Piotr Pomorski @PtrPomorski Twitter profile | Pikagi

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Piotr Pomorski

@PtrPomorski

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Senior Machine Learning Engineer | I share AI/ML/Kalman Filter & quant stuff | PhD/CFA | Not an investment advice, views are my own | DM open 📧

London, England

https://t.co/LYhdLnPkHO

Joined April 2015

Don't wanna be here? Send us removal request.

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@PtrPomorski

Piotr Pomorski

2 months

List of books on machine learning, data science, or just traditional quant stuff I actually read and enjoyed without pretending, have a nice weekend! - Ernest P. Chan - "Quantitative trading: how to build your own algorithmic trading business" - Keith Fitschen - "Building

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@PtrPomorski

Piotr Pomorski

2 months

@cam_perrault You sure she doesnt have a heart arrhythmia or hypertension? Start with basics

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@PtrPomorski

Piotr Pomorski

2 months

@premierleague All they needed was £2B of oil money and 115 charges, what a magnificent achievement!

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@PtrPomorski

Piotr Pomorski

1 year

@SuhailChowdhary There are also people who still believe Haaland cost only €60M

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@PtrPomorski

Piotr Pomorski

2 months

Just reminding you that this golden repo on financial machine learning exists:

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GitHub - firmai/financial-machine-learning: A curated list of practical financial machine learning...

A curated list of practical financial machine learning tools and applications. - firmai/financial-machine-learning

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@PtrPomorski

Piotr Pomorski

7 months

@burkov It’s even worse with the code, it just types “def func(args): put your code here” instead of giving a full solution like before

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@PtrPomorski

Piotr Pomorski

1 year

@ThaCarterr4 Inter squad is worth about €535M, while Roma’s €318M, according to transfermarkt, OOPSIE DAISY

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@PtrPomorski

Piotr Pomorski

8 months

@tunguz Easy, it’s Australia (I know it from Eurovision)

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@PtrPomorski

Piotr Pomorski

2 months

@Rothmus

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@PtrPomorski

Piotr Pomorski

1 year

@centrdevils I think he's actually gone to Liverpool to be drafted to the first team on the spot, since their mid is half-empty, while at United he'd have to compete with Eriksen.

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@PtrPomorski

Piotr Pomorski

11 months

Just reminding you that this golden repo on financial machine learning exists:

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GitHub - firmai/financial-machine-learning: A curated list of practical financial machine learning...

A curated list of practical financial machine learning tools and applications. - firmai/financial-machine-learning

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@PtrPomorski

Piotr Pomorski

3 months

@netcapgirl You mamma your last mia, Altman

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@PtrPomorski

Piotr Pomorski

2 months

Just a reminder that this book exists and it’s a good one!

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@PtrPomorski

Piotr Pomorski

4 months

Do you remember Devin, the AI software engineer that you have to pay for? Here is pretty much the same thing but for free:

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GitHub - princeton-nlp/SWE-agent: SWE-agent takes a GitHub issue and tries to automatically fix it,...

SWE-agent takes a GitHub issue and tries to automatically fix it, using GPT-4, or your LM of choice. It solves 12.47% of bugs in the SWE-bench evaluation set and takes just 1 minute to run. - princ...

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@PtrPomorski

Piotr Pomorski

1 year

Probably one of the best machine learning repos out there: . A bunch of tips and solutions on applying ML to trading, from data research to even deep reinforcement learning.

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GitHub - stefan-jansen/machine-learning-for-trading: Code for Machine Learning for Algorithmic...

Code for Machine Learning for Algorithmic Trading, 2nd edition. - stefan-jansen/machine-learning-for-trading

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@PtrPomorski

Piotr Pomorski

7 months

@TheFodenSZN Man City before oil money era, you just had to be there!

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@PtrPomorski

Piotr Pomorski

1 year

@RishiSunak It only took them 15 years, some accounting scams, and £2B spent, magnificent achievement!

