Optimal Labeling in Trading: Bridging the Gap Between Supervised and Reinforcement Learning
When building trading strategies, a crucial decision is how to translate market information into trading…
Efficient Rolling Median with the Two-Heaps Algorithm. O(log n)
Calculating the median of data points within a moving window is a common task…
Fast Rolling Regression: An O(1) Sliding Window Implementation
In finance and signal processing, detecting trends or smoothing noisy data streams efficiently is…
Understanding the Uncertainty of Correlation Estimates
Correlation is everywhere in finance. It’s the backbone of portfolio optimization, risk management, and…
Can we measure president Bush’s heart rate when he was told about the 9/11 attack?
This is a fun project me and my son did over the weekend. I’ve always…
Extracting Interest Rate Bounds from Option Prices
In this post we describe a nice algorithm for computing implied interest rates upper-…
Recovering Accurate Implied Dividend and Interest Rate Term-Structures from Option Prices
In this post we discuss the algorithms we use to accurately recover implied dividend…
Validating Trading Backtests with Surrogate Time-Series
Back-testing trading strategies is a dangerous business because there is a high risk you will…
Parallel Processing of Tasks with Python’s Multiprocessing lib
The Python code snippet below uses the multiprocessing library to processes a list of tasks…
Parameter Grid-searching with Python’s itertools
Python’s Itertools offers a great solution when you want to do a grid-search for optimal…
Gaussian Mixture Approximation for the Laplace Distribution
The Laplacian distribution is an interesting alternative building-block compared to the Gaussian distribution because…