylized facts of Bitcoin limit order books #lob paper https://t.co/mrBsFi8ZnJ https://t.co/KlYJVjZ1tZ |
| 2019-04-03 | Herding and Smart Beta consequences - paper surveys recent research https://t.co/mrBsFi8ZnJ #factor |
| 2019-04-03 | “Andreessen Horowitz — whose agency-like model has been widely replicated by other big venture firms — is re-shaping venture capital a second time. It’s doing this, says Forbes, by turning itself into a registered investment advisor." #VC #Crypto https://t.co/0sLLErwM50 |
| 2019-04-02 | Coin Metrics raises $1.9M to deliver Crypto Data to institutional players #AltData #FinTech https://t.co/A8lIG6Ceza |
| 2019-04-02 | Experiments in Hacking $TSLA Autopilot https://t.co/14l69Prr6b https://t.co/lVNBK5oOOj |
| 2019-04-02 | Cyberpunks and ‘Empyrean feats of coderly productivity’ featured in NYT book review of CODERS https://t.co/RIAWYpoAKh |
| 2019-04-02 | Many Math based solutions to Gerrymandering? Background: https://t.co/9Dm4CnSZbb Declination based solution: https://t.co/Ikw0ExLrhI Lattice solution: https://t.co/WO6MYSZd4M https://t.co/dhJJqmK4nf |
| 2019-04-02 | SciFi aficionados - the Hugo Awards are out. https://t.co/fujqCAxVzx |
| 2019-04-02 | Alternative Investments Report by Preqin https://t.co/wyzXkA81yp https://t.co/bYXpBGCVJR |
| 2019-04-02 | $GS apparently prepping to launch a new subscription-based ‘Data and Analytics’ as a Service Business https://t.co/xdsGDIdoO9 |
| 2019-04-01 | New machine learning algorithm improves destination frequency of streaming events using hashes #CSAIL #ml #timeseries Paper: https://t.co/NXZBkWVCXI Article: https://t.co/Iz93X0Ijfo |
| 2019-04-01 | https://t.co/LZMvb0kick on my Crypto Biases Quantified: https://t.co/agE66bdmOa |
| 2019-04-01 | Crypto and Firefox extension and related Javascript source code to identify bias in tweets from influential crypto pundits as determined by https://t.co/lfs38cWARq Source: https://t.co/ACZMBCET0u #FAKE #Twitter https://t.co/DCbIbOx9JH |
| 2019-04-01 | CAT: Consolidated Audit Trail - CAT help desk is now live, regulatory deadlines are looming, but the system rollout is almost 9 years in-the-making and nowhere in sight… An #EPIC #FAIL https://t.co/XHWenkXTv7 https://t.co/96vPUv0iSE https://t.co/OpLNzSs4aj |
| 2019-03-31 | Hmmm, a new Intel-specific emerging #CyberSecurity vulnerability https://t.co/hnd7qW1pju VISA: The Undocumented Security Problem https://t.co/e3uM4QNm9w |
| 2019-03-31 | 100+ Projects Pioneering Decentralized Finance #DeFi https://t.co/QcJoreOpM4 |
| 2019-03-30 | Job posting trends suggest JPMorgan is actively developing Blockchain based products at a greater rate than other investment banks. https://t.co/eC4hPs21mV |
| 2019-03-29 | Outline of Coinbase’s Crypto Custody solution https://t.co/d93Q4OEV6H |
| 2019-03-29 | Kensho // AI // Index article https://t.co/zCZJhiUxwU |
| 2019-03-29 | Machine learning, feature importance, and predicting cryptocurrency prices paper #crypto #ml https://t.co/RLhvGYxBp2 https://t.co/rrvUI9Tive |
| 2019-03-29 | Article on institutional tax-avoidance via so-called “Heartbeat Trades” in ETFs… https://t.co/yqolh0ZNCe |
| 2019-03-29 | Scalp-price derived from share execution #flow is more important than trading volume posits the author of this paper - includes embedded code snippets in Java https://t.co/tx4sxTXFxv |
| 2019-03-29 | Startup Reg D filing timing patterns - now or later? https://t.co/UYlfJFxIv8 |
| 2019-03-29 | Basel and Volcker constraints have also shifted liquidity primarily to buy-side hedgers, but will the current raft of p2p electronic market structure innovations be sufficient to replace erstwhile risk-taking intermediaries across all market regimes? https://t.co/I5uZej5il2 |
| 2019-03-29 | “Twitter is tacitly endorsing a commercial platform that subverts democratic discourse and collapses the distinction between legitimate and illegitimate forms of debate." https://t.co/ULHSwMiIs3 |
| 2019-03-29 | Carta is a brilliantly positioned FinTech for private equity shares. The primary strategic question for me is how prepared they are for the disruptive potential of STOs and precision finance? https://t.co/YXWVaXHhBQ |
| 2019-03-29 | @crigatuso @wearehuman_io @nviso @skybiometry @CrowdEmotion #Affective Computing paper includes components for integrating face detection, recognition & tracking and expression analysis, pose estimation, voice activity detection, speech recognition, & sentiment. https://t.co/2SCMdbjnra .NET source code: https://t.co/RWBYMwTvHu https://t.co/WYB1tQqq9v |
| 2019-03-28 | Predicting major economic inflection points is hard, predicting away from the crowd is even harder… https://t.co/Up1B2lVnrj https://t.co/VU8pgh3teh |
| 2019-03-27 | Deep Dive into the Battle for AI Supremacy within Google #deepmind #artfificialgeneralintelligence #ai https://t.co/uVYO6FZKHk |
| 2019-03-27 | Politics and Pairs Trading Paper posits a new political risk based model and tests with macro cross-market pairs-based trades Model disentangles economic policy, foreign investor sentiment from political risk https://t.co/sRZcvqr085 https://t.co/2f7lrLFyp4 |
| 2019-03-26 | On Market Data Growth “Most of the [increased] spending has come from users needing risk and compliance tools, as well as pricing, reference and valuation products to cope with the increased volatility…” | in FT https://t.co/x3WPzbygwD |
| 2019-03-26 | Transaction costs of factor strategies are typically higher and with more dimensionality than are modeled by #TCA models - paper: https://t.co/CuFdNUvLOc https://t.co/IZpoD69dbo |
| 2019-03-26 | FT on why, despite Brexit, it is a stellar time for European startups https://t.co/YSckMBWpzO https://t.co/RrJvwHP8Wn |
| 2019-03-26 | Original FT Link>> https://t.co/7m8X1UVh0P |
| 2019-03-26 | Robin Wigglesworth dive into Data, Quantum, Factor/ML Quant Hedge Fund D.E. Shaw in FT https://t.co/9xi6p5Bkaj https://t.co/S57jpMkzxV |
| 2019-03-26 | Dissertation on high-frequency-Trading #hft and effects on market quality, structure and participants in a multi-dimensional framework https://t.co/uGUgq01s1K https://t.co/ik5wkXHlwf |
| 2019-03-26 | Bookings paper on regulating crypto assets https://t.co/hb2J9CmJrH https://t.co/1v9R8NhSB9 |
| 2019-03-25 | Monday Math: Equation-less pithy prose props this highy-accessible article which explains why 800 scientists say it’s time to abandon current approach to valuing p-values and “statistical significance” https://t.co/J8pIJT9I2N Via @voxdotcom https://t.co/lFHQIagFZj |