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@PtrPomorski

Piotr Pomorski

2 months

@picotop True, a former colleague told me a story of an intern who had thrown up on MD’s shoes and was the only one who received an offer. This was inv banking though.

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@PtrPomorski

Piotr Pomorski

6 months

Someone just said “screw it” and created ~1400 slides for a 2023-2024 course in portfolio allocation and asset management, all free, straight from Paris: . The last lecture is on machine learning in AM!

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@PtrPomorski

Piotr Pomorski

1 year

And here is yet another position on financial machine learning you may have overlooked by accident, really good one, though also very scientific which makes it a bit less comfortable to read

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@PtrPomorski

Piotr Pomorski

11 months

Just a reminder that this brand new book on financial machine learning exists

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@PtrPomorski

Piotr Pomorski

1 month

@Duderichy I’ll never feel dumb again

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@PtrPomorski

Piotr Pomorski

1 year

@NoContextHumans I got the same message, I paid £3000 instead and they left me alone, I did not want to be under the rest, I want to be above

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@PtrPomorski

Piotr Pomorski

24 days

@przemekg18 This may be the best idea ever

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@PtrPomorski

Piotr Pomorski

1 year

Stealing from @WifeyAlpha , neat stack of books to go over!

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@PtrPomorski

Piotr Pomorski

1 year

@MarioNawfal BREAKING: live footage of NATO HQ

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@PtrPomorski

Piotr Pomorski

2 months

Ok, I started reading this one, since @__paleologo has become a celebrity here. PS. IMO, the FAQ parts are the most insightful!

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@PtrPomorski

Piotr Pomorski

3 months

@NorthmanTrader All these books stopped working in the early 2000s when Internet and retail kicked in

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@PtrPomorski

Piotr Pomorski

11 months

@Iam_SyedIrfan @stats_feed Buy a ticket to Norway?

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@PtrPomorski

Piotr Pomorski

5 months

This repo is an absolute unit, based on a pretty rough but great book "Machine Learning in Finance: From Theory to Practice" by Matthew Dixon, Igor Halperin and Paul Bilokon, have fun:

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GitHub - mfrdixon/ML_Finance_Codes: Machine Learning in Finance: From Theory to Practice Book

Machine Learning in Finance: From Theory to Practice Book - mfrdixon/ML_Finance_Codes

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@PtrPomorski

Piotr Pomorski

12 days

@ErlingRoIe Because Troyes (where SAVIO was bought from) is owned by Man City owners; so yes, Man City ruin football as always

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@PtrPomorski

Piotr Pomorski

11 months

Remember the book "Machine learning in finance: from theory to practice" by Dixon, Halperin, & Bilokon? Here's the repo:

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GitHub - mfrdixon/ML_Finance_Codes: Machine Learning in Finance: From Theory to Practice Book

Machine Learning in Finance: From Theory to Practice Book - mfrdixon/ML_Finance_Codes

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@PtrPomorski

Piotr Pomorski

1 year

@SuhailChowdhary and the Hungarian dude is only 79 overall in FIFA, Klopp should reconsider

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@PtrPomorski

Piotr Pomorski

11 months

You liked the financial machine learning repo from yesterday, so I’m also reminding you that this exists:

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GitHub - stefan-jansen/machine-learning-for-trading: Code for Machine Learning for Algorithmic...

Code for Machine Learning for Algorithmic Trading, 2nd edition. - stefan-jansen/machine-learning-for-trading

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@PtrPomorski

Piotr Pomorski

11 days

@MichaelAArouet Poland pretty much stopped being a joke about 15 years ago. The interesting trend nowadays is that Poles living abroad have been coming back and many Westerners or Nordics are moving to Poland as well (especially pensioners).

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@PtrPomorski

Piotr Pomorski

1 year

@CFC_Janty When you get your squad for free on craigslist

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@PtrPomorski

Piotr Pomorski

6 months

@AbsoluteBruno That’s actually 4 years after oil money which makes it even more depressing

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@PtrPomorski

Piotr Pomorski

9 days

Here is an interesting repo on financial data science you can take a look at today: Pretty good examples of applying various models or building strategies.

