Tag Archives: Optimization

Math of intelligence: Second Order Optimization

Math of intelligence: Second Order Optimization

2nd in a series I think is fine for us non PHD mortals for the world of math and machine learning

 

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Portfolio optimization and performance stats

Portfolio optimization and performance stats

This is a big world used by institutional traders

My notes:

Sharpe ratio

Sortino

 

Markowitz portfolio theory

Conditional value at risk

Kelly Criterion

Efficient frontier
From Wikipedia

  • Quadratic programming
  • Nonlinear programming
  • Mixed integer programming
  • Meta-Heuristic Methods[5]
  • Stochastic programming for multistage portfolio optimization[6]
  • http://www.investopedia.com/terms/m/modernportfoliotheory.asp

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Modern Portfolio Optimization Modeling with R

Contemporary Portfolio Optimization Modeling with R

Shockingly I would never think that Interactive Brokers would be supporting R in this video topic. To be honest, if you want to learn high-quality training techniques, you may want to subscribe to their YouTube video channel. There’s some really good stuff in it.

 

Go here for an example

 

Talking about Interactive Brokers, I’ll be loading all the content for my upcoming workshop Boot Camp into my Academy section of the website. This means that my Quant Elite members will have immediate access to this. Not only that, people will have access who join over the next few days as well. Once completed, I will schedule the formal dates for this live workshop with the pricing schedule as well. So stay tuned for that.

 

This is a reminder of my one time only question-and-answer roundtable on why my Quant Elite membership will be closing in the next few months. If you have any questions about this live, please be part of my Facebook programming group to see the broadcast. This takes place on Monday at 6 PM Eastern standard time. If you have any questions about this live, please be part of my Facebook programming group to see the broadcast. This takes place on Monday at 6 PM Eastern standard time.

Go here for that

(Don’t forget you need to be pre-approved to join before this event starts LIVE. Also, don’t leave it to the last minute as well)

I have hinted before that this will be quietly closing which means there will be no extensions. You’ll no longer be getting access to any my software source code, video demo walk-throughs, and all the other hidden gems in this.

Go here for that

Go here for all the complete details of why this is happening
Thanks for reading,

Bryan

 

P.S. Once in a while I like to drop hints. So here is one:

 

This Interactive Brokers workshop will become a very expensive standalone product which will be recorded with two live sessions.

 

As you know, I have been running a survey asking for times and pricing you’re willing to pay. Thankfully I’ve come to the conclusion that there are three possible times. I will be posting another detailed Survey to see who would like to attend either of these times.

 

All Quant Elite paying members will be able to attend this LIVE Interactive Brokers workshop

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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!

Contemporary Portfolio Optimization Modeling with R

Contemporary Portfolio Optimization Modeling with R

This was put on by Interactive Brokers

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Quant Trading book: Algorithms, Analytics, Data, Models, Optimization

Quant Trading book:  Algorithms, Analytics, Data, Models, Optimization

Detailed but how is this book any different from others like Paul Wilmott

https://www.crcpress.com/Quantitative-Trading-Algorithms-Analytics-Data-Models-Optimization/Guo-Lai-Shek-Wong/p/book/9781498706483

Another book noted by Sholom B

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Research paper on mean reversion and optimization

Research paper on mean reversion and optimization

This is a good one for all those newbies on this Dr Ernie Chan classic trading strategy

http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2478345

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Alpha Stream Optimization for HFT

Alpha Stream Optimization for HFT

This is a research paper for hedge funds

http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2446328

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Portfolio optimization and analysis site

Portfolio optimization and analysis site

Anyone ever heard of this ?

https://www.macroaxis.com/

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Trading Portfolio Optimization Tool LIVE DEMO video playback

Trading Portfolio Optimization Tool LIVE DEMO video playback

I got this up after our first Google Hangout, more future Meetups will be delivered like this

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New Excel script to instantly use this Portfolio Optimization tool

New Excel script to instantly use this Portfolio Optimization tool

I just created this for my members with source code

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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!