Tweet

HangukQuant

Jul 17 • 3 tweets • 1 min read

You can't do quantitative research without understanding the language of it.

Some useful linear algebra books to build your fundamentals, in order of abstractness:
1. LADR: amazon.com/Linear-Algebra…

2. Linear Algebra and Learning from Data: amazon.com/Linear-Algebra…

3. Linear Algebra: Theory, Intuition and Code
amazon.com/Linear-Algebra…

• • •

Missing some Tweet in this thread? You can try to force a refresh

This Thread may be Removed Anytime!

Twitter may remove this content at anytime! Save it as PDF for later use!

More from @HangukQuant

HangukQuant

@HangukQuant

Jun 16

Stars Aligned in the East of Asia; Chinese Equities?
Here’s 7 reasons why I am looking at the Chinese market, and some malleable thoughts.

1. Russia vs Ukraine

The moratorium of exports out of Russia into the Western World undoubtedly causes upward pressure on energy prices and commodities alike. Everything tangible goes up. Meanwhile, China and Russia are holding hands and ramping up international trade.

The last 20 years have seen Russia increase exports to China at annualized rate of >10%. Actually, they aren’t really holding hands now.

Read 25 tweets

HangukQuant

@HangukQuant

May 14

Reading De Prado again - the same cycle we follow for alphas: embargo, paper trading, graduation, reallocation and decommission. I commented a little the reallocation in my SS, and effectively about having tiers in the attractiveness of strategies. The tiered approach effectively

Is also (approximately) concave in signal allocation as a function of time.

@therobotjames

Additionally, a good usage of combinatorics can answer the probability that your alpha has decayed: (believe this is by @therobotjames ) robotwealth.com/a-quants-appro… , which is effectively the decommission.

Read 4 tweets