Today at least two of our group members will be busy at their Master Thesis’s defense! Dear graduates, I which you good luck! I think we will skip our today’s meeting because of the defense. I’m afraid we might be late for our regular time and guys must b really tired 🙃
Options and other stuffDear alll! #JonCHull@hunt4quant next chapter reading (in Russian) is scheduled for 17:00 today. The zoom is the same. See you ! https://us02web.zoom.us/j/933271498?pwd=MXBESlNEb2dCYmFtTFFZVjh5MVBJZz09 This time I try using “schedule live stream” as a…
My apologies for the late message. If you are not available (most of you are not available) please tell me 🙏
One of my clients, a reputed financial institution, purchased anintroductory course on ML models application to financial markets “All basic models used by banks and investment firms in 100 slides with no maths”
⚠️This is a brand new course ⚠️
I was given a permission to test the course with my students and I welcome you and any of your peers to join the webinar on May 13th at 18:00 Moscow time (in Russian).
🇬🇧 In fact my lecture is a translation from English to Russian (my client doesn’t speak English 😅) so I would be happy to give you the original lecture if we have enough listeners. If you prefer English version say it in comments, please. We will arrange a webinar.
⚠️ please bear in mind that this is 0% math lecture, feel free to bring those of your friends who are not familiar with formulas.
*Models I plan to consider today (in Russian!)*
1. Classification models: 1.1 Logit model 1.2.SVM 1.3 Decision trees: Random Forest, XGBoost 1.4 Neural Networks(MLP)
2. Regression 2.1 Linear Regression 2.2 Ridge 2.3 Lasso 2.4 kNN-regression 2.5 Decision trees 2.6 MLP
3. Time series analysis 3.1. ARIMA/SARIMA 3.2. ETS (Holt–Winters) 3.3 RNN (LSTM/GRU) 3.4 TCN 3.5 Seq2Seq + Attention
1. Futures and options contracts - Buying put options for a long position 2. Futures and options contracts - Selling call options for coverage (covered call) 3. Correlation instruments - Covering risks through correlated assets (stocks ↔ ETF, currency) 4. Pair trading strategies - Long-Short by spread deviation
Diversification strategies:
1. Selecting assets with low/negative correlation 2. Balancing different classes (stocks, bonds, commodity futures) 3. Mathematical models 3.1 Markowitz: optimization through the covariance matrix 3.2 Risk Parity: equal risk for each position 4. Selection algorithms 4.1 Genetic algorithms for weight selection 4.2 CVaR optimization for "tail" risk
Good day dear subscriber! Here is Argentex case briefly introduced by the Bloomberg. I suggest we can discuss it today (if we are having ou Jon C.Hull meeting as I proposed) 😅 If the majority of you is busy with your master thesis and projects let’s meet the next week
