HKML (25) ML (34) cryptocurrency (2) deep learning (3) ethereum (3) healthtech (1) math (1) networks (1) qfin (28) quant (6) stats (4)

HKML (25)

[HKML] Hong Kong Machine Learning Meetup Season 1 Episode 1

July 18, 2018

[HKML] Hong Kong Machine Learning Meetup Season 1 Episode 1

[HKML] Hong Kong Machine Learning Meetup Season 1 Episode 10

May 15, 2019

[HKML] Hong Kong Machine Learning Meetup Season 1 Episode 10

[HKML] Hong Kong Machine Learning Meetup Season 1 Episode 11

June 12, 2019

[HKML] Hong Kong Machine Learning Meetup Season 1 Episode 11

[HKML] Hong Kong Machine Learning Meetup Season 1 Episode 12 (Season Finale)

July 17, 2019

[HKML] Hong Kong Machine Learning Meetup Season 1 Episode 12 (Season Finale)

[HKML] Hong Kong Machine Learning Meetup Season 1 Episode 2

August 21, 2018

[HKML] Hong Kong Machine Learning Meetup Season 1 Episode 2

[HKML] Hong Kong Machine Learning Meetup Season 1 Episode 3

October 9, 2018

[HKML] Hong Kong Machine Learning Meetup Season 1 Episode 3

[HKML] Hong Kong Machine Learning Meetup Season 1 Episode 4

November 21, 2018

[HKML] Hong Kong Machine Learning Meetup Season 1 Episode 4

[HKML] Hong Kong Machine Learning Meetup Season 1 Episode 5

December 19, 2018

[HKML] Hong Kong Machine Learning Meetup Season 1 Episode 5

[HKML] Hong Kong Machine Learning Meetup Season 1 Episode 6

January 23, 2019

[HKML] Hong Kong Machine Learning Meetup Season 1 Episode 6

[HKML] Hong Kong Machine Learning Meetup Season 1 Episode 7

February 20, 2019

[HKML] Hong Kong Machine Learning Meetup Season 1 Episode 7

[HKML] Hong Kong Machine Learning Meetup Season 1 Episode 8

March 12, 2019

[HKML] Hong Kong Machine Learning Meetup Season 1 Episode 8

[HKML] Hong Kong Machine Learning Meetup Season 1 Episode 9

April 17, 2019

[HKML] Hong Kong Machine Learning Meetup Season 1 Episode 9

[HKML] Hong Kong Machine Learning Meetup Season 2 Episode 1

September 25, 2019

[HKML] Hong Kong Machine Learning Meetup Season 2 Episode 1

[HKML] Hong Kong Machine Learning Meetup Season 2 Episode 2

October 17, 2019

[HKML] Hong Kong Machine Learning Meetup Season 2 Episode 2

[HKML] Hong Kong Machine Learning Meetup Season 2 Episode 3

January 22, 2020

[HKML] Hong Kong Machine Learning Meetup Season 2 Episode 3

[HKML] Hong Kong Machine Learning Meetup Season 2 Episode 4

April 8, 2020

[HKML] Hong Kong Machine Learning Meetup Season 2 Episode 4

[HKML] Hong Kong Machine Learning Meetup Season 2 Episode 5

April 29, 2020

[HKML] Hong Kong Machine Learning Meetup Season 2 Episode 5

[HKML] Hong Kong Machine Learning Meetup Season 2 Episode 6

May 13, 2020

[HKML] Hong Kong Machine Learning Meetup Season 2 Episode 6

[HKML] Hong Kong Machine Learning Meetup Season 2 Episode 7

June 10, 2020

[HKML] Hong Kong Machine Learning Meetup Season 2 Episode 7

[HKML] Hong Kong Machine Learning Meetup Season 2 Episode 8

July 15, 2020

[HKML] Hong Kong Machine Learning Meetup Season 2 Episode 8

[HKML] Hong Kong Machine Learning Meetup Season 3 Episode 1

September 30, 2020

[HKML] Hong Kong Machine Learning Meetup Season 3 Episode 1

[HKML] Hong Kong Machine Learning Meetup Season 3 Episode 2

October 8, 2020

[HKML] Hong Kong Machine Learning Meetup Season 3 Episode 2

[HKML] Hong Kong Machine Learning Meetup Season 3 Episode 3

October 28, 2020

[HKML] Hong Kong Machine Learning Meetup Season 3 Episode 3

[HKML] Hong Kong Machine Learning Meetup Season 3 Episode 4

November 4, 2020

[HKML] Hong Kong Machine Learning Meetup Season 3 Episode 4

[HKML] Supercharge your Marketing with Data & ML . [HKML <> IAB] . Off-Season #1

September 5, 2019

[HKML] Supercharge your Marketing with Data & ML . [HKML <> IAB] . Off-Season #1

ML (34)