| 2019-03-24 | BCG on Investor perspectives on Blockchain and Portfolio composition #cryptos https://t.co/YHjO3GxFt3 |
| 2019-03-24 | McKinsey on Private Markets https://t.co/RjQxLjS0zb https://t.co/P0WW4ig682 |
| 2019-03-24 | Python #Scattertext and natural language processing and data visualization of political text #NLP #dataviz https://t.co/NFSGab1ZGr https://t.co/HHcD07E0vN |
| 2019-03-24 | 10 R Features #rstats https://t.co/2eCt48d8Et |
| 2019-03-24 | Deep Dreams and interpreting machine learning article in WIRED https://t.co/5aVkxulACr |
| 2019-03-24 | Natural Language Processing using Python code leveraging LDA (short for Latent Dirichlet Allocation) #NLP #LDA https://t.co/Es4ORhm8rD Python Jupyter notebook code: https://t.co/ro5I7bMYgY https://t.co/fJb6xCp3zt |
| 2019-03-24 | Blackrock is buying eFront for $1.3 Billion from Bridgepoint to expand into alternatives, private equity and real estate analytics for clients, analyze their performance and comply, fundraise, monitor and collect data on their portfolios https://t.co/YTRGvDPVYE |
| 2019-03-24 | In particular, exhibits 6 and 7 documents the importance of analytics and data vendors to industry growth https://t.co/YmzxjtPMtB #analytics https://t.co/sN9Qru5lEi |
| 2019-03-24 | Excellent BCG report documents the impact of changing business models and growth of financial and FinTech services industry growth. https://t.co/YmzxjtPMtB #fintech #digitization #capitalmarkets https://t.co/94B2we80wM |
| 2019-03-23 | Perspectives and research on impact of new JPMorgan Coin in financial services #crypto #b2b #b2c #payments #fintech Bloomberg Overview: https://t.co/L8iPLL8oWV Binance Research: https://t.co/ZAQ13gF83o https://t.co/cOjxFbUx03 |
| 2019-03-23 | Paper models and optimizes high-frequency limit order book market making under a weakly-consistent framework that supports jumps and arbitrary volume distributions https://t.co/ywAdUamgru #amm #lob https://t.co/30SKPZGoQI |
| 2019-03-22 | Fake Twitter Bots Analysis https://t.co/NzrtgLRR3h https://t.co/KV91HSqXXR |
| 2019-03-21 | DexIndex | DEX Arbitrage Viewer #crypto https://t.co/sUZtFRHQX9 |
| 2019-03-20 | Definitely part of the #Knicks problem - Knicks are a function of (#NotEnoughTalent, #NotEnoughAnalytics) #NBA #Analytics https://t.co/dJt0GtueFb |
| 2019-03-20 | Non-extensive statistical mechanics applied to stock triplets #econophysics #paper https://t.co/d3AKdZ7HQu https://t.co/KltEmWPh2A |
| 2019-03-20 | An ocean of unicorns… ”…But, what was once impossible (a $1b acquisition) and then rare is now becoming routine. Good times to be a break-out winner in SaaS." https://t.co/3KbF3lSf4m https://t.co/kQXMRsND2p |
| 2019-03-20 | Generating Data and Synthetic Classification using Python and Scikit #ml https://t.co/qO3GI2VeFq |
| 2019-03-19 | Keeping buy-side information private and secure is a challenge and has been a concern for much longer than this article indicates… #buyside #cybersecurity #vmo #trading #infoleakage https://t.co/fuwf33hqgi |
| 2019-03-19 | Cointelation, Responsible VaR, modified Heston exemplars to mitigate the failure of traditional financial engineering in a new world order of financial markets big data - new dissertation https://t.co/RYixoue4zJ https://t.co/wdBoWLDJ6W |
| 2019-03-19 | David Easley†Maureen O’Hara‡ co-authored market microstructure of cryptocurrency fee structure paper https://t.co/jTAb9KcNkW |
| 2019-03-18 | Essential Statistics with Python and R #rstats ebook https://t.co/JPsi1TFC6f https://t.co/Wy5MEHA37Q |
| 2019-03-18 | Microservices Architecture ebook https://t.co/Yc71tTBgD5 https://t.co/sAPZsO2Epj |
| 2019-03-18 | Forbes on evolution of Decentralized Exchanges in 2019 #DEX #Crypto “As technology in the cryptocurrency sector continues to progress at its rapid pace, expect to see the race for the next-generation of platforms ramp up." https://t.co/u32RpjWFNL |
| 2019-03-17 | Dissertation on adaptive trading algorithms using adaptive elastic nets, FPGAs, and novel form of regularization in regressions https://t.co/9xuZyvyPiE https://t.co/nm3ha3uRzR |
| 2019-03-17 | Ecological agent based models to model disparate actors in the financial system vs traditional long-only / hedge fund classification https://t.co/O2T2SP1uyL |
| 2019-03-16 | @SethAbramson @kathieallenmd Vve |
| 2019-03-16 | Tokenized Data #STO https://t.co/FO0lBYhZwK |
| 2019-03-16 | New Fast Hash Algorithm: XXH3 https://t.co/Vc6yeevs31 |
| 2019-03-15 | Blockchain Transparency Report - December What are true liquidity levels when wash trading is so prevalent? https://t.co/T2N7n7UXMb |
| 2019-03-15 | Cross-Correlation of Currency Pairs In R (ccf) #rstats https://t.co/wTqjUlREsk |
| 2019-03-14 | Streaming Apps that are accelerating Alt Data https://t.co/UBPCk8favi |
| 2019-03-14 | Invesco gloomy outlook in FT: prediction of 1 in 3 asset manager consolidation / compression https://t.co/qqj8viZW4D |
| 2019-03-14 | ‘Overall our study uncovers a complex and rich structure of interrelations where prices and sentiment influence each other both instantaneously and with lead-lag causal relations.’ https://t.co/jWohRus3DL #crypto #sentiment https://t.co/bg7cgHodxw |
| 2019-03-12 | When does the New insuretech data gold rush begin? “life-insurance companies can, in principle, USD information gleaned from customers’ social-media posts and other “lifestyle indicators†when setting premiums." https://t.co/3MgHl6eokK |
| 2019-03-12 | Simple crypto statistical arbitrage strategy profiled based on a random forest model and lagged returns of 40 cryptocurrency pairs to determine which coin outperforms the cross-sectional median of all 40 coins over the subsequent 120 min. https://t.co/Q9pju00zIM https://t.co/r2muuFJZW6 |
| 2019-03-11 | @Noahpinion P |
| 2019-03-10 | Hierarchical Risk Parity implemented in Python - stability of multiple methods compared with monte carlo simulations https://t.co/08oVWl1dla https://t.co/mpbSDtkD84 |
| 2019-03-10 | Flint, Spark and Python base time series library open-sourced by 2Sigma optimized for panel and high frequency data Article: https://t.co/Sx98u1h48p GitHub: https://t.co/dUbDsqGlYf |
| 2019-03-10 | Learning lessons from 2Sigma in orchestrating various open source packages to build a metrics system https://t.co/8OKkhdzmDI |
