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My colleague, Mikolaj Binkowski, at Hellebore Capital was at the 34th International Conference on Machine Learning ICML 2017 in Sydney to represent the comp...

May the Fourth: VADER for Credit Sentiment?
May 4, 2019

May the Fourth: VADER for Credit Sentiment?

Permutation invariance in Neural networks
September 1, 2019

Permutation invariance in Neural networks

PhD defense - Some contributions to the clustering of financial time series
November 11, 2017

Here are the slides. The PhD studies were generously funded by Hellebore Capital.

Reading list of NLP stuff
August 24, 2017

General NLP:

Snorkel Credit Sentiment - Part 1
May 1, 2019

First experiment with Snorkel Metal – Credit Sentiment on DataGrapple blogs

Study of US Stocks Correlations, Hierarchies and Clusters
July 24, 2017

In this small study, we use hierarchical clustering techniques to explore the structure of correlations between US stocks. To do so, we first download a data...

Stylized Facts of Financial Correlations
July 15, 2019

Stylized Facts of Financial Correlations

TF 2.0 DCGAN for 100x100 financial correlation matrices
October 13, 2019

TF 2.0 DCGAN for 100x100 financial correlation matrices

TF 2.0 GAN MLP for 100x100 financial correlation matrices
September 22, 2019

TF 2.0 GAN MLP for 100x100 financial correlation matrices

Using LIME to 'explain' Snorkel Labeler
August 4, 2019

Using LIME to “explain” Snorkel Labeler

[Bloomberg Meetup] The Forefront of Technologies in Finance
September 1, 2018

[Bloomberg Meetup] The Forefront of Technologies in Finance

[Book] Neural Network Methods for Natural Language Processing
September 20, 2018

[Book] Neural Network Methods for Natural Language Processing

[Clustering] How and Where should you cut a dendrogram?
May 12, 2017

[Clustering] How to sort a distance matrix
September 7, 2017

Following the Ecole Polytechnique - Data Science Summer School where I got several times questions about how I produced the sorted correlation matrices disp...

[Field report] Data Science Summer School at Ecole Polytechnique (with Bengio, Russell, Bousquet, Archambeau and others)
September 2, 2017

A small field report with personal viewpoint about the Data Science Summer School (Ecole Polytechnique) Monday, Aug. 28 – Friday, Sept. 1, 2017.

[ICML 2018] Day 1 - Tutorials
July 10, 2018

[ICML 2018] Day 1 - Tutorials

[ICML 2018] Day 2 - Representation Learning, Networks and Relational Learning
July 11, 2018

[ICML 2018] Day 2 - Representation Learning, Networks and Relational Learning

[ICML 2018] Day 3 - Energy, GANs, Rankings, Curriculum Learning, and our paper
July 12, 2018

[ICML 2018] Day 3 - Energy, GANs, Rankings, Curriculum Learning, and our paper

[ICML 2018] Day 4 - Time-Series Analysis, NLP, and More Human-like Learning Machines
July 13, 2018

[ICML 2018] Day 4 - Time-Series Analysis, NLP, and More Human-like Learning Machines

[ICML 2018] Retrospectives
July 16, 2018

[ICML 2018] Retrospectives

[ICML 2019] Day 1 - Tutorials
June 11, 2019

[ICML 2019] Day 1 - Tutorials

[ICML 2019] Day 2 - U.S. Census, Time Series, Hawkes Processes, Shapley values, Topological Data Analysis, Deep Learning & Logic, Random Matrices, Optimal Transport for Graphs
June 11, 2019

[ICML 2019] Day 2 - U.S. Census, Time Series, Hawkes Processes, Shapley values, Topological Data Analysis, Deep Learning & Logic, Random Matrices, Optima...

[ICML 2019] Day 3 - Robotics, Good ol' Sparse Coding, misc. applications, Transfer, Multitask and Active Learning
June 12, 2019

[ICML 2019] Day 3 - Robotics, Good ol’ Sparse Coding, misc. applications, Transfer, Multitask and Active Learning

[ICML 2019] Day 4 - Interpretability, Natural Language Processing, Smarter than AI four year old kids, Unsupervised Learning
June 13, 2019

[ICML 2019] Day 4 - Interpretability, Natural Language Processing, Smarter than AI four year old kids, Unsupervised Learning

[ICML 2019] Day 5 - Workshop Time Series
June 14, 2019

[ICML 2019] Day 5 - Workshop Time Series

[ICML 2019] Reading list of accepted papers
May 19, 2019

[ICML 2019] Reading list of accepted papers

``Combination of Rankings'' - The Full Coverage Case
September 2, 2018

``Combination of Rankings’’ - The Full Coverage Case

``Combination of Rankings'' - The Stationary Distribution
September 5, 2018

``Combination of Rankings’’ - The Stationary Distribution

aws (1)

AWS S3 to Lambda to Aurora to Lambda to Binance | Serverless architecture for crypto trading
December 17, 2022

business (1)

Bayesian Networks for Business: Modeling Profit and Loss of a Cafe in Hong Kong
October 14, 2024

cryptocurrency (2)

APIs for getting crypto related data
May 14, 2018

Following my blog post Download & Play with Cryptocurrencies Historical Data in Python, I got several times questions on how to get the historical data. ...

Download & Play with Cryptocurrencies Historical Data in Python
August 25, 2017

To access the CryptoCompare public API in Python, we can use the following Python wrapper available on GitHub: cryCompare.

deep learning (3)

Neural Style Transfer applied to paintings
June 23, 2018

In this short blog, we apply the fast style transfer as implemented in tensorflow/magenta.