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GitHub - financial-data-science/CFDS: A series of interactive labs we prepared for the Chartered...

A series of interactive labs we prepared for the Chartered Financial Data Scientist Certification. The content of the series is based on Python, IPython Notebook, and PyTorch. - financial-data-scie...

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@PtrPomorski

Piotr Pomorski

1 year

Just a reminder that this beauty exists: . My favourite package to integrate ML predictions with strategy backtesting.

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GitHub - edtechre/pybroker: Algorithmic Trading in Python with Machine Learning

Algorithmic Trading in Python with Machine Learning - edtechre/pybroker

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@PtrPomorski

Piotr Pomorski

8 months

@TheGlobal_Index This would be one of the smartest decisions ever

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@PtrPomorski

Piotr Pomorski

1 year

@CantonasCoIIar aren't his stats already better after 3 years than KDB's after his first 3 years?

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@PtrPomorski

Piotr Pomorski

1 year

Another book tweet; an interesting position you may have missed that I think you should take a look at

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@PtrPomorski

Piotr Pomorski

2 months

Junior quants will nail their interview by solving Riemann hypothesis in less than 10 minutes just to do this on their first day: rets = np.log(px_close.diff())

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@PtrPomorski

Piotr Pomorski

2 months

I'm almost done with "Advanced Portfolio Management", and this will be my next

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@PtrPomorski

Piotr Pomorski

1 year

Can’t believe I did not mention this one before: methods of portfolio management when the market turns south

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@PtrPomorski

Piotr Pomorski

7 months

A reminder that you can learn so much from this financial machine learning repo, it’s one of the best of its kind:

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GitHub - stefan-jansen/machine-learning-for-trading: Code for Machine Learning for Algorithmic...

Code for Machine Learning for Algorithmic Trading, 2nd edition. - stefan-jansen/machine-learning-for-trading

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@PtrPomorski

Piotr Pomorski

1 year

Pretty cool repo with various tools & guides used in financial machine learning. The downside is that it’s outdated, so some of the repos listed may not really work anymore.

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GitHub - firmai/financial-machine-learning: A curated list of practical financial machine learning...

A curated list of practical financial machine learning tools and applications. - firmai/financial-machine-learning

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@PtrPomorski

Piotr Pomorski

10 months

Now you know where to apply; Citadel’s consistency is ridiculous…

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@PtrPomorski

Piotr Pomorski

1 year

But this one you ought to know, if you have not read it yet, just do it.

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@PtrPomorski

Piotr Pomorski

10 months

Alright, have something neat for you this weekend -- have stumbled upon this financial machine learning repo recently, you may find stuff that interests you, from theory to practice:

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GitHub - grananqvist/Awesome-Quant-Machine-Learning-Trading: Quant/Algorithm trading resources with...

Quant/Algorithm trading resources with an emphasis on Machine Learning - grananqvist/Awesome-Quant-Machine-Learning-Trading

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@PtrPomorski

Piotr Pomorski

2 months

Probably the biggest transition shock is the biologist with a PhD from MIT joining RenTech after having applied complex deep neural nets in genomics or protein structures in their previous job, just to run a linear reg model with one feature now.

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@PtrPomorski

Piotr Pomorski

9 months

Just a reminder to take a look at this amazing repo with financial machine learning materials:

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GitHub - firmai/financial-machine-learning: A curated list of practical financial machine learning...

A curated list of practical financial machine learning tools and applications. - firmai/financial-machine-learning

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@PtrPomorski

Piotr Pomorski

1 year

@CFCDUBois They'll just get him for free next year

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@PtrPomorski

Piotr Pomorski

1 month

Reminder of an old modelling trick that never dies: - Linear regs (l1/l2/elasticnet) as a starter. - LightGBM for pretty much everything as it’s fast and accurate. - CatBoost if you have many categorical features. - Random Forest if your OOS variance is too high from LightGBM. -

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@PtrPomorski

Piotr Pomorski

1 month

I've stumbled upon this book somewhere here on Twitter and have put it through the notebook LM; man, it's gold! And finally a good position that talks about different asset classes, not just equities. Bond/credit/alternatives risk premia, fx carry, commodities; of course, vol,

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@PtrPomorski

Piotr Pomorski

1 year

@TrollFootball If you think Haaland really cost €60m then boi I have bad news for you. You have no idea how much BVB got throughout last season.