| 2019-03-10 | Activation Atlas (Google Brain research) ‘Broadly speaking, we use a technique similar to the one in CNN codes, but instead of showing input data, we show feature visualizations of averaged activations.' Google Colabs Notebook: https://t.co/llK2fCIS57 https://t.co/mbyO4cduCZ https://t.co/w5VL77Zfx1 |
| 2019-03-10 | …Risk Parity Optimality implementation writeup in R https://t.co/RXc5KMPZ0Z More intuition on risk parity portfolios is provided in this short AQR paper https://t.co/dkQtuh6YOd Some of the key benefits & drawbacks discussed without any maths: https://t.co/WF2Mx2JUpl |
| 2019-03-10 | Here is a new package on Risk Parity Portfolios to equalize or distribute the risk contributions of the different assets, which is missing in simple mean-variance Markowitz portfolio optimization #R #Rstats https://t.co/2BS7hHvvNP https://t.co/3a2cOnGdMz https://t.co/Ekn26PZoOJ |
| 2019-03-10 | I have had 3 conversations in a week about Pairs trading - this short article is a bit dated, but still, a useful Pairs trading syllabus featuring examples in R and co-integration, of course, #rstats https://t.co/JD25XnHV4Q |
| 2019-03-10 | Pairs trading syllabus using a coterie of R examples - #rstats #cointegration https://t.co/JD25XnHV4Q |
| 2019-03-09 | @UncleRico77 Mijj |
| 2019-03-09 | The Evolution of MLB Scouting and Sabermetrics #MLB https://t.co/uXzqCBh0M3 |
| 2019-03-08 | Factor Friday would not be complete without a Journal of Portfolio Trading paper on Factor Momentum - serial correlation of 65 factors is apparently robust AND global with a Sharpe ~ .8 https://t.co/3nBYe27HUI https://t.co/w3XSEPY1mP |
| 2019-03-07 | Economist on climate change economic impact https://t.co/oGY12fBbkm Along with linked 1500+ page research summary https://t.co/njAFTeVV1b |
| 2019-03-06 | Bond liquidity migration and new market dynamics - good overview https://t.co/4p9H8mAAuZ |
| 2019-03-06 | Autofeat - Python library to automate feature engineering is described in this short #ml paper: https://t.co/Te2MHNxG1z Source and example Jupyter notebook: https://t.co/tsYWPGV6si https://t.co/5pAmDaeQtc |
| 2019-03-06 | Apparently it will not be long before computers will mimic our best writers and extend or surpass their literary feats while fooling critics and sleuths alike Article: https://t.co/uAhb2FN5Oz Paper: https://t.co/P1hpZTHEXL Source code: https://t.co/jq1PBt5QGC #NLP #narrative |
| 2019-03-06 | Interpretable Machine Learning ebook #rstats https://t.co/IAIOLoeRxK https://t.co/UMcqaJBjCr https://t.co/aaKlW3HzIa |
| 2019-03-06 | Stock options of PRE-IPO startups are evaluated with this calculator https://t.co/ETfjbcolck |
| 2019-03-05 | Interesting short video discusses mega-trends involving regimes of Fast to Flat to Deep to Psychic to Genomic, each successively enabling the next regime. https://t.co/3qlhST79XJ |
| 2019-03-05 | There are declarative grammars for Web Pages (eg CSS) and Charts (eg Vega) but Analytics has a new DSL. But, IMHO an Analytics DSL needs to include predicates for handling common uses: cleaning, formatting, pipelining, rendering, notifying, prediction https://t.co/RBnjN4dbr2 |
| 2019-03-05 | @taylantoygarlar You may be right, their results were only sparsely documented. The graph doesn’t provide confidence in results. All we have is… “Best performing multiple pipelines model obtained 20% better MSE than single pipelining model and improved by a factor of five compared…” https://t.co/xluDStgAaL |
| 2019-03-05 | Using EEG Sensor, Keras and a CNN to detect and learn what was being thought about and mentally sub-vocalized #ml article https://t.co/io02euU1GL |
| 2019-03-05 | FT’s new https://t.co/JFm2H2GlgY draws inspiration from alternative cloud data visualization engines such as: https://t.co/Iy8KL0CZEu https://t.co/S9TvXy9OQE https://t.co/lzEWLJqHnY #dataviz —– https://t.co/HC5lgqFFFD |
| 2019-03-05 | Deep Learning via multiple LSTM pipelines applied to stock price prediction #ml paper https://t.co/hZVnCSQuns https://t.co/TRzQZq3pkW |
| 2019-03-05 | Stock options anomaly detection using data from https://t.co/ZrpMaRD4L4 Article: https://t.co/izBnhYn1Cl Jupyter Notebook: https://t.co/c0wGQz2Rnq Python Source code: https://t.co/RLmg3WkHtR LSTM / GAN related article: https://t.co/VMYJq10CDB https://t.co/mCsrqkvSPV |
| 2019-03-05 | Paper defines a new measure of stock price informativeness called the price jump ratio - the fraction of the total earnings-related return change that occurs in the immediate aftermath of stock announcement dates. https://t.co/WgmlkHhTI7 |
| 2019-03-03 | @McKinsey report on Private Markets (returns greatly out-pace public equities) https://t.co/RjQxLjS0zb https://t.co/WbqywOQq8h |
| 2019-03-03 | Deep Learning and Asset Pricing paper allows for both nonlinearity and interactions between zoo of stock factor predictors arXiv:1805.01104v3 - published 7 Feb 2019 https://t.co/4g4McflR8m Supporting Python code: https://t.co/qvv2AS1zGZ and https://t.co/gKwJhG2gEK https://t.co/imuAVl4Hb5 |
| 2019-03-03 | AND apparently misrepresented how data used for security authentication would also be used beyond that purpose: https://t.co/wnzIoJGF7j |
| 2019-03-03 | $FB is lobbying globally to relax privacy laws https://t.co/K2TguiAKN2 WHEN engaged in systematically harvesting personal information from others https://t.co/SA3HtQIhAM and https://t.co/0suH7AGS60 AND have struggled to protect personal info https://t.co/porDbaKabz #GDPR |
| 2019-03-03 | Jupyter Notebooks best practices (can be) enforced by a new extension https://t.co/ZQ0Eh6KNnD |
| 2019-03-03 | Presentation on encoding structured and unstructured knowledge into deep learning models with constraints by @rsalakhu https://t.co/VJzFVYqFot https://t.co/QuNrYWR3D9 |
| 2019-03-03 | hmmm… https://t.co/NASNv8E58K |
| 2019-03-02 | #HFT as an underlying factor in systematic market instability… https://t.co/MsbYotVpxL https://t.co/UOtHKuSYR7 |
| 2019-03-02 | “As a rule of thumb, you can expect the transition of your enterprise company to machine learning will be about 100x harder than your transition to mobile.†#AI https://t.co/0cJJo8KSLC |
| 2019-03-01 | FT on instantaneous volatility shocks https://t.co/J3jXC2s7WR https://t.co/9NU4X0gypm |
| 2019-03-01 | Paper titled, “Resident Evil: Understanding Residential IP Proxy as a Dark Services” Article: https://t.co/HB1oAe7zMc Paper: https://t.co/gQja2EDV7R Another paper on the weaknesses of internet-connected devices: https://t.co/xYAWz6aK1Y IP address info: https://t.co/I0vj5AI4JP |
