IB Olympiad System Outline
The first version of the system will be organized as follows:VariablesLoad dataPreprocessForecast each data streamOptional: sensitivity analysisCreate a portfolioCalculate position…
Weirdness is the “Curse of Dimensionality”
I read the following well-written section in "The Elements of Statistical Learning" by Friedman, Hastie, & Tibshirani. This curse of…
Review: The Poker Face of Wall Street
Yesterday night I finished The Poker Face of Wall Street by Aaron Brown. It's a somewhat disorganized combination of poker…
Trading System Description
In the next two weeks, IB's Collegiate Olympiad starts. The following describes the system I'm entering. I previously mentioned that…
Interactive Brokers Collegiate Olympiad
I'm applying to enter Interactive Brokers' automated trading contest. The "Strategy Plan" I submitted is below. This document is required…
Preprocessing – Feature Generation
Price and volume data is the easiest to acquire and holds quite a bit of information. Preprocessing is the technique…
Statistical Learning Papers
I've been lucky with the past few papers I've read which have been interesting and well-written. These first two were…
Volatility vs. Leverage
Recently I've been curious about volatility and leverage. Here's the problem: let's say you make or lose 10% of your…
Condé Nast Portfolio Article
I was included in a recent article on the future of quantitative finance:Future of Wall Street: Rise of the MachinesSam…
Alternative Hardware
I recently became aware of two technologies which I highly doubt I will have the opportunity to test due to…