Math-Light Posts
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A Primer On Copulas From A Machine Learning Perspective
Why the success of any predictive model boils down to a copula and what every data scientist should know about them.
Non-Stationarity and Memory In Financial Markets
Non-Stationarity and Memory In Financial Markets
Why you shouldn’t trust any stationarity test, and why memory has nothing to do with non-stationarity.
The Black Swans In Your Market Neutral Portfolios (Part II)
The Black Swans In Your Market Neutral Portfolios (Part II)
Information-theoretic alternatives to Pearson's correlation and portfolio beta.
The Black Swans In Your Market Neutral Portfolios (Part I)
The Black Swans In Your Market Neutral Portfolios (Part I)
Pearson's correlation and linear regression in finance and economics.