| 2019-03-01 | @DavidMortimer6 :) Hopefully, our AI Overlords will still need us to feed them data and keep them amused. |
| 2019-03-01 | A handful of areas where Artificial Intelligence (aka machine learning) is beginning to exceed human experts https://t.co/nQg0JubXvH |
| 2019-02-28 | New product-thinking for data-driven and analytical products is needed to supplement best practices in design-thinking and lean products… Too long for a Tweet, but short enough for a LinkedIn post… https://t.co/awDQpvbGXn |
| 2019-02-28 | #DataViz of Market Structure and Institutional Liquidity https://t.co/o8SQsfsOl7 https://t.co/cNIw8WOqWd |
| 2019-02-28 | #TCA Paper by Henri Waelbroeck models order liquidity availability as a fault-line. In particular, modeling volume as a four-parameter fault-line where distribution and provided estimates of the distribution parameters as a function of the time of day https://t.co/F4ai4Jvysk https://t.co/Q2xKZLaMl1 |
| 2019-02-28 | Clustering data streams is a need that has grown dramatically since the advent of #IoT R based method outlined here in this article #rstats #ml https://t.co/kaitymFEqT https://t.co/oJtT5tphIj |
| 2019-02-28 | Thursday is Topology day and here is a paper examining shapes in all its feature glory: Modeling intraday risk of Bitcoin trades using topological features of ‘chainlets’ - extreme chainlets, VaR, Granger causality & other properties analyzed #topology https://t.co/0doHaHom2V https://t.co/LQ6YfeWsC7 |
| 2019-02-28 | Shapes as features: Shapes embedded in time-series data is also data that can be used to predict time series - paper https://t.co/QZyJuJWDKN https://t.co/PuPIIJq72G |
| 2019-02-28 | A new measure of skewness of data based on quintiles is presented in this paper along with its properties https://t.co/awbcjgOrvT |
| 2019-02-28 | Primer on topics in Crypto Algorithmic Trading https://t.co/IXjYNmbxjC https://t.co/DEprHWpVmU |
| 2019-02-26 | Information #flow games in markets - paper https://t.co/6HJc9QM2pX https://t.co/KSJForMyK0 |
| 2019-02-26 | MIT Technology Review on current security holes in Crypto https://t.co/8WUSYNDu7H |
| 2019-02-25 | A Tech Accelerator takes on the NY Subway https://t.co/J0ue1qyDvr |
| 2019-02-25 | Behavioral Theory of Trends https://t.co/1baTwxp64j https://t.co/FXLH5SqNph |
| 2019-02-25 | Model Monday continues with model to statistically arbitrage Treasury Futures ‘The DRIFT model is a system that builds a portfolio of treasury futures, typically the 5 following futures: TU, FV, TY, US, UB.' Python code: https://t.co/XrRkgGq4oQ Summary: https://t.co/TunKL5BYJ6 |
| 2019-02-25 | Model based trading to exploit market inefficiencies - non-mathematical introduction - presentation #statisticalarbitrage https://t.co/dKI1jmEMtv https://t.co/ylQZHaSRkX |
| 2019-02-25 | Crypto statistical arbitrage #ml paper (using random forests and logistical regression) https://t.co/NuECPbCfbU https://t.co/rYQAu6jomu |
| 2019-02-24 | Baseball, Bayesian thinking and Better multi-level estimators than ubiquitous averages https://t.co/Pu9lnp3acM #MLB #Statistics |
| 2019-02-24 | @karumanchi You made my day. Thank you very much! |
| 2019-02-24 | Bloombergquint on FINTech investments in 2018 https://t.co/yaTLGGNLuq https://t.co/hXYXApFbyW |
| 2019-02-24 | When smart phones have more connections than we do - an analysis https://t.co/Kxw9Me9pLF https://t.co/v5vYv8deoh |
| 2019-02-24 | Bitcoin Behavioral Valuation Metrics Profiled: https://t.co/chUWiO1ABC #crypto |
| 2019-02-23 | Pricing strategies outlined for SaaS startups/firms discussed https://t.co/kPnordWwBW integrates LTV, CAC and other standard metrics https://t.co/lNqV70hMsS |
| 2019-02-23 | Gillian Tett opines on high-frequency-trading #hft | in FT https://t.co/Jrt3eWuBl9 |
| 2019-02-23 | Order flow imbalance and market impact paper #lob #tca https://t.co/RnxEVW8vOg https://t.co/t4MfkbzQNp |
| 2019-02-23 | Wavelets and Portfolio Engineering - paper https://t.co/ifhl5lCBky https://t.co/4TYxSEr4VO |
| 2019-02-23 | Article claims we are in the Securities Token Apocalypse #STO https://t.co/HHr1kUQjMp |
| 2019-02-23 | Survey of literature on high frequency trading - #hft https://t.co/Z218Fd6mG4 |
| 2019-02-20 | Startups actively using IPFS https://t.co/Ks1rpl4aM3 https://t.co/r5pT4MbOfu |
| 2019-02-19 | @ThemisSal SRO immunity is not absolute, in particular when mixing obligations to self-regulate how they provided market access symmetries. SROs often did not do that fairly with co-location. https://t.co/jdKUE2AaGB Moving away from transactionally derived market data is less controversial |
| 2019-02-19 | At the same time, disinformation is just one challenging goal to mitigate. It would be also good to report on the level of disclosure at different levels of aggregation, type, etc of google-geolocation-assisted efforts beyond FBI and police? https://t.co/wu431cSPm4 |
| 2019-02-19 | @ThemisSal And derived data culled from NLP of reports and machine learning are not part of the arsenal either. Neither are products for new securities token offerings and the new world of precision finance. |
| 2019-02-19 | @ThemisSal Investment Banks dominate corporate calendars and access. Exchanges under-compete in particular, with emerging companies in providing services including access and business intelligence and insights about factors driving performance on idiosyncratic , industry, sector levels |
| 2019-02-19 | @ThemisSal They do. Augmenting their data sets should be what helps stimulate their growth and increased transparency despite lower transaction fees. For example, REITs should represent more investor flow, but lack of information on their composition and true risk profile is a market gap. |
| 2019-02-19 | Crypto Taxonomy https://t.co/iATV63eZZ1 https://t.co/5cZzoMItSm |
| 2019-02-19 | [3/4] … such as NASDAQ’s purchase of Alt-Data provider QUANDL. More Digital Assets and Security Token plays are likely in the cards as well. |
| 2019-02-19 | [2/4] All of the major exchanges are seeing meaningful growth in revenue share of their business from non-transactional sources - eg. technology products and services & market data. I wouldn’t be surprised to see an uptick in revenue diversification from FinTech acquisitions.. |
| 2019-02-19 | [4/4] … Exchanges need to shift revenue dependence away from transaction revenues with increasing Passive %, lower HFT & Active Hedge Fund growth and increasing regulatory scrutiny on market quality and cost and eventual competition by DEX’s. |
