Covariance Matrix Forecasting: Average Oracle Method
Continuing this series on covariance matrix forecasting (c.f. here and there for the previous posts), I will now describe a relatively recent1 data-driven, ...
External links
Handpicked blog posts on quantitative trading
Blog
Recent Posts
Value at Risk: Univariate Estimation Methods
Value-at-Risk (VaR) is one of the most commonly used risk measures in the financial industry1 in part thanks to its simplicity - because VaR reduces the mark...
Supervised Portfolios: A Supervised Machine Learning Approach to Portfolio Optimization
Standard portfolio allocation algorithms like Markowitz mean-variance optimization or Choueffati diversification ratio optimization usually take in input as...
Correlation-Based Clustering: Spectral Clustering Methods
Clustering consists in trying to identify groups of “similar behavior”1 - called clusters - from a dataset, according to some chosen characteristics. An exa...
Volatility Forecasting: HExp Model
In this series on volatility forecasting, I previously detailed the Heterogeneous AutoRegressive (HAR) volatility forecasting model that has become the workh...