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portfolio construction

Deep Learning in Finance: Most effective methods for returns and portfolio construction

It seems that deep learning has been questioned when it comes to financial modelling. A decent article came out from a WorldQuant. This Medium article covers how to improve your forecasting using both in and out samples. It also covers: 1. Return Prediction comparing ARIMA, VAR, Deep Regression, Convoluted Neural Networks, and Long Short Term …

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Anyone use portfolio construction in MATLAB?

Anyone use portfolio construction in MATLAB? Anyone ever use this example from Mathworks http://www.mathworks.com/help/finance/portfolio-construction-examples.html Join my FREE newsletter to learn about MATLAB In trading  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!

Anyone use portfolio construction in R?

Anyone use portfolio construction in R? Has anyone ever come across this search posting with R? http://www.r-bloggers.com/tag/portfolio-construction/ Join my FREE newsletter to learn more about trading R    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!

Quant analytics: Filtering signals for portfolio construction

Quant analytics: Filtering signals for portfolio construction When processing signals for portfolio construction people do a lot of exponentially weighted smoothing and z-scoring. Exponentially weighted smoothing is a linear filter. Is there any connection between linear filtering and z-scoring? More in general, is there a reference that reviews the main practical filters, possibly discussing computational …

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