| 2019-02-19 | [1/3] Not surprising - protecting their transactional revenue is more Tactic than Grand strateg4 to play defense to protect their forward P/E while focusing on revenue diversification… https://t.co/pPN0fblprM |
| 2019-02-19 | Thought-provoking article on Superfluid #Crypto Collateral https://t.co/mUdiKY1Uai |
| 2019-02-19 | Fragmentation, latency arbitrage and inefficiency vs EMH in US Stock Markets profiled in this paper using a liquid stock as the exemplar –> $AAPL https://t.co/Ww4zSTkJYr https://t.co/jCKkjPyxjD |
| 2019-02-19 | Google dis-information white paper outlining and linking myriad policies, product and technological approaches is a forward step other information-rich social media companies should publish https://t.co/syI0uhNjvc #FakeNews #DataPrivacy #GDPR #misinformation https://t.co/ncXxWCcwhM |
| 2019-02-19 | Paper outlines the investment dynamics of S&P component stocks (and China stock index equivalents) at industry level using a variety of machine learning techniques - gradient boost, SVM, LSTM & 44 indicators https://t.co/5xsqFk94oz PLOS R code & data: https://t.co/z8mtFz6TEq |
| 2019-02-19 | Ebook on Reinforcement Learning https://t.co/Os40S1ZjOZ https://t.co/BTlKRyFs7k |
| 2019-02-18 | Sector Skews in R #rstats https://t.co/sW1bgA4wmo https://t.co/xLPJpXOncW |
| 2019-02-17 | Euclid - deep working habits quantified, now a WeWork acquisition https://t.co/z51McS6Vzq |
| 2019-02-17 | Return unsmoothing the data before conducting estimation of dynamic factor models… https://t.co/QKth27mKLJ https://t.co/AWVwGE5zMV |
| 2019-02-17 | Uber releases Ludwig an #AI no-code toolbox leveraging TensorFlow and analogous to Baidu’s EZDL and Microsoft’s AI model builder https://t.co/DwaB3hQnBP |
| 2019-02-16 | Factor Friday For FX - Index, carry and momentum discussed https://t.co/Pc7d8nms5g https://t.co/lvd0eCD4rY |
| 2019-02-16 | Factor Friday continues with this factor model that includes two behavioral factors one short-term and another long-term https://t.co/EozbHNSymL https://t.co/xhQ3wYwoEo |
| 2019-02-16 | Slides for taming and testing factor zoos https://t.co/e5ObkKQU4m |
| 2019-02-16 | Taming factor zoos with simulation. 150 factors discussed. https://t.co/W2Z7KlfgVQ https://t.co/MNog1lsGmw |
| 2019-02-16 | AI Faceoff: 244 Features of stocks coupled with a coterie of Machine Learning and Genetic Algorithms for price prediction - paper https://t.co/XA55mmaiVr |
| 2019-02-16 | AI powered Deep-fake faces https://t.co/zuuMbsEQDg |
| 2019-02-16 | Polymath AI https://t.co/FUMzZDEHIG |
| 2019-02-16 | “deepfakes for text†https://t.co/m7nUeRGQtn |
| 2019-02-15 | ‘algorithms have the potential to make that irrationality worse.' https://t.co/1OGl6ZUHtv |
| 2019-02-14 | Empirical paper on adverse execution impact of routing order #flow to affiliated ATSs #TCA https://t.co/qbQDfEI3NM |
| 2019-02-13 | Fast Perfect Hashing Algorithm https://t.co/8udLyUF7AG |
| 2019-02-13 | NYT on 50 Unicorn-like trajectory startups https://t.co/blBrVfVAmf |
| 2019-02-13 | DIY Sentiment analyzer using Python and Google’s Natural Language API https://t.co/6tHMCijYO7 |
| 2019-02-12 | Augmented Reality meets GOOGLE MAPS https://t.co/aVfvszRhTS |
| 2019-02-10 | Short note explaining the intuition and evolution from single momentum to multi-factor thinking in portfolio management By AQR’s Cliff Assness https://t.co/sVrIVMFt6g |
| 2019-02-10 | Do you believe it is - just the longer-time frame (> than trading hours) - and that company announcements happen off market hours to explain all of the graphs below? https://t.co/Pad0gIOgbG https://t.co/kGgDpi71jf |
| 2019-02-10 | Optimizing liquidation in a Mean Field Game framework under naive assumptions of correlation and volatility Paper: https://t.co/BvLcMmpkII |
| 2019-02-10 | Optimizing market making allowing for the interaction of any CARA utility (whether risk neutral or risk averse) with running inventory penalty, terminal execution cost, inventory constraints and spread constraints. #AMM Stochastic Model Paper: https://t.co/sNQ1qne5GE |
| 2019-02-07 | #AI and new drug creation developments outlined in the NYT #deepmind https://t.co/OMa1Iqfk8Z |
| 2019-02-05 | Conviction vs Uncertainty | in FT https://t.co/Qvx14kHvWB https://t.co/UTDWDLRyYU |
| 2019-02-05 | How the equilibria in liquidity supply and demand depend on the characteristics of securities, market structures, and market conditions - in particular, tick sizes and high-frequency market makers https://t.co/7r4WLmRdgD |
| 2019-02-05 | Automated Trading based on Logistical Regression based clustering of under and overvalued stocks - #ml paper https://t.co/wKGQ46AxnN |
| 2019-02-05 | Google’s moonshots and $24B R&D Budget https://t.co/L3ysCHPIDY |
| 2019-02-05 | Crypto forensics are quite revealing… https://t.co/kYFJ3kN6nU |
| 2019-02-04 | @Mike_Dyer13 Cruel and Evil! |
| 2019-02-04 | T&Cs, Privacy in Digital Age article in NYT https://t.co/wxseGZ4eCD |
| 2019-02-04 | Testing for market microstructure noise in the estimation of realized volatility [at high frequencies, in the presence of bid-ask bounce bias] - paper https://t.co/MEpvcICg6H |
| 2019-02-04 | RE: Decentralized Graph Databases https://t.co/yceptZtZ01 |
| 2019-02-03 | TMI?! https://t.co/ZnsqALahmr |
| 2019-02-03 | Startup marketplace vs network business strategies discussed here https://t.co/wT3JQLyksR https://t.co/E7WkXp4VXB |
| 2019-02-02 | QuadrigaCX CEO Death leads to $190 Million in inaccessible Crypto and FIAT #FAIL https://t.co/VDFhOznOGy |
| 2019-02-01 | State of the emerging #InsurTech industry - report https://t.co/O8ZrEGp7Hl |
| 2019-02-01 | Hmmm?! https://t.co/MmO5yHFDT3 |
| 2019-02-01 | #DataViz as an intermediary between researcher and machine… https://t.co/WucoNdyrEW https://t.co/RR6px5DIYi |
| 2019-02-01 | Just one line to create an R package #rstats https://t.co/y1T1a6tVWq https://t.co/IvU7akzrRS |
| 2019-02-01 | Shiny #NLP / Sentiment App by @aleszubajak https://t.co/KGei5AAXaP #rstats https://t.co/JM6OBbatUm |
| 2019-01-31 | 2019 Report on Digitization in Banking // Deloitte https://t.co/0RjT7aeiuv |
| 2019-01-31 | Frazzled Knicks Fans Today (like me)! https://t.co/VfFRxyTXql |
| 2019-01-31 | JP Morgan research report on Blockchain, Crypto and Bitcoin - summarized here https://t.co/9tS7b2u8Xq |
