In this post we briefly review the Kalman Filter and we use it to compute the beta between 2 stock returns using Python, though the procedure can also be used in many other fields with an appropiate translation.
Aug 15, 2021
In this post we review the methodology for constructing 2 dollar indices. We also code simple procedures to obtain those indices programmatically. Finally, we propose a method to compute a USD dollar index using PCA.
Jul 29, 2021
As much as I like PyTorch I think is not a beginner-friendly deep learning framework, especially if you do not know how the optimization process of a model works. There are great tools out there, like PyTorch Lightning, that are designed to ease this process, but I believe it is always good to know how to create the basic building blocks. In this post, we build a simple Trainer class that facilitates the training process.
Jan 4, 2021
Assessing the speed of PyTorch, Tensorflow (eager on) and Numpy in different situations.
Dec 8, 2020
At some point in his/her career, any Data Scientist has to be able to manipulate time series data. I have been working as a Data Scientist and Quant Researcher for the last 14 months and I found little “cooking tips” for working with this type of data. Today, I would like to share some of those tips.
Dec 6, 2020