Alex BotsulaNavigating the Matrix: The Impact of Covariance on Portfolio StabilityFeb 1, 2023Feb 1, 2023
Alex BotsulaUsing Kalman filters to derive predictive factors from limit order book dataThis post is based on the experience I have got while taking part in a very interesting forecasting competition hosted by XTX…Dec 6, 20192Dec 6, 20192
Alex BotsulaSelection of Sparse Mean-reverting Portfolios — Part 1Mean-reverting portfolio construction is an exciting area that involves a wide range of forecasting and optimisation techniques. In Part 1…Jun 9, 2019Jun 9, 2019