| 2019-01-31 | Time Series and machine learning to identify software defects https://t.co/46kglRgKVO https://t.co/3cfusVA79k |
| 2019-01-29 | Modeling “reasonably expected near term demand†(i.e., RENTD) to comply with Dodd Frank - paper #AMM #Prop #Facilitation and #Algorithmic Trading https://t.co/rIXZVIjR1R |
| 2019-01-29 | Extending FAMA factor models to the high frequency domain with idiosyncratic jumps and high-frequency factor betas. Empirical paper. https://t.co/GiMZZRnJAb |
| 2019-01-29 | Agile and an #EPIC fail https://t.co/hgU7pAJjLb |
| 2019-01-29 | Brice Wilson at XBTO gave a shout out to their investment in Paradigm aka OTC Crypto over Chat https://t.co/H9beN53sbw |
| 2019-01-29 | @JonHirstTalks My pleasure - very insightful when you traverse the network pathways - makes me wonder about applying random forests and clustering algorithms for further insights. But, that is not to say at all that these aren’t amazing data visualizations. |
| 2019-01-29 | Panel: Lack of prime brokerage to net risk is a key gap in market. Accounting problems that participants face such as having to conservatively mark books to cost is another… |
| 2019-01-29 | Vincent; $3T of unregistered securities issued last year with an excel spreadsheet and auditor so why are Digital expressions of unregistered securities held to a higher standard? Transfer agents are not thr answer … |
| 2019-01-29 | Vincent touts Templum’s collaboration with s&p cusip to provide information symmetry and access on BBG and other traditional market access platforms to #STO products. |
| 2019-01-29 | Vincent Molinari at Templum is talking about SEC providing clarity around custody mandates and need for innovative infrastructure to power smart contracts for measuring and paying out on social-good and revenue-sharing agreements. … |
| 2019-01-29 | Panel: Michael Sonnenshei at GrayScale is disappointed in JPMorgan and other large incumbents who are publicly negative in space and with their customers despite outflows of talent from those firms into Crypto/STO world. |
| 2019-01-29 | Michael Sonnenshein Grayscale talks about progress in infrastructure and market structure despite Crypto Winter: - Order Management Systems - Institutional Custody - Crypto Futures - Bakkt Michael, is frustrated that media focuses on negative price dynamics & not on progress |
| 2019-01-29 | Brilliant interactive #dataviz in NYT #datajournalism https://t.co/3VXIwbsNVN https://t.co/CF7XKoYBTC |
| 2019-01-29 | There seemed to be a consensus for market participants to immerse themselves into the tech innovations driving #sto innovations and capital market transformations more than the legal / regulatory frameworks |
| 2019-01-29 | Other panelists are less concerned with low liquidity currently because that will change. Macro points: - regulators will eventually push STO regs. - demand overseas and trend to digitize will occur. - investment banks are long tech investments in this space but are quiet. |
| 2019-01-29 | One panelist is concerned about lack of infrastructure and legal clarity for STO market making and thinks STO growth will be a 2020 event not a 2019 event. … |
| 2019-01-29 | Panel feels global regulatory arbitrage is taking place with our ‘archaic’ accredited investor and BitLicense rules but that shouldn’t impede growth of STO adoption. |
| 2019-01-29 | Of course, being able to short helps mitigate Equity, Crypto or STO Market risk too, as Multicoin apparently mitigated their heavily skewed Crypto portfolio. https://t.co/gidApNtKUm |
| 2019-01-29 | Convertible structures in STOs seem natural and important to the development of the space. Helps to mitigate some of the downside risk and excessive volatility for investors. |
| 2019-01-29 | STO will have downside conversion rights to Agenus stock but the upside is targeted to returns linked to the commercial viability of those specific biotech product(s). |
| 2019-01-29 | Garo thinks STO could be transformative for many industries - capitalized on a specific project basis rather than dilute entire firm shareholder base. BioTech is ideal for STO financed innovation from that perspective. … |
| 2019-01-29 | Hearing Dr. Garo Armen at the Atomic Capital Event on Digital Assets in New York, NY talk about 1st BioTech Securities Token - specific project finance - Successful Biotech pipeline discovery with 11 INDs + 5 new - strong balance sheet #Agenus https://t.co/kGbIxkJdak |
| 2019-01-29 | @nyknicks P |
| 2019-01-26 | Long sector view, visualized https://t.co/gW0y8oeZqS #dataviz https://t.co/CcSf2Hb8z8 |
| 2019-01-26 | AI predicted from 16K AI Papers https://t.co/6zlqCevRWU https://t.co/Bx9kNxVojd |
| 2019-01-25 | Bitcoin’s mining arbitrage-floor is a theoretical construct and imprecise and can be breached in the short term; the question is what happens in the long term? https://t.co/qX8CWQLlqG |
| 2019-01-25 | Much Ado about Taproot Algorithm #Bitcoin #Crypto #MAST #MerkleTrees https://t.co/acL88idIwM |
| 2019-01-25 | Option-implied Betas, Historical, FGK, CCJV, and BV betas and conditional variants compared - paper https://t.co/m9H5sUJsQN |
| 2019-01-24 | Predicting intra-day trading volume of stocks using a parsimonious coarse-grained Hawkes model (compared and contrasted vs a coterie of ML and econometric models) - short paper co-authored by @Factset ‘s Henri Waelbroeck https://t.co/gRy18Q1LCm |
| 2019-01-24 | Tokenized Securities - state of the #STO market article https://t.co/se7W1QqiJW |
| 2019-01-24 | NextGen Data Calculator and its base primitives - paper https://t.co/apHACDHJNZ https://t.co/rW3loWfzIW |
| 2019-01-24 | Modeling latent liquidity in limit order books #lob using market instability thresholds with modeling price impact - paper #tca https://t.co/B2gkcb2ZXH https://t.co/9m7eDG6yWF |
| 2019-01-24 | Closed-form solution to price illiquid corporate bonds from liquid variants from the same issuer - illiquidity basis/premium - paper https://t.co/y9aXilcczd https://t.co/ggR0xvVbAf |
| 2019-01-24 | The importance of technical architecture, the right technical partnerships and a meaningful customer base can’t be overstated - #crypto https://t.co/tQ9N1k8rf2 |
| 2019-01-22 | Reality in China and some would argue a net societal improvement - but a dystopian anti-pattern elsewhere? https://t.co/MURQvMtrXB |
| 2019-01-22 | MiFID II has improved liquidity for some types of institutional trades… https://t.co/AX4DuMybaO |