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@PtrPomorski

Piotr Pomorski

1 year

This is a brand new one on financial machine learning, haven't read it, but will do asap, as it seems great from the description!

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@PtrPomorski

Piotr Pomorski

4 months

Junior quant interviews: “try solving the Riemann hypothesis in less than 10 minutes” Senior quant interviews: “your model has equity R2 of 0.7, is that odd? Also, how would you go about your day if you woke up as a worm?”

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@PtrPomorski

Piotr Pomorski

7 months

Something to check out on Sunday, a nee portfolio optimisation package built on top of sklearn:

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GitHub - skfolio/skfolio: Python library for portfolio optimization built on top of scikit-learn

Python library for portfolio optimization built on top of scikit-learn - skfolio/skfolio

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@PtrPomorski

Piotr Pomorski

3 months

EMAs solve 99% of quant problems

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@PtrPomorski

Piotr Pomorski

1 year

Have just started reading this one, as it was circling around on my twitter feed a while back; wonder how it differs from the Ernest Chan's book I've tweeted about recently.

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@PtrPomorski

Piotr Pomorski

27 days

@pitdesi this is why the true flex are the bags being produced in small boutiques, not dior, kate spade, or other cheap chanel

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@PtrPomorski

Piotr Pomorski

1 year

After I had recalled the "100-page ML book", I got asked about other ML positions for starters. I think this one is also great, particularly if somebody wants to dive deeper into financial machine learning

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@PtrPomorski

Piotr Pomorski

1 year

This just had to be done, I am so sorry

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@PtrPomorski

Piotr Pomorski

2 months

Leakage here is top notch!

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Starter: High Frequency Bitcoin Forecasting

Explore and run machine learning code with Kaggle Notebooks | Using data from High Frequency Crypto Limit Order Book Data

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@PtrPomorski

Piotr Pomorski

1 year

Another interesting repo to check out, FinGPT: ; applying AGI to asset allocation and trading. The caveat is, it thrives on OpenAI API, would be better it the LLM was free but worry not, I want to do some research after my PhD is done.

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GitHub - AI4Finance-Foundation/FinGPT: FinGPT: Open-Source Financial Large Language Models!...

FinGPT: Open-Source Financial Large Language Models! Revolutionize 🔥 We release the trained model on HuggingFace. - AI4Finance-Foundation/FinGPT

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@PtrPomorski

Piotr Pomorski

4 months

Tech hiring nowadays: "oh, you have a PhD from MIT in rocket science and recently worked on developing software that sent Artemis to the moon? Cool stuff, here is the Hackerrank interview, we need to see if your Python is strong enough"

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@PtrPomorski

Piotr Pomorski

3 months

Using traditional quant and machine learning you can: - detect a regime shift using a technique of choice (e.g., Markov, SKF) and create labels out of it; - apply trees to predict the switch ex ante; - create a strategy following the predicted regime and optimise it; - profit!

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@PtrPomorski

Piotr Pomorski

1 month

Some cool notebooks/code blocks showing how to implement deep hedging:

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GitHub - hansbuehler/deephedging: Implementation of the vanilla Deep Hedging engine

Implementation of the vanilla Deep Hedging engine. Contribute to hansbuehler/deephedging development by creating an account on GitHub.

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@PtrPomorski

Piotr Pomorski

1 year

You'll like this one: . A repo containing links to a bunch of packages on data sources, feature engineering, backtesting, trading, and risk analysis (among others). Interestingly, not only for Python but also, e.g., R, Julia, or Java. Enjoy!

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GitHub - wilsonfreitas/awesome-quant: A curated list of insanely awesome libraries, packages and...

