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[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 1 - Tutorials
June 11, 2019

[ICML 2019] Day 1 - Tutorials

May 2019

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

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

[ICML 2019] Reading list of accepted papers

[HKML] Hong Kong Machine Learning Meetup Season 1 Episode 10
May 15, 2019

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

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

May the Fourth: VADER for Credit Sentiment?

Snorkel Credit Sentiment - Part 1
May 1, 2019

First experiment with Snorkel Metal – Credit Sentiment on DataGrapple blogs

April 2019

[HKML] Hong Kong Machine Learning Meetup Season 1 Episode 9
April 17, 2019

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

March 2019

[HKML] Hong Kong Machine Learning Meetup Season 1 Episode 8
March 12, 2019

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

February 2019

[HKML] Hong Kong Machine Learning Meetup Season 1 Episode 7
February 20, 2019

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

January 2019

[HKML] Hong Kong Machine Learning Meetup Season 1 Episode 6
January 23, 2019

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

2018

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December 2018

[HKML] Hong Kong Machine Learning Meetup Season 1 Episode 5
December 19, 2018

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

[Paper] A Backtesting Protocol in the Era of Machine Learning
December 9, 2018

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

November 2018

[HKML] Hong Kong Machine Learning Meetup Season 1 Episode 4
November 21, 2018

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

October 2018

[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

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

Hierarchical Risk Parity - Implementation & Experiments (Part II)

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

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

[HKML] Hong Kong Machine Learning Meetup Season 1 Episode 3
October 9, 2018

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

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

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

Hierarchical Risk Parity - Implementation & Experiments (Part I)

September 2018

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

[Book] Neural Network Methods for Natural Language Processing

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

``Combination of Rankings’’ - The Stationary Distribution

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

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

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

[Bloomberg Meetup] The Forefront of Technologies in Finance

August 2018

A Monte Carlo study of the ``Combination of Rankings'' methods
August 31, 2018

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

[HKML] Hong Kong Machine Learning Meetup Season 1 Episode 2
August 21, 2018

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

Combination of Rankings
August 16, 2018

Combination of Rankings - A Proper Merging of Experts Views

July 2018

[HKML] Hong Kong Machine Learning Meetup Season 1 Episode 1
July 18, 2018

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

[ICML 2018] Retrospectives
July 16, 2018

[ICML 2018] Retrospectives

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

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

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

[ICML 2018] Day 1 - Tutorials

June 2018

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

On the difficulty of reading numbers in different languages

Neural Style Transfer applied to paintings
June 23, 2018

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

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

How to compute the Planar Maximally Filtered Graph (PMFG)

May 2018

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

Deflated Sharpe Ratio

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. ...

March 2018

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...

February 2018

AQR Academic Factors
February 17, 2018

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

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...

2017

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December 2017

Tail Dependence Coefficients
December 4, 2017

Research material:

November 2017

Riemannian Geometry of Correlation Matrices
November 13, 2017

Research material:

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.

[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...

September 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.

August 2017

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.

Reading list of NLP stuff
August 24, 2017

General NLP:

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...

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...

July 2017

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...

May 2017

Swap Data Repositories for Credit Default Swaps
May 28, 2017

What are Swap Data Repositories?