A Monte Carlo study of the ``Combination of Rankings'' methods

August 31, 2018

A Monte Carlo study of the ``Combination of Rankings’’ methods

Combination of Rankings

August 16, 2018

Combination of Rankings - A Proper Merging of Experts Views

CorrGAN: A GAN for sampling correlation matrices (Part I)

June 23, 2019

CorrGAN: A GAN for sampling correlation matrices (Part I)

CorrGAN: A GAN for sampling correlation matrices (Part II)

July 1, 2019

CorrGAN: A GAN for sampling correlation matrices (Part II)

Experimenting with LIME - A tool for model-agnostic explanations of Machine Learning models

May 26, 2019

Experimenting with LIME - A tool for model-agnostic explanations of Machine Learning models

Field reports from ICML 2017 in Sydney

August 11, 2017

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

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

networks (1)

How to compute the Planar Maximally Filtered Graph (PMFG)

June 3, 2018

How to compute the Planar Maximally Filtered Graph (PMFG)

qfin (28)

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...

Release of a few pretrained CorrGAN models

August 11, 2020

Release of a few pretrained CorrGAN models

S&P 500 Sharpe vs. Correlation Matrices - Building a dataset for generating stressed/rally/normal scenarios

February 3, 2020

S&P 500 Sharpe vs. Correlation Matrices - Building a dataset for generating stressed/rally/normal scenarios

Sampling from Empirical Copulas of Stocks

July 28, 2020

Swap Data Repositories for Credit Default Swaps

May 28, 2017

What are Swap Data Repositories?

Wasserstein Barycenters of Stocks Empirical Copulas

July 26, 2020

Which portfolio allocation method to choose? Look at the correlation matrix!

August 17, 2020

[Book] Commented summary of Machine Learning for Asset Managers by Marcos Lopez de Prado

April 12, 2020

[Book] Commented summary of Machine Learning for Factor Investing by Guillaume Coqueret and Tony Guida

May 19, 2020

[Book] Commented summary of Probabilistic Graphical Models -- A New Way of Thinking in Financial Modelling

August 30, 2020

[Paper + Implementation] Hierarchical PCA and Applications to Portfolio Management

July 5, 2020

[Paper + Implementation] The Hierarchical Equal Risk Contribution Portfolio (Part I)

March 22, 2020

[Paper + Implementation] The Hierarchical Equal Risk Contribution Portfolio (Part I)

quant (6)

AQR Academic Factors

February 17, 2018

AQR has released an implementation of the well-known academic factors in its AQR Data Library:

From Fundamental To Quantamental Investing

November 11, 2020

Quant Blogs

February 13, 2018

Here a tentative of a list of interesting blogs to keep up with quant best practices to study financial markets. I hope that my readers will help me curate t...

Some Thoughts on the Applications of Deep Generative Models in Finance

September 27, 2020

[Book] The UnRules - Man, Machines and the Quest to Master Markets

October 16, 2018

[Book] The UnRules - Man, Machines and the Quest to Master Markets

[Paper] A Backtesting Protocol in the Era of Machine Learning

December 9, 2018

[Paper] A Backtesting Protocol in the Era of Machine Learning

stats (4)

How to sample uniformly over the space of correlation matrices? The onion method

October 5, 2018

How to sample uniformly over the space of correlation matrices? The onion method

Riemannian Geometry of Correlation Matrices

November 13, 2017

Research material:

Tail Dependence Coefficients

December 4, 2017

Research material:

[Correlation] How to visualize dependence between two variables?

November 5, 2017

In this blog, we provide a snippet of code to explore the dependence between two variables. We illustrate its use on visualizing the dependence between a few...