Guillaume

[Guillaume @simonneau_g]

@TheCinesthetic Obviously Le compte De Monte Cristo

https://t.co/c6oZ2U9c3u

[Guillaume @simonneau_g]

@RuksanaAnsar 12

[Gappy (Giuseppe Paleologo) @__paleologo]

Larry Wasserman blogged for a short period of time about statistics. The blog has the highest signal-to-noise ratio of all quantitative data science blogs (Ben Recht comes close). Inactive since 2013. Has not aged.

https://t.co/oNvUnLa3cv

[Gappy (Giuseppe Paleologo) @__paleologo]

1. Ridge regression is heavily used in systematic investing both in the p << n and in the p >> n cases (last one, less so). I don't think that the use is very deeply motivated, other than the old standard argument in favor (see, e.g., El. Stat. Learning).

[Guillaume @simonneau_g]

@SoundCloud the app wasn't working well. Seemed to be issues pulling data from the API. I erased data to be sure, I also reinstalled the app. Now the sign in isn't working. Probably the same issue.
I doubt It only affects me.

[Stat Arb @quant_arb]

A full thread of all my textbook recommendations.

There will be 3 sections. Research, Options, & Programming.

...

[Guillaume @simonneau_g]

@paulgp Self fulfilling prophecy... It's a lot more challenging to graduate if you have to graduate if you have low resources and a child to take care of.

[Valeriy M., PhD, MBA, CQF @predict_addict]

https://t.co/YE2DVTPPSn

[Jan Nieuwenhuijs @JanGold_]

Family offices hold less than 1% in gold.

[Stat Arb @quant_arb]

Every pairs trading strategy in the literature catalogued

A full thread! 🧵

[1/22]

[Darren r-σ²/2 @ReformedTrader]

Designing Robust Trend-following System: Behind the Scenes of Trend-following (Tzotchev)

"We reconcile a signal based on statistical theory with stylized facts about the CTA smile, the link to straddles, and the better performance of ‘slower’ signals."

https://t.co/xGUy8FcCQG

[Sean Kelly @seanpk]

Peter Thiel recruited Reid Hoffman, Chad Hurley, Sam Altman, David Sacks, and Keith Rabois. Also partnered with Elon Musk.

He's used these 4 questions time and time again to identify 20-year-olds who would go on to be billionaires.

Test yourself with these questions:

[Maxime de Bellefroid @Maxime_deb7]

@Virtuvest6 @NicoGladia @BlackSwan_ptf Here is the list of the books I have about Derivatives (not specifically Trading as I don't split my library under more specific subjects tbh :))

[Stat Arb @quant_arb]

I’ve already ended up reading most the articles over time, but finally sat down to read / re-read them all together.

Insanely good series, lots of knowledge that’s not going to be in the textbooks.

https://t.co/g87zMHUEXL

[Jack Farley @JackFarley96]

It's truly stunning that in 2020, with rates near 0, many U.S. banks could buy an option to insure against an interest rate shock.

The cost of this option: 0.02% (!!)

A similar option for U.S. homeowners is now nearly 100x as expensive.

Here's how it worked: 🧵

(1/31)

[Guillaume @simonneau_g]

@vola2vola It's so not representative. I filled E10 for 1.9€/L across many regions last week in France.

[Guillaume @simonneau_g]

@agnostoxxx The melt up is back in full strength

[Guillaume @simonneau_g]

This

[Stat Arb @quant_arb]

Don’t set a stoploss or take profit.

Continuously calculate your features every time you get new data, use this to make a new forecast, hand the revised forecast to portfolio optimisation (along w/ context of txn costs and current portfolio)

Trade into new target portfolio

…

[Guillaume @simonneau_g]

@WifeyAlpha Redistribution of wealth.

[Guillaume @simonneau_g]

@nntaleb You can't go wrong with the B17. The more you ride it the better it gets.