A curated list of insanely awesome libraries, packages and resources for Quants (Quantitative Finance) - wilsonfreitas/awesome-quant

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@PtrPomorski

Piotr Pomorski

1 year

This book has been circling around on my linkedin feed, seems interesting enough to have a go at it. Thoughts?

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@PtrPomorski

Piotr Pomorski

11 days

Stealing from @quant_arb 's manual, this is an interesting repo to go over: A lot of helpful implementations, many you have to treat with a grain of salt (not "Kalman Filter and Pairs Trading"!) but at least they can direct you at the right path.

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GitHub - letianzj/QuantResearch: Quantitative analysis, strategies and backtests

Quantitative analysis, strategies and backtests. Contribute to letianzj/QuantResearch development by creating an account on GitHub.

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@PtrPomorski

Piotr Pomorski

5 months

Thanks to someone who recommended me PythonAnywhere, it's far superior to Google Colab and way cheaper than SageMaker. It's literally as if you were working locally but can schedule jobs with ease and set up your own database.

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@PtrPomorski

Piotr Pomorski

1 year

@BlueWolf_09 Pretty sure that's why

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@PtrPomorski

Piotr Pomorski

3 months

My favourite quants of all time: 1. Jim Simons 2. Max Cohen from Pi (1997) 3. Alan Turing 4. @CliffordAsness 5. Ken Griffin … 69. Oscar Martinez & Ryan Gosling ex aequo … 420. Alex Gerko … 777. Myself

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@PtrPomorski

Piotr Pomorski

5 months

Did I mention that this repo exists: ? Pretty much all you need to start (and continue) your journey in classic and modern quant finance. Something to browse over the weekend!

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GitHub - wilsonfreitas/awesome-quant: A curated list of insanely awesome libraries, packages and...

A curated list of insanely awesome libraries, packages and resources for Quants (Quantitative Finance) - wilsonfreitas/awesome-quant

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@PtrPomorski

Piotr Pomorski

1 year

I’ll keep reminding about this: fractional differencing is my favourite way of transforming time-series data, where your only worry is the order of integration between 0-1 (higher -> less memory, more stationary; lower -> more memory, less stationary).

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GitHub - fracdiff/fracdiff: Compute fractional differentiation super-fast. Processes time-series to...

Compute fractional differentiation super-fast. Processes time-series to be stationary while preserving memory. cf. "Advances in Financial Machine Learning" by M. Prado. - fracdiff/fracdiff

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@PtrPomorski

Piotr Pomorski

1 year

Riskfolio is honestly a gold mine, like check out this:

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@PtrPomorski

Piotr Pomorski

5 months

Papers like this is a great thing to read over the weekend, "Machine learning techniques and data for stock market forecasting: A literature review",

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Piotr Pomorski

10 months

Another neatly curated list of useful tools for financial machine learning: . Although some of this stuff is outdated…

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GitHub - georgezouq/awesome-ai-in-finance: 🔬 A curated list of awesome LLMs & deep learning...

🔬 A curated list of awesome LLMs & deep learning strategies & tools in financial market. - georgezouq/awesome-ai-in-finance

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@PtrPomorski

Piotr Pomorski

3 months

No trader, no matter the skill, wealth, nor the firm can beat this guy pumping the MBS market at Salomon Brothers in the 80s

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@PtrPomorski

Piotr Pomorski

10 months

Got another cool repo worth taking a look at, this time purely time series: Thanks @NainaChaturved8

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GitHub - Coder-World04/Time-Series-Analysis-and-Forecasting: This repository contains everything...

This repository contains everything you need to become proficient in Time Series Analysis and Forecasting - Coder-World04/Time-Series-Analysis-and-Forecasting

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@PtrPomorski

Piotr Pomorski

8 months

@alifarhat79 My favourite part about Epstein was that when this came out suddenly billionaires (like Gates or Bezos) started divorcing their wifes

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@PtrPomorski

Piotr Pomorski

6 months

I’ve made it guys, all because of the Kalman filter trick!

