Congratulations to Chien Kuo, our Product & Technology Advisor, joining First Round as a mentor. Chien has been an invaluable … Continue Reading Chien Kuo joins First Round as a mentor.
This paper is a practical review of training a Black-Litterman allocation algorithm with LSTM-RNN, the Long Short-Term Memory Recurrent Neural … Continue Reading Research Review: Novel Asset Allocation: LSTM-Based Black-Litterman Model
Momentum strategy provides distinguishable risk-adjust returns and a hedging mechanism for left-tail events. For long, momentum also has a caveat … Continue Reading Research Review: Enhancing Time-Series Momentum Strategies Using Deep Neutral Networks
“The winners will be managers who thrive on creative discovery and position themselves at the intersection of domain, data, and … Continue Reading Research Review: The Golden Age of Quant
Gamma Paradigm studies dynamic stock-bond allocation in our Adaptive Beta strategy. Simple observation on the correlation between the two assets … Continue Reading Research Review: Stocks, Bonds, and Causality
News: Gamma Paradigm Capital Founder Describes Being an Entrepreneur in Wall Street’s Financial District
Peter Lin, Ph.D., a Taiwanese academic turned entrepreneur, founded asset management company, Gamma Paradigm Capital, in New York five years … Continue Reading News: Gamma Paradigm Capital Founder Describes Being an Entrepreneur in Wall Street’s Financial District
Factor model can provide some predictive power to digital assets, especially cryptocurrency. The model might also indicate a new asset … Continue Reading Research Review: Toward a Factor Structure in Crypto Asset Returns
With more than a thousand coins in the current crypto market, there might be an analytical approach to guide us … Continue Reading Research Review: Identify Successful ICO
Examining on Post Earnings Announcement Drift (PEAD), we deliver a long-short strategy generating 9.96% alpha with -0.45 S&P 500 beta. … Continue Reading GPR Report – Behavioral Finance [慣性盈餘]
STOCK TRADING via A.I. & MACHINE LEARNING WORKSHOP Saturday, February 9 and 16, 2019 | 9:30 a.m. to 1:30 p.m. … Continue Reading Dr. Peter Lin at Columbia University MACHINE LEARNING WORKSHOP
There is no excerpt because this is a protected post.
Autocorrelation We often need to characterize time series autocorrelation, , which is defined as When the sequence is weakly stationary, … Continue Reading AMRA Model and Kalman Filter (01)
OHLC from Tick Data This post shows you how to process tick data and generate Open-High-Low-Close (OHLC) price statistics. Tick … Continue Reading Tick Data and Charting for NBBO
Our previous article on Kalman filter gave us a simple linear regression output. The model is designed to handle noisy … Continue Reading Kalman Filter (02) – S&P 500 and Dow Jones Pairs Trading
Linear Regression Let’s get some Kalman filter basics and start playing around with it. There is a long history about … Continue Reading Kalman Filter (01) – S&P 500 and Dow Jones Linear Regression