You have been given the daily returns of several strategies / funds over the past year, how would you determine which one provides the best investment opportunity given only this information?
A naive approach might be to select the strategy with the best-annualized return, however, this ignores the level of potential risk that may materialize in future returns. For instance, suppose that the returns on Strategy A are better than that of Strategy B, but strategy A has a higher variance in daily returns (volatility). …
Applications of Monte Carlo Methods
Markowitz Portfolio Optimisation seeks to find a set of weights for N assets in a portfolio such that the risk adjusted return of the portfolio is maximised (aka the Sharpe Ratio).
This is the portfolio the so called “rational investor” would choose as clearly no one would want a portfolio that did not generate the best risk adjusted return right?
Let us introduce this with a little bit of mathematics to accompany this. Capital “Sigma” is the covariance matrix of asset returns, with entries measuring the strength with which one assets returns tend to move…
A company’s performance relative to its peers will be ultimately driven by management’s strategic decision making ability to drive growth and position the organisation for changing market conditions.
Whilst investors ultimately care about picking stocks with management teams that can generate returns for shareholders, it is also important to be able to correctly time these investments or trades. An extreme example would be to short a stock that where goes bankrupt, but in the near term skyrockets, forcing you to close at a loss.
After recently competing in the 2019 APTOS Blindness Detection Kaggle Competition and finishing in top 32%, I thought I would share my process for training convolutional neural networks. My only prior deep learning experience was completing the Deeplearning.ai Specialisation, hence this is all you should need to read this article.
I spent the last 2–3 months working on and off on the APTOS 2019 Blindness Detection Competition on Kaggle, which required you to…
Unity is a great tool for prototyping everything from games, to interactive visualisations. In this article, we run through all you need to know to get started using Unity.
First, a little bit about me: I’m a hobbyist unity developer, 3d modeler and graphic designer who’s worked with Unity and Blender for over 5 years. I’m now a Financial Maths student at University College Dublin, and occasionally I do freelance graphic design, web prototyping, and game prototyping.
This article is aimed at anyone who has never used Unity before, but has some previous experience programming or in web design /…
About the author
Hugo Dolan is an undergraduate Financial Mathematics student at University College Dublin. This is mostly based and motivated by recent data analytics and machine learning experiences in the NFL Punt Analytics Kaggle Competition and the being part of the team who won the Citadel Dublin Data Open, along with material from Stanford’s CS229 online course.
This article contains the following sections:
Hugo Dolan is a Dubai College graduate class of 2018 who studied Maths, Further Maths, Physics and DT. He has over 5 years of programming as a hobby and is currently studying Financial Mathematics at University College Dublin. He is part of an international team competing in Citadel Securities Data Open Championships @ The NYSE in April 2019
Hey guys, over the past few years I’ve written a number of data analytics and web design related articles and currently a writer for Towards Data Science. I’m going to continually update this resource as I publish more articles.
The primary purpose…
After recently using Pandas and Matplotlib to produce the graphs / analysis for this article on China’s property bubble , and creating a random forrest regression model to find undervalued used cars (more on this soon). I decided to put together this practical guide, which should hopefully be enough to get you up and running with your own data exploration using Pandas and MPL!
This article is broken up into the following Sections:
The Basic Requirements
Visualising Your Data
The Chinese economy shares many of the same characteristics displayed in Canada’s present property bubble; rising property prices and extraordinary levels of Non Financial Debt (NFD 290% of GDP) . The actual value of Canada’s non financial debt however pales into insignificance in comparison to China’s (Figure 1) and is a serious cause for concern.
Whilst for both countries; key indicators (NFD, Property Price Index, GNI per capita) appear to move reasonably in tandem up to the end of 2015. …
I’ve written this article at the end of my latest Angular4 project: Moveseats.com , which was architected to work in real time across many clients (See demo). Now its time share what I learnt while its still fresh!
Git repo link (For walkthrough below)
If there are issues or helpful improvements you wish to make, leave a comment or fork my repo, Thanks.
A reactive application can help to create:
A reactive applications can…