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Piotr Pomorski

1 year

OK, so I read about Nested Clustered Optimisation from @lopezdeprado couple of days back, and now I just found the way to simply implement it step by step with ease: . Riskfolio has tons of stuff like this, no need to join Goldman to become a top quant.

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@PtrPomorski

Piotr Pomorski

27 days

Good news, my PhD thesis is finally available online! No need to DM me over and over, you can download it here:

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@PtrPomorski

Piotr Pomorski

1 year

@vihan13singh I need to start smoking then it seems

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@PtrPomorski

Piotr Pomorski

1 month

@CramerTracker „It’s over when I say it’s over”

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@PtrPomorski

Piotr Pomorski

1 month

Great read from Two Sigma on regime modeling via machine learning: Even though unsupervised, the GMM approach can be used as a label generator for a subsequent multiclass classification (ex ante).

A Machine Learning Approach to Regime Modeling - Two Sigma

The authors take a machine learning approach to market regime modeling, applying a Gaussian Mixture Model to the factors in the Two Sigma Factor Lens.

www.twosigma.com

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@PtrPomorski

Piotr Pomorski

3 months

@HighyieldHarry that's Jack Dinklage actually

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@PtrPomorski

Piotr Pomorski

1 year

IMO, you can do everything in financial machine learning with these two models: linear/logistic reg and lightgbm. Random Forest also works but then again you can just use a ‘rf’ booster in LGBM. And forget about neural nets.

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@PtrPomorski

Piotr Pomorski

3 months

@HumansNoContext $1 trillion, I know one Jesus from Mexico, he ain't worth the 10 minutes

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@PtrPomorski

Piotr Pomorski

3 months

"Machine learning for quantitative finance: fast derivative pricing, hedging and fitting" TL:DR: - Gaussian Process Regression (GPR) can be used to effectively model and predict various financial quantities, such as option Greeks like Gamma, implied

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Machine learning for quantitative finance: fast derivative pricing, hedging and fitting

In this paper, we show how we can deploy machine learning techniques in the context of traditional quant problems. We illustrate that for many classical problems, we can arrive at speed-ups of seve...

www.tandfonline.com

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@PtrPomorski

Piotr Pomorski

1 year

Pro tip for Sunday: Best way to move from finance and economics to quant / machine learning is to dive deep into econometrics. You'll learn statistics required to understand ML and become familiar with (almost) every problem related to time series data.

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@PtrPomorski

Piotr Pomorski

1 month

@Icecolepalma @TrollFootball Ref was generally pro Austrian, many such cases

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@PtrPomorski

Piotr Pomorski

1 month

Finally started reading this, ~800 pages, will jump around chapters I think

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@PtrPomorski

Piotr Pomorski

4 months

I very much like this repo with various code, videos, books, interviews, papers, etc on financial machine learning, even though it’s quite “old” (4y). Check it out:

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GitHub - grananqvist/Awesome-Quant-Machine-Learning-Trading: Quant/Algorithm trading resources with...

Quant/Algorithm trading resources with an emphasis on Machine Learning - grananqvist/Awesome-Quant-Machine-Learning-Trading

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@PtrPomorski

Piotr Pomorski

7 months

@TikTokInvestors If your financial advisor looks like this, you both go straight to jail

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@PtrPomorski

Piotr Pomorski

9 months

I’ve deployed this, basically p_t+1=p_t, I’m now tweeting this from my new Lambo

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@PtrPomorski

Piotr Pomorski

28 days

Riskfolio tutorials are an absolute gold, like this one: "Multi Assets Algorithmic Trading Backtesting with Vectorbt", I wonder, has anyone here tried playing around with it using expected (like preds) instead of historical returns; literally port =

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Riskfolio-Lib/examples/Tutorial 18 - Multi Assets Algorithmic Trading Backtesting with Vectorbt.i...

Portfolio Optimization and Quantitative Strategic Asset Allocation in Python - dcajasn/Riskfolio-Lib

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