| 2019-01-22 | Order #flow dynamics at #lob limit order book level and market manipulation detection - Paper #IS https://t.co/wyRTzrlJe5 https://t.co/bGYf8ODjCY |
| 2019-01-22 | Bitcoin and portfolio diversification paper https://t.co/fUx1SwIKNJ |
| 2019-01-22 | State Street and Black Rock layoffs underscore confluence/impact of: >> Passive, automated strategies w/ low-expense ratios >> Juniorization >> AUM compression >> FinTech disruption >> Robo-Advisory & Millenial product shift https://t.co/7KMSBzm0Wc https://t.co/YnKbhODItZ |
| 2019-01-21 | Uniswap is one of the first so-called crypto exchanges that are not based on standard exchange market structures - I suspect that STOs may also require alternative structures as more illiquid privatized markets matures as STOs. https://t.co/DG33TaW12r |
| 2019-01-20 | Quant #FAIL https://t.co/1hUK3NesH1 |
| 2019-01-19 | On Botchain: The AI Bot Identity Protocol and Registry https://t.co/O4T2zbey6A |
| 2019-01-19 | Fundamentals of Proof of Work - #Crypto game theory deep dive https://t.co/zfOrp4KqID https://t.co/5Z4JSOpJDZ |
| 2019-01-19 | Sentiment Analysis on 10K and 10Q SEC filings in R #Rstats code in this multi-part Medium article: https://t.co/CmcvrS3Xmu And if the R code is less interesting than accessibility to the analysis, this indirectly related free site may be for you: https://t.co/B4woZ339wK https://t.co/11nusNm8Jd |
| 2019-01-19 | The Data Fabric for Machine Learning https://t.co/HR48GMZOOa https://t.co/96Bjyr7gkR |
| 2019-01-17 | Not unexpectedly, … https://t.co/p3fJ375ICq |
| 2019-01-17 | A real-estate STO has been recently announced in the Netherlands on the Dusk Blockchain partnering with Bitfinex. Interestingly, no mention of ERC-20 token. Malta short-stay hotel Ticker: BWRE in 2Q2019 https://t.co/FX83KSvzw4 More on Dusk Protocol: https://t.co/pT7DIFVl9d |
| 2019-01-17 | @Nikkekin I see/feel what you are saying. There are alternatives that blend both approaches, but they have gained minimum traction. |
| 2019-01-17 | @Nikkekin Arrival or one of the newer zero-intelligence/scaled based benchmarks as described in the paper below is probably much better as a base for an FX or Crypto execution benchmark. https://t.co/0WtbO0IJyG In part it will depend on the trading strategies your firm employs https://t.co/9U5BXH0Tsv |
| 2019-01-17 | @Nikkekin …but as a benchmark it is less useful than a less constrained benchmark of trading performance - a more popular execution performance benchmark is based on Arrival price. Hope this helps… |
| 2019-01-17 | @Nikkekin Of course, accessible volume that is specifically excluded or excluded in the benchmark is also an issue that conspires against VWAP. VWAP has its uses, particularly as part of a regimented optimized portfolio where alignment of trading is important… |
| 2019-01-17 | @Nikkekin …Adding to the VWAP problems are there are many reasons to exclude the first and last 5, 10, n minutes of trading and so there are these Modified benchmarks that further dilute the value of the benchmark as a singular standard… |
| 2019-01-17 | @Nikkekin There are Algos that do not track VWAP too tightly, or that can participate in large blocks, or that can predict future volume curves better and can deviate from near-term volume constraints, but these algorithmic improvements serve to dilute the benefits of VWAP as a benchmark.. |
| 2019-01-17 | @Nikkekin As a benchmark, - VWAP locks in the execution trader from participating in large well-priced blocks, - it is less useful for large orders where the order is a large part of the trading volume and would shift the VWAP benchmark - it can be gamed, eg near the end of day… |
| 2019-01-17 | It’s only been about 10 minutes since the first handful of #STO tokens have been issued, but today we already we have a Swarm initiated price war. Theory: reduce friction to tokenize by not charging to issue tokens https://t.co/P8Iu0xdLxa #Crypto securities tokens |
| 2019-01-17 | BigData quantities of Time-Series can be efficiently modeled /predicted using multi-layer periodicity algorithms • paper https://t.co/xXzMDff9Dl https://t.co/SZns22OBga |
| 2019-01-16 | https://t.co/JkU3VMqIgl launches platform to trade securities tokens joining https://t.co/w7dkqaOSHH https://t.co/uEV4dyFZjk |
| 2019-01-16 | No Way! Yes, some new top-down data models may be more efficient in their use of data; however, the world is moving to increasing data use, and insight generation by more and more varied AI models in more devices, that are also becoming more connected. https://t.co/1OAgiOxOcQ |
| 2019-01-15 | Using technical indicators in intraday stock trading using Adversarial Neural Nets - paper #ml #GAN #DeepLearning https://t.co/ts1FQk2bjk https://t.co/yJPfroYFTk |
| 2019-01-14 | Ouch! Only 16 funds out of 450 produced positive returns in this 2018 end-of-year tally. https://t.co/VymwOAm0g9 |
| 2019-01-14 | When data is capital - datafication of markets https://t.co/hXhuMugqPx |
| 2019-01-14 | @SalArnuk Lol - yes. It’s a remake of an old mobster movie! :) Misaligned incentives invite miscreants |
| 2019-01-14 | Rebate-ish model takes hold in Cryptolandia - 0x https://t.co/4myjxpoUdx |
| 2019-01-14 | Alt Data and Analytics FinTech startups… https://t.co/ybIBZZ9sjp |
| 2019-01-13 | FT article on Hedge Fund’s leverage and use of derivatives asset holdings https://t.co/lIq0m6CSXC …are up to |
| 2019-01-13 | @experquisite High-frequency traders can feast on institutional long/short trades that assume that permanent impact is linear not concave (or convex). |
| 2019-01-13 | @experquisite …that is aware of the assumptions their models make and why those assumptions may not align with real-world data. Mark-to-market arbitrage of various models and their data is a thing! |
| 2019-01-13 | @experquisite So, the short answer to your question is YES, but that is a problem of the model formulation. Also, not implying that the paper I posted is a better model but interesting in how it isn’t constrained in the same way as so many others. Market practitioners just need to be aware |
| 2019-01-13 | @experquisite Great question: many models alas, fall on their analytical sword when face-to-face with an inconvenient truth about their data. Eg: Black-Scholes usefulness despite data exhibiting non-constant vol (rough-volatility & jumps) See pic highlight #TCA https://t.co/KOz4PM6tIf https://t.co/PIr6VwmkxM |
