Overfitting II: Out-of-Sample Testing
Previously I wrote a note on overfitting during training. Now after reading that, let's imagine a normal scenario-You're trying to…
Condé Nast Portfolio Article
I was included in a recent article on the future of quantitative finance:Future of Wall Street: Rise of the MachinesSam…
Interactive Brokers via Matlab
Here's a video guide to using the Interactive Brokers API with Matlab.The following are the notes that go along with…
Alternative Hardware
I recently became aware of two technologies which I highly doubt I will have the opportunity to test due to…
Survivorship Bias
Survivorship bias is a simple idea but it's a good time to bring it up after the previous notes on…
More Matlab/IB Code
Here is some more Matlab code to interact with Interactive Brokers' API. Check the previous tutorial on connecting Matlab to…
Volatility vs. Leverage
Recently I've been curious about volatility and leverage. Here's the problem: let's say you make or lose 10% of your…
Weirdness is the “Curse of Dimensionality”
I read the following well-written section in "The Elements of Statistical Learning" by Friedman, Hastie, & Tibshirani. This curse of…
Information Theory Betting
The following is a very interesting problem copied from p.132 of "Elements of Information Theory" by Cover and Thomas. I've…
House Hearing on Hedge Funds
http://video.aol.com/video-detail/house-oversight-cmte-hearing-on-turmoil-in-the-financial-markets/1389143189/?icid=VIDLRVGOV04The politicians love their ambiguously applicable metaphors.