On the difficulty of reading numbers in different languages
June 25, 2018

On the difficulty of reading numbers in different languages

[Paper + Experimentation] CartoonGAN applied to Hong Kong landscapes using Streamlit
March 22, 2020

ethereum (3)

Ether vs. Bitcoin -- Part 0
June 22, 2017

In this introduction notebook, we simply displayed the distribution of the returns and see that tails are heavy, meaning that standard quant models cannot be...

Ether vs. Bitcoin -- Part 0 bis
June 28, 2017

For the last few days, ETH has lost 1/3 of its value with -20% several days in a row. We update the initial study with up-to-date data to take into account t...

June Ethereum London Meetup at Imperial College
June 16, 2017

I attended this evening the June Ethereum London Meetup at Imperial College (I have been there a couple of times before). Imperial College’s big amphitheater...

healthtech (1)

Physiological analytics for sports
March 4, 2018

I recently got a Garmin Forerunner 935 (advised by a good friend of mine). After using it for two months, I can say that I’m happy with it so far. It has lot...

math (1)

How to define an intrisic Mean of Correlation Matrices in a Riemannian sense?
December 25, 2019

ml (17)

AutoGL and the Open Graph Benchmark: Datasets for Machine Learning on Graphs
January 2, 2021

Bayesian net and Boparan 7.625% 30 Nov 2025 Prospectus
May 16, 2022

Classification of Correlation Matrices using SPDNet with Riemannian Batch Normalization
January 22, 2021

Illustration from "A Riemannian Network for SPD Matrix Learning" https://arxiv.org/pdf/1608.04233.pdf

Conditional CorrGAN: An example in Google Colab
February 5, 2021

A few cCorrGAN-generated correlation matrices, and the confusion matrix of a SPDNet + RBN classification.

Crypto PCA First Eigenvector
September 17, 2022

Getting ready for Complex Networks 2022 in Palermo, Italy
November 5, 2022

Hierarchical PCA x Hierarchical clustering on crypto perpetual futures
September 17, 2022

Mind the Jensen Gap!
April 10, 2021

Preparing for ICML 2024: Main themes
June 22, 2024

Selected ML Papers from ICML 2023
July 9, 2023

Speaker identification in 'Marine Le Pen vs. Emmanuel Macron 2017 French Presidential Debate'
April 20, 2022

Standard readability measures (applied on Shakespeare's plays)
February 19, 2022

Takeaways from Complex Networks 2022 in Palermo, Italy
November 13, 2022

The Swelling Effect: Think twice before averaging covariance matrices
February 13, 2021

A few ellipsoids representing the associated covariance matrices along the geodesic path from the leftmost to the rightmost matrices.

[Paper] Summary of 'Explaining by Removing: A Unified Framework for Model Explanation'
December 3, 2020

Illustration from Explaining by Removing: A Unified Framework for Model Explanation

[Paper] Summary of 'Interpretable Machine Learning – A Brief History, State-of-the-Art and Challenges'
January 9, 2021

[Paper] Summary of Interpretable Machine Learning – A Brief History, State-of-the-Art and Challenges

[paper] Top2Vec: Distributed Representations of Topics
November 14, 2021

with application on 2020 10-K business descriptions

networks (1)

How to compute the Planar Maximally Filtered Graph (PMFG)
June 3, 2018

How to compute the Planar Maximally Filtered Graph (PMFG)

qfin (33)

Can we predict a market regime from correlation matrix features?
September 4, 2020

Clustering Marginal Distributions of Stocks Returns, and Sampling from their Wasserstein Barycenter
July 29, 2020

Comparison of Network-based and Minimum Variance Portfolios Using CorrGAN
December 21, 2019

Comparison of Network-based and Minimum Variance Portfolios Using CorrGAN

CopulaGAN (the 3d case) - A first naive attempt
August 1, 2020

CorrVAE: A VAE for sampling realistic financial correlation matrices (Tentative I)
February 4, 2020

CorrVAE: A VAE for sampling realistic financial correlation matrices (Tentative I)

CorrVAE: A VAE for sampling realistic financial correlation matrices (Tentative II)
February 17, 2020

CorrVAE: A VAE for sampling realistic financial correlation matrices (Tentative II)

Extraction of features from a given correlation matrix
August 14, 2020

Hierarchical Risk Parity - Implementation & Experiments (Part I)
October 2, 2018

Hierarchical Risk Parity - Implementation & Experiments (Part I)

Hierarchical Risk Parity - Implementation & Experiments (Part II)
October 15, 2018

Hierarchical Risk Parity - Implementation & Experiments (Part II)

Hierarchical Risk Parity - Implementation & Experiments (Part III)
December 4, 2019

Hierarchical Risk Parity - Implementation & Experiments (Part III)

How to combine a handful of predictors using empirical copulas and maximum likelihood
August 9, 2020

How to detect false strategies? The Deflated Sharpe Ratio
May 30, 2018

Deflated Sharpe Ratio

Measuring non-linear dependence with Optimal Transport
June 25, 2020

Mutual Information Is Copula Entropy
July 1, 2020

Network-based vs. Minimum Variance portfolios: Any deep connections?
October 10, 2018

Network-based vs. Minimum Variance portfolios: Any deep connections?

Portfolio construction methods and risk metrics: in- and out-of-sample comparisons on simulated data
August 15, 2020

Quick correlation study between BTC/USD and ETH/USD
August 22, 2017

import numpy as np import scipy import pandas as pd import matplotlib.pyplot as plt %matplotlib inline import seaborn as sns import json from datetime import...