All Questions
Tagged with data machine-learning
11 questions
1
vote
1
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110
views
Sampling dollar bars for ML model of multiple tickers
I have a Neural Network model that provides predictions for the future returns of a portfolio comprising stocks and cryptocurrencies. The original model operates on standard time bars and generates ...
- 213
5
votes
2
answers
680
views
ML/AI in fixed income vs equity
From my perception of learning different ML/AI applications to finance I found there are lots of them in equity and not as many in fixed income. I wonder if the markets are different in some ways and ...
- 493
1
vote
0
answers
60
views
ML/DS in fixed income asset management
I am new to the topic but I would like to read papers/books/anything interesting to learn more how ML and data science is used in buy side Fixed income Asset management firms. Factor investing/signals/...
- 493
1
vote
2
answers
750
views
What kind of data cleansing/scrubbing are hedge funds doing?
It's a well-known fact that several hedge funds have a handful of PhDs just doing data cleansing. All day. Every day.
What kind of data cleansing are they actually doing? Is it really that difficult? ...
- 181
1
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0
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300
views
Machine Learning model forecasting on real time data in python
I’m building a Forex trading system based on machine learning with Python and brokers API. I get price time series data + fundamental data and then i train the model on that. Model means SVM, RF, ...
5
votes
4
answers
362
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Does the non-causal nature of quant models limit their applicability?
I understand that to describe financial data, we build stochastic models and calibrate their parameters to past data. When coming up with new algorithms, we rely on rigorous backtesting to convince ...
- 671
1
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2
answers
2k
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How can I approximate Dollar Bars from Minute Data instead of Tick Data?
Having been influenced by de Prado's Advances in Machine learning book, I've set out to build the dollar bars (in which each bar represents a set dollar amount of transactions in the security) that he ...
- 15
0
votes
4
answers
578
views
Imputation of missing returns
I'm trying to calculate a historical VaR for a portfolio of futures, however there are certain days for which some assets are missing prices. Since the portfolio consists of many spread positions, the ...
- 83
0
votes
1
answer
114
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Subset selection to identify independent variables that impact the market?
Given a lot of market-related features (~100 independent variables such as emerging market, developed market, s&p 500, tech sector returns, etc), I need to select a subset of them that are ideally ...
- 649
3
votes
3
answers
2k
views
Appropriate way to normalize Bollinger Bands?
I am playing around with using neural nets to make predictions on market trends. I am currently feeding in a portfolio of historical data of many stocks, and am now implementing several technical ...
- 193
-1
votes
1
answer
581
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How to use exponential smoothing for trading?
I was wondering if there's a rule of thumb regarding the value of alpha used when performing exponential smoothing. I plan to use this technique to preprocess my data before feeding them into my ...
- 1