Tag Archives: Financial

Financial forecasting with probabilistic programming and Pyro

Financial forecasting with probabilistic programming and Pyro

Lots of tutorials here

  1. Simple time series forecasting (and mistakes done)
  2. Correct 1D time series forecasting + backtesting
  3. Multivariate time series forecasting
  4. Volatility forecasting and custom losses
  5. Multitask and multimodal learning
  6. Hyperparameters optimization
  7. Enhancing classical strategies with neural nets
  8. rn recognition and machine learning
  9. Bayesian methods for hackers
  10. Documentations of libraries below

This current tutorial is here:

medium.com/@alexrachnog/financial-forecasting-with-probabilistic-programming-and-pyro-db68ab1a1dba

View story at Medium.com

View story at Medium.com

 

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Quant fund investment and financial near 1 trillion under management

Quant fund investment and financial near 1 trillion under management

Understand how quant funds are changing how we see the future of investing and taking financial advise.

Here are some highlighted comments about this article from Financial Times:

 

They speak of how algos make the markets complex and fragile

More unsophisticated (dumb money or even retail money) flows into electric traded funds without understanding underlying investment nor know the high risk. These are put into mainstream ETF funds like Vanguard or Blackrock. Could this be the next 2008 waiting to blow up?

Examples of Two Sigma is used to show short time to get to 50 billion asset under management like Renaissance Technology or DE Shaw.

One French was quoted as doubling their staff within 5 years while other old investment banks are shedding traditional trading roles. Remember how Goldman Sachs is considered now a technology company vs an investment bank with 30+% of staff as software engineers.

Quoting directly from Financial Times results in:

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https://www.ft.com/content/ff7528bc-ec16-11e7-8713-513b1d7ca85a

 

https://www.ft.com/content/ff7528bc-ec16-11e7-8713-513b1d7ca85a

A deep learning framework for financial time series using stacked autoencoders and long-short term memory

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Python interface for the creation of graphs and the calculation of statistics for financial time series

Python interface for the creation of graphs and the calculation of statistics for financial time series

Someone from my Telegram made me aware of this project, From the guy behind http://mechanicalforex.com

Project description

The qq-pat library provides you with an easy interface for the creation of graphs and the calculation of statistics for financial time series. The library uses time series stored within pandas dataframes to make its calculations. You can have either one or several columns within your dataframe and qq-pat will always calculate statistics for all of them and return the results as either a list (if you are calculating something like the Sharpe ratio) or an actual pandas dataframe with the same number of columns.

To use qq-pat is very easy. First make sure you create a pandas series or dataframe that contains either the daily returns or the daily price/balance for the assets or strategies you want to evaluate. After this simply initialize the qq-pat analyzer:

https://github.com/QuriQuant/qq-pat

 

https://github.com/danielfppps

NOTE I now post my TRADING ALERTS into my personal FACEBOOK ACCOUNT and TWITTER. Don't worry as I don't post stupid cat videos or what I eat!

Financial Information Services from Quandl

This is institutional data that could be useful to watch

Cambridge Financial Information Services

We are pleased to announce the addition of data from Cambridge Financial Information Services (CFIS) to the platform. Cambridge is a financial information services firm that provides independent market data and security prices to fixed income and derivative market participants. Quandl offers the following databases:

Credit Default Swap Data

This database offers five and 10 year spreads for over 2,000 reference entities, together with a wide range of currency, restructuring clause and tier of debt combinations. History to 2007.

See Database

FX Option Volatility Data

This database offers daily volatility surfaces for FX options, including skew, across 30 global currencies and precious metals. History to 2012.

See Database

Interest Rate Swaption Volatility Data

This database offers daily normalized volatility cubes for interest rate swaptions, including skew, across many popular global currencies. History to 2013.

See Database
For questions on CFIS databases or any other Quandl data products, please contact connect@quandl.com

Regards,
The Quandl Team

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Analyze Financial Portfolio Data with Python

Financial Portfolio Data analysis with Python

Sometimes, there are really good Python books that cover automated trading. As it stands, there are a bunch I could recommend but right now I need to focus on financial portfolio data analysis. A few weeks ago I published a complete list of what is needed before I start live trading.

Here is one example of many factors you need to consider in this topic

I also wanted to talk to you about a new introductory entry level membership that I will be launching today. This is a light version of my Quant Analytics service that people have been asking for. What do I mean by that? Instead of overwhelming people, this entry level membership will provide basic data that will be important to keep a lookout for all your daily trading. I have made a detailed video here:

This is only execlusive through my new broadcast email which you can access here

Mobile friendly sign up (corrected)

Check out my the details payment URLs here 

This will be a limited time offer to get into a grandfatheredmembership if you want to start out watching my automated trading system. As you know, I will be adding many new daily postings which include my portfolio analysis, position handling, price action, asset watchlist which will be part of my full analytics service. 

If you are interested in this new introductory entry level membership, please get it here

Buy Now via Paypal
I am also testing out a newer payment merchant called Stripe
Buy Now via Stripe
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Financial Time Series Analysis with R in Interactive Brokers

Financial Time Series Analysis with R in Interactive Brokers

Man, is this broker getting more modern but R is not used as much as I thought

 

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Two Sigma Financial Modeling Challenge found on Kaggle

Two Sigma Financial Modeling Challenge found on Kaggle

This dataset contains anonymized features pertaining to a time-varying value for a financial instrument.

Thanks to Super Nuno on Facebook

https://www.kaggle.com/c/two-sigma-financial-modeling/data

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Matlab Financial Toolboxes discount is HUGE

Matlab Financial Toolboxes discounted HUGE

This was posted yesterday:

I thought you might be interested in this, MathWorks has a discounted product bundle for finance. The links to it are…

It’s $4250 for 12 toolboxes for a year.  I’ve never seen them offer a discount like this before. Hope it lasts.

Should we get excited? I love MATLAB but I already repel the annual $100 for Microsoft Office. I think you will know I stick to my open source languages like Python or R. I thought I would let you know about this MATLAB deal anyhow.

More details here

Also, today QuantLabs.net enters into a new era. I no longer will grant access those to my Quant ELITE as it will be winding down for all my current members.

I will be focusing 100% of my energy onto the new up and coming Quant ANALYTICS service

I am very excited about this but realize here are my outstanding items before I go crazy with it:

1. Some backend marketing stuff

2. Develop a mobile set of custom front of apps to be deployed onto Apple IOS developed in Swift. These will be for my use only which means don’t expect them to get released. I may do some videos on them but nothing will be released.

Once these two steps are completed, you can expect a BIG FOCUS on setting up my Dukascopy Forex strategy setup with live trading.

Thanks Bryan

NOTE I now post my TRADING ALERTS into my personal FACEBOOK ACCOUNT and TWITTER. Don't worry as I don't post stupid cat videos or what I eat!