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JPM-Big Data and AI Strategies Machine Learning and Alternative Data Approach to Investing

JPM-Big Data and AI Strategies Machine Learning and Alternative Data Approach to Investing

I have been looking for this for months and finally found it. Brain-fried guaranteed.
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D Le Viet
More about seasonality

More about seasonality

Seasonal behaviour of prices would suggest that assets show predictable behaviour during certain months, days of the week, calendar seasons…
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More and more to read (note to self)

More and more to read (note to self)

Pdf loading from medium is slow, please give it a couple sec
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Seasonality for October

Seasonality for October

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Papers from AQR

Papers from AQR

Momentum Crashes: http://www.sciencedirect.com/science/article/pii/S0304405X16301490
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Awesome resources from Cantab

Awesome resources from Cantab

“ The rules of thumb of systematic modelling is that if one can’t generate profits with relatively simple models then more sophisticated…
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Papers from AHL

Papers from AHL

TREND FOLLOWING: EQUITY AND BOND CRISIS ALPHA…
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Some strategies from Oxford Capital

Some strategies from Oxford Capital

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Cointegration

Cointegration

As i already investigate the futures inter-market correlation , lets investigate inter-market cointegration (since 01/01/2017) as per above
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Some momentum strategies

Some momentum strategies

Beating SPX by miles, however Sharpe ratio only 0.85. Its quite difficult to get high Sharpe…
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101 Alphas

101 Alphas

Great paper about alphas:
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July Seasonal

July Seasonal

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When VIX spiking 40% or more

When VIX spiking 40% or more

When VIX spiked 40% or more in the pass?
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Low VIX and VIX returns

Low VIX and VIX returns

When VIX cross below 10 and VIX return X days later
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Monte Carlo Monte Carlo

Monte Carlo Monte Carlo

Various applications of Monte Carlo
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Cool & free tutorials

Cool & free tutorials

Python Data Science Handbook: https://github.com/jakevdp/PythonDataScienceHandbook
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Futures on FOMC day

Futures on FOMC day

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May seasonal for Indexes/ Commodities/ Bonds (From 198x/2002/2009).

May seasonal for Indexes/ Commodities/ Bonds (From 198x/2002/2009).

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Python/Numpy/Pandas/Scikit/C++/Spark

Python/Numpy/Pandas/Scikit/C++/Spark

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The Periodic Table of Data Science

The Periodic Table of Data Science

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Are Moving averages predictive v2?

Are Moving averages predictive v2?

Another ways to look at moving average is to see whether price is under/over certain averages
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Are moving average predictive?

Are moving average predictive?

Everybody is talking about moving averages.Do they have predictive forecasting power? For simplicity I use only 200 and 50 SMA. The simple…
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Commitment of traders — COT

Commitment of traders — COT

There are interesting relationships between price and commitment of traders
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Best day of the week?

Best day of the week?

Any edge for trading in particular day of the week ?
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INTER-MARKET CORRELATIONS FUTURES MARKETS

INTER-MARKET CORRELATIONS FUTURES MARKETS

I like inter-market strategies, and correlation matrix definitely helps in research
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