mintegration blog


 

Digital Assets [0.07]

Posted on March 10, 2017, 12:50 p.m. by mintegration blog @ [source]

The digital asset world is anxiously waiting for the Securities and Exchange Commission’s decision on the Winklevoss Bitcoin Trust ETF (COIN). Digital Asset Services, LLC, the sponsor of the Winklevoss Bitcoin Trust, has filed a preliminary registration statement for the Trust with the U.S. Securities and Exchange Commission (SEC) to offer its Winklevoss Bitcoin Shares to investors after the Trust’s registration statement is declared effective by the SEC.

asset Bitcoin CME exchange registration sec services statement trust Winklevoss

 

Quandl will soon be offering intra-day data (1 min bars).

I was kindly given some data to test out (see below).

data database directions JSON kerf messaging quandl requests streaming zeromq

 

Wow, I enjoyed replicating this neatly written paper by Ronald Hochreiter. Evolution in the population of encodings is simulated by means of evolutionary processes; selection, crossover and mutation.

crossover determines evolutionary genotype member mutation population results returns solutions

 

Reuters Top 100 Innovative Universities [0.00]

Posted on Sept. 25, 2015, 5:52 p.m. by mintegration blog @ [source]

 

In my previous post I demonstrated how a risk parity portfolio could be calculated numerically using a Newton method. We can do this with PCTR constrained optimization by setting PCTR inequality constraints on portfolio assets, or groups of assets.

assets concentration constrained constraints de gini coefficient inequality optimization parity portfolio PCTR population portfolio

 

A Trendy and Innovative Investment Strategy [0.12]

Posted on Sept. 7, 2015, 7:32 p.m. by mintegration blog @ [source]

This quote was taken from an article last week in the FT.

Here I will demonstrate how a risk parity portfolio can be calculated quite easily using R.

By definition, a risk parity portfolio is one for which all percentage contributions to risk (PCTR) are equal. By the same definition, it means that the total contributions to risk (TCTR) are all equal also.

asset contributions definition equal infinitesimal MCTR means portfolio TCTR tells

 

The authors explore if there are features in accounting data and in historical price information that can help predict the stock price changes of companies.

The original source data was from the CRSP(Center for Research in Security Prices)/Compustat merged database (CCM); 7 technical features are calculated from CRSP and 44 fundamental features are obtained from Compustat.

ahead authors hyper model omitted parameters stock svm svm model trained type

 

Tap into the Pulse of the Markets [0.00]

Posted on Aug. 28, 2015, 5:36 p.m. by mintegration blog @ [source]

So to begin, here is a strategy I created recently, combining sentiment data with technical indicators, and using a machine learning classification technique named Support Vector Machines (SVM). This data too can be obtained through Quandl.

data obtained quandl