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Jan
28
comment Memory-efficient clustering algorithm for large time-series datasets
I already looked at sklearn and a few other libraries to check if they had something that would do the job. But, almost all algorithms are atleast O(2) in memory. That being said, tSNE looks better in memory requirements and I'm trying it out on my dataset right now. Thanks for the suggestions Sergey!
Jan
25
asked Memory-efficient clustering algorithm for large time-series datasets
May
22
awarded  Nice Question
Mar
15
awarded  Popular Question
Mar
27
comment How are momentum and reversion long/short strategies dynamically combined in trading?
Agree. Over time and with continued research/efforts, I have realised that the apparent profitability of time-series reversion stems from tracking the first differential of a very cyclic market. However, the kind of reversion I had in mind is not necessarily time series reversion but more of cross-sectional reversion and intra-industry play.
Mar
27
comment Controlling portfolio concentration
yes, i am working with futures. I think your understanding of the underlying issue makes sense. Deceptive (under)estimates of volatility seem to be the bane for risk parity. Could you please elaborate on the non-linear GARCH models that you are referring to? Is there any reference I can look up in this context?
Mar
17
accepted How are momentum and reversion long/short strategies dynamically combined in trading?
Mar
16
asked Controlling portfolio concentration
Feb
5
awarded  Popular Question
Jan
15
comment Inferring signals in absence of sign of principal components (PCA)?
I was hoping to use PCA to extract the slope information and implement a contango/backwardation strategy using information about the roll yields inferred by this slope PC. If the sign is arbitrary, I'm left with only the magnitude. Am I missing something? PS - I am trying to replicate the results of this paper: papers.ssrn.com/sol3/papers.cfm?abstract_id=1605211
Jan
15
asked Inferring signals in absence of sign of principal components (PCA)?
Apr
20
asked How are momentum and reversion long/short strategies dynamically combined in trading?
Jan
22
awarded  Scholar
Jan
22
comment How to use macroeconomic indicators for long/short trading strategies?
That helped! Quite a lot!! Thank you. :)
Jan
22
accepted How to use macroeconomic indicators for long/short trading strategies?
Jan
21
awarded  Supporter
Jan
21
comment How to use macroeconomic indicators for long/short trading strategies?
No answers/directions yet. Anyone?!
Jan
20
awarded  Student
Jan
20
asked How to use macroeconomic indicators for long/short trading strategies?