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Gappy (Giuseppe Paleologo) Profile picture
Gappy (Giuseppe Paleologo)
@__paleologo
Quantitative Researcher. Personal posts. "The Elements of Quantitative Investing" is available for pre-order. Alter ego: @yogappygappy
7 subscribers
Nov 8, 2024 • 17 tweets • 3 min read
CUSUM is an algorithm for change-point detection. It's kind of magical. Here is a financial application, which is very important in itself, to showcase its magic.

A short informal 🧵, to be rewritten in a more formal technical note. Ready, let's go.

1/ Imagine you have a strategy a stream of daily (or, better, intraday) returns r[t].

One of the very basic problems in life is to know when your strategy's performance is degrading. Solving this can make or break you.

2/
Sep 13, 2024 • 7 tweets • 2 min read
I ran a mini-test for ChatGPT o-1. Since yesterday I said that Jensen's inequality underlies so much of everything (), I asked a questions that boils down to Jensen's. A 🧵. 1/ Here is the question. I remember reading something like this on X. It's a suitable question for a quant interview. 2/ Image
Aug 24, 2024 • 8 tweets • 2 min read
I just listened to @NateSilver538 's interview by @tylercowen . I was reminded of some podcasts on rational decision making that stayed with me. Also, I am reading about retail trading, and it's related. What follows is a very incomplete list.. 🧵 (1/8) OK, Silver & Cohen. Was fun. (2/8)open.spotify.com/episode/3IMBHo…
Jul 8, 2024 • 13 tweets • 2 min read
There's an article by @jasonzweigwsj on "Why Your Fund Manager Can’t Beat Today’s Stock Market" that I find interesting because it poses important questions (but I question the analysis). So a longish🧵👇 (1/n) wsj.com/finance/invest… The question: The CBOE DSPX Dispersion Index is up and the 3MCBOE implied Correlation is down. The intuition is that, if stock returns are less correlated, there are more independent bets to be made, and if you have skill, more money to be made too. (2/n)
May 28, 2024 • 4 tweets • 2 min read
A few thousand people have started following this account, so I thought I'd provide a quick intro.

My name is Giuseppe Paleologo. I effectively exist on twitter thanks to this tweet by @ByrneHobart, which outed me in sort of a funny way. (1/4)
So I am non-compete now. LinkedIn profile notwithstanding, I have not been forcibly unemployed that long for hedge fund standards.
And I happily worked for a long time in the math dept. of IBM Research.

All my recent tweeting is an interstitial activity in between jobs. (2/4)
May 25, 2024 • 5 tweets • 1 min read
There is a paper that I would strongly recommend: "Optimal Turnover, Liquidity, and Autocorrelation" by Baldacci, Benveniste, and Ritter.  🧵 (1/5) papers.ssrn.com/sol3/papers.cf… I will post more about the paper, because a) there is a lot to unpack in terms of applications and interpretation; b) the proof is a bit elliptic, and so I will expand it.
Meanwhile, take a read. (2./5)

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