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Stationarity Isn’t The Special Case, Nonstationarity Is
5 Facts You Need to Know Before Using Nonstationary Kernels and Time Series
How Much Juice Is There In Your Data?
How Much Juice Is There In Your Data?
An Information-Theoretic Answer Applied To Kaggle, With Code.
A Primer On Copulas From A Machine Learning Perspective
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.