Petteri @Petteri74568593
Joined September 2021-
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Following244
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Lowkey-Advanced Ridge Regression (Part II): Non-Zero Priors, Subset Shrinkage, Cluster Shrinkage + Code featuring exclusive leaked DMs with @ryxcommar @macrocephalopod 👀 refs: @__paleologo @itsmartingale @AgustinLebron3 @OrthogonalAlpha giving access to some who RT as usual.
new post dropped plzzz check it out ma familia is in poverty: Farewell Episode: Risk Parity Without Correlations (yes it's possible, no it's not inverse vol) as usual giving access to some who RT reference @o_wutang @GRoditiD @GestaltU @macrocephalopod @itsmartingale…
new post dropped: Cross-Predictability Between Assets (Part I): All Signals Matter (sample code attached) ⚓ Cross-Predictability in Trend Signals 🤸Dynamic Portfolio Selection in Mean-Variance Optimisation 💹 Regression Equivalence in Modelling Cross-Predictability featuring…
new post dropped: All my homies hate LASSO (it's meant to be free so everyone who RT will get access 😃) 🔮how good is LASSO at recovering sparsity? 💡 lesson from a macro HF PM in building +150 forecasting models 🏰 (lack of) invariance of regularisation featuring stolen…
new post dropped: Should you combine positions or signals? (Part II): Having your cake and eating it too (sample code provided out of gratitude for the subs 🙏) 🔎hedging factor risk w crystal clear attribution 💹Jensen's inequality in portfolio construction 🔮managing…
New vid : Comment "1" below. 1 will win a $4500 NEO Tokyo s2. 3 get $500 (Must like follow n share) We are seeing the 1st rotation from BTC to ETH to a set of coins about to explode, specifically a few hidden ones in Gamblefi/LPs. Here's my game plan youtube.com/watch?v=fE2FRz…
Connect with the future of Web3! AIT Protocol's NFT Free Mint offers an exclusive chance to mint on @Coredao_Org, @BuildOnViction, and other platforms. Join us in the AI-driven revolution. 🌐🚀 @AITProtocol $AIT #AI #NFTs x.com/AITProtocol/st…
Connect with the future of Web3! AIT Protocol's NFT Free Mint offers an exclusive chance to mint on @Coredao_Org, @BuildOnViction, and other platforms. Join us in the AI-driven revolution. 🌐🚀 @AITProtocol $AIT #AI #NFTs x.com/AITProtocol/st…
Goshawk Trades @GoshawkTradez
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170 Followers 2K Following did my first Bitcoin TXID in 2015, started trading after a -99.3% hold. I trade for a prop shop. I larp about macro. I @tinvestimentos @apg_capital
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Rene @refon1004
1K Followers 4K Following Achieve financial freedom. Simple, One Small Investment could change your Entire Future. Check out now: https://t.co/fH7JLDvOs9
David Holt 🌴 @IDrawCharts
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alvinjamur @alvinjamur
4K Followers 893 Following Founder/QuantPM of SAC Synapse - 1st eq stat arb @SAC (‘93-‘04). Ex Founder/CoCIO of Katonah Capital (2014-19). Launching a revolution in stealth…
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Giuseppe Paleologo (a.. @__paleologo
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Darrin @darjohn25
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Avocado Toast @avocado_toast2
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Capital Flows @Globalflows
16K Followers 616 Following Discretionary Alpha Trader / In the information age, you simply need to be at the right place, at the right time, with the right information to succeed / ✞ 📖
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New book on the list.
This is Gary Stevenson. He was Citi Bank's most profitable trader in 2011, earning over $35,000,000 for the bank and a million-pound bonus. He has an incredible story and a powerful message. Here's a recent interview with him by LADbibleTV (@ladbible):
Thoughts on a Saturday afternoon. Writing a book is a painful process of removing. It's draining to write stuff to realize much later that it doesn't belong. I keep it an "EQI Discarded Sections" LaTeX doc, so it is not lost forever. Stuff I removed so far: -Black-Litterman…
This is a weirdly common failure mode in smart people who are new to finance. I can see the attraction - if you know the distribution of some process, then it opens up a load of analytic tools you can use to 'solve' for the right thing to do - but in practice it never works.
This is one of the problems that I see in very talented people. They ask too theoretical questions, and they always try to find a probability distribution of something right at the start of the research, without even understanding the relations and the topic.
"Elements of Quantitative Investing". Chapter 1: "The Map and the Territory". dropbox.com/scl/fi/frq7onf… This is an introductory chapter (with ch.2) on: -market participants -sources of alphas -the components of portfolio management -book organization If you don't have time to…
A reason why a strategy might work in the future with a demonstrable positive expected value is far and away more valuable to me than a stellar back test. My longest surviving approaches to evolved from observing superior players coupled with very specific domain knowledge.
When @therobotjames says things like: Find a simple edge Do simple things Winning takes care of all your wank questions about portfolio construction FFS save yourself and actually listen to him. It is sooo easy to spot the NGMI in quant trading.
Here are 3 Quant strategy types taught by a PhD professor worth $26,160. For free:
Here is the solution. If two portfolios have Sharpe within 30% of the ideal portfolio, they must be correlated to each other.
Some good answers. Now, the analytical lower bound, anyone?
Every pairs trading strategy in the literature catalogued A full thread! 🧵 [1/22]
@choffstein @ScottPh77711570 as if, almost, the semi-informed kwant model is hurt more than the noise trader - where the variance genuinely will wash out.
This is one of the craziest videos I’ve ever seen. Harry Mack is incredible.
a cool article about backtest: have you ever wondered why practitioners run regression as a pseudo-backtest? (one) reason is backtest ≈ predictive regression. this is only 1 page, the full book is a must read IMO. Inefficiently Efficient - Lasse Heje Pedersen
Working on my book chapter (and final NYU lecture) on theory and practice of backtesting. Calling out to all the readers: what is the most useful/insightful paper/article/blog post/sell side piece you have read on the subject? Link to it below. Your secrets are safe with me.
A nice visualization of linear systems, including ridgeless and ridge (@quantymacro will like)
Solving linear systems comes in different flavors. en.wikipedia.org/wiki/Least_squ…
#NYU students, I am going to cover estimates of idiosyncratic variance. A short thread because this is so beautiful. In finance factor models are called approximate or exact, depending on whether you assume idio returns are uncorrelated or correlated but the matrix is sparse.🧵
i saw a bunch of people saying that high-ish interest rates were very bad for risk assets. you shouldn't believe it when ppl say stuff like that ppl say all kinds of dumb stuff and you can investigate it yourself in five minutes to see if it's bollox or not.
Might as well give a shoutout to the nearest concentric cirle: @AgustinLebron3 @BeatzXBT @idoccor @thodoha @macrocephalopod @therobotjames @ScottPh77711570 @TCK_JRubano They are all much more prolific writers than I am. 🙏 Let’s be thankful for them.
@ScottPh77711570 @brianportnoy @KrisAbdelmessih @macrocephalopod @nope_its_lily @therobotjames @AgustinLebron3 For those curious, here’s what I learned from the people I listed: @KrisAbdelmessih is a master of teaching complex concepts in a relatable, accessible way. @therobotjames showed me how much rigor one can apply to mastering systematic trading as an individual. @nope_its_lily…
Imagine not owning an onchain pet on base in 2024. Free to mint, anyone can own it, gets ETH on volatility.
a friend of mine accidentally doxxed my HL vault yday. yes, this is mine. it started as a fun challenge but i truly enjoy using the platform. natives often think pair trading in a bull market is silly. well, i hope this shows otherwise. app.hyperliquid.xyz/vaults/0x4188e…
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