| 2019-01-12 | Illiquidity and returns are linked for A Shares in Shanghai - modeled with a new liquidity formula based on Amihud: ‘stock returns are decreasing in a stock’s illiquidity (illiq_zero) both before the NTS Reform and after the NTS Reform.’ #TCA #Liquidity #flow https://t.co/4NB31rMdAC |
| 2019-01-12 | @paulportesi Yes, with illiquid stocks - historical and/or predictive VWAP benchmarks are less robust, so time-execution is a reasonable approach. But, that is the subject of another paper and a better benchmark. |
| 2019-01-12 | Ok, VWAP is not a good execution benchmark, but this paper solves for the optimal execution of an order when the benchmark is the volume weighed average price on a specific time interval and the price impact is transient. #VWAP #TCA https://t.co/XXoCUZAdA6 https://t.co/VUrdl1Whru |
| 2019-01-10 | Good short non-mathematical intro to machine learning… https://t.co/L38DMSwpmN |
| 2019-01-10 | Fragile cryptocurrency platforms with “emergent centralization” - #crypto paper #FlashCrash #ethereum https://t.co/krseREkbna |
| 2019-01-10 | @jkregenstein short R program to analyze fund flows https://t.co/Hs7PN33tQL Inspired by this recent article in FT by @RobinWigg On [systematic largely-passive risk-mitigating] algorithmic trading impact on market quality in FT https://t.co/NubTdumLDx #rstats |
| 2019-01-09 | WSJ on Trend-Following systematic / algorithmic trading https://t.co/UrJlOgsyzN https://t.co/u9FPk093Fy |
| 2019-01-09 | Algorithmic Trading linked to managing volatility/risk parity and #HFT discussed today in FT https://t.co/NlwTg9Mugt https://t.co/i7hOssQ5eF |
| 2019-01-09 | Good FT article on Senior Bankers (and Technologists) transitioning from Investment Banking to FinTech https://t.co/gfTsJ70qRd |
| 2019-01-09 | Cryptocurrency volatility modeling paper https://t.co/2Shvyocqhw https://t.co/tBk0CTltXd |
| 2019-01-08 | “An analysis of the prior day’s return sort indicates that, institutional investors are 13.6 percent more likely to be net buyers of securities that are in the winner (top performing decile) decile than of those that are in the loser decile." #flow  https://t.co/MEbiRHScNm |
| 2019-01-08 | “Execution acting on behalf of Institutional Investors appears to depress the prices for end-of-day execution until about 15:30 PM ET” #flow #tca https://t.co/uaEaiYworU |
| 2019-01-08 | FT Alphaville: “If technology is everywhere, the tech sector no longer exists. If the tech sector no longer exists, its premium is no longer justified." https://t.co/WsxMfm7U4e |
| 2019-01-07 | Matrix Profile, a novel algorithm In Python to identify anomalies in time-series https://t.co/E17SqkQagt |
| 2019-01-06 | NBA Stat Nerds can play with this simple R snippet to animate the offensive prowess of players and with a bit of hacking, much much more… https://t.co/pUdtcLsQue #rstats https://t.co/qv0zfY9RNo |
| 2019-01-06 | Visual reminder of Vulnerability of Technology Behemoths https://t.co/YlpF279lLX https://t.co/RWL2GHghyG |
| 2019-01-06 | Tokenized stocks and soon other digitized assets (on https://t.co/w7dkqaOSHH) grows its first root in Europe https://t.co/qtNplxhLql #Crypto |
| 2019-01-06 | Mood states, Granger Causality, Self Organizing Fuzzy Neural Networks, Sentiment on Twitter all meet in this tell-all tale of ghosts-of-stock-market prediction-past https://t.co/rr1NQ4CDGh And some Python and NLTK Twitter code (by the same author): https://t.co/ARWZxm3VP1 https://t.co/W6cEVMolVM |
| 2019-01-06 | Recasting FAMA Factor Model as a Deep Learning problem… https://t.co/R2tGKxjZ6x Paper https://t.co/H9QpFURLXs |
| 2019-01-06 | A new year, and new factors emerge in the Factor Zoo - paper https://t.co/W2Z7KlfgVQ |
| 2019-01-06 | “Under current law, cryptoassets (and especially any newer coins or tokens) are likely to be simultaneously treated as currency by FinCEN, property by the I.R.S., commodities by the CFTC, and securities by the SEC.†https://t.co/tIklYd6rs1 |
| 2019-01-06 | Black-Scholes has applicability to simple, daily stock price prediction in frontier equity markets https://t.co/Rx8nCpyfdc https://t.co/MXbGkaqYRM |
| 2019-01-06 | @DriehausCapital Another ETF #FLOW Spike… |
| 2019-01-05 | Identifying fake identities in Twitter using R - paper https://t.co/zLQiDlcogQ Related #Rstats Source: https://t.co/jOKQX8OJx6 #fakenews https://t.co/IB4zwpcVEM |
| 2019-01-05 | ‘Algorithms’ New ebook by Jeff Erickson PDF: https://t.co/2dFk9r8991 Other Options: https://t.co/4dZX2o7WLb? https://t.co/6Vc0YYZYDz |
| 2019-01-04 | Sci-kit and Keras and challenges of overfitting in building portfolio factor models https://t.co/x4UKF4IeC8 Jupyer Python Source: https://t.co/MF1CWCBTCk |
| 2019-01-04 | Classification using machine learning applied to factor investing https://t.co/V52PAwgqhG Jupyter notebook / Python code: https://t.co/IBqTEo8gfj https://t.co/N83bLyfSv1 |
| 2019-01-04 | McKinsey report on FinTech: 10 trends shaping the industry https://t.co/evPITNIMvu https://t.co/6sLIjV0AGR |
| 2019-01-03 | 3 factors cited below as the cause of the FX #FlashCrash https://t.co/SIV8AGWK9C While I don’t agree, their confluence are still likely indirect triggers in their robotic-herd like fashion to de-risk …while other Algos pushed Gold futures up https://t.co/kOw3nFhC4G https://t.co/wvurFeYod4 |
| 2019-01-03 | Cunning and resourceful… https://t.co/o710vD2Ljv |
| 2019-01-03 | WIRED article on https://t.co/2jfOc63bJH |
| 2019-01-03 | Deep Learning and machine learning paper uses a variety of accessible fundamental and technical indicators to predict DJIA component stock prices for long term: CNN, DNN, RBF SVM, PolySVM #dl and #ml methods #Python #Keras #Sklearn #Quandl #Tablib https://t.co/Pb1aPnYnmy |
| 2019-01-03 | Excellent R ebook on #DataViz by @clauswilke can be found here (draft): https://t.co/VsaWyLiDik Contains a chapter on visualizing Uncertainty and using frequency framing as one technique https://t.co/vOTHIcsIwF With R source code: https://t.co/RbPo0rJsTl #rstats https://t.co/7MehHD6PpY |
| 2019-01-02 | Python, Pandas and a simple walk through Data science foundations in FX Algorithmic / Systematic Trading https://t.co/GEZcOuQ5iM |
| 2019-01-01 | Who is working in 2019 on next-gen FinTech? https://t.co/7D0pIJYwRA |
| 2018-12-30 | Re: Web3 Data Economy: Ocean Protocol - presentation https://t.co/qGTqy50fvR via @SlideShare |
| 2018-12-30 | @natfriedman Excellent strategic move in raising |