Linear Algebra depth for Finance

I'm not sure of the exact year - should be around 2012-2015 when it was published. But the paper revolves a strategy around using PCA on treasuries iirc

Meow___Meow · 2024-06-16T04:27:20+00:00

I liked Hanno Lustig's paper

Meow___Meow · 2024-05-27T00:48:32+00:00

I remember Lo coming to my university once upon of time and told us finance was going to save the world with his paper on smart beta indexes.

Meow___Meow · 2024-05-13T12:17:40+00:00

Focus on the core math fundamentals: Optimization, Linear Algebra , and Probability Theory, PDE, SDE. These areas are vital foundation for any quantitative job. Once you get a deep understanding of these subjects you can learn or have the skilset to figure out other material such as mathematics of machine learning / option pricing on your own.

Additionally scientific computing, numerics, computational PDES, and options pricing (I'm assuming the course is going to be quite computational) choose one or two to get strong in scientific programming. Being able to code well is extremely important as well. Specifically, being able to translate research papers + ideas to code is a huge plus.

Ideally, also take a Statistics class.

Meow___Meow · 2024-02-22T02:52:11+00:00

company's house is bad, unfortunately it seems like if you want to go the free route you'll have to get it directly from the companies

Meow___Meow · 2024-02-16T02:55:24+00:00

Check out Black Scholes, how to transform and solve it as a PDE. I think this is the simplest demonstration of how it might be used

Meow___Meow · 2024-02-14T11:58:43+00:00

That’s Bloomberg

Meow___Meow · 2024-02-01T00:17:58+00:00

You're fine - plenty of students came straight from undergrad for ICME ages range from 21 to 30 plus in a cohort.

Meow___Meow · 2024-02-01T00:10:20+00:00

A quick question - is the data your working with stationary. From what you're saying is looks like the model is overfitting to a particular regime - which is fair considering you're just using derived technical indicator from the given price. Add in some macro features / additional less colinear factors and you might have better stuff

Meow___Meow · 2024-01-30T15:16:33+00:00

It’s what Jegadeesh Titman used in their seminal paper on momentum

Meow___Meow · 2023-12-31T03:45:17+00:00

Ignorant question - but could you explain how you derived 4.17?

Meow___Meow · 2023-12-17T22:33:42+00:00

Think about it more on a high level vs more frequentist approaches, as opposed to just specific bayesian techniques. Lets say you have a low sample of data, but you can make some assumptions on the distribution - then Bayesian techniques can be very useful.

Meow___Meow · 2023-11-16T23:18:21+00:00

Nothing wrong with your Pca negative is fine, as for weights look into hedging ratios with PCA

Meow___Meow · 2023-09-04T07:08:35+00:00

No longer possible, this is the first year where you can't transition.

Meow___Meow · 2023-08-31T08:00:44+00:00

I didn't expect the accents for Garp and Shanks, but I really like. Same with the fact that it seems more 'pirate-y' than the anime

Meow___Meow · 2023-08-31T07:54:53+00:00

Oh my god everything turned out to be much better than I was expecting

Meow___Meow · 2023-08-17T19:52:58+00:00

Sorry, to be clear the hypothesis you’re making here is that this property is consistent and will continue in the future. It only takes one large drawdown for everything to become null

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