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Modern Data Infrastructure Approach in Quant Finance - Part 1
Business requirements, challenges and competitions
In 1997, Joshua Levine developed the first equity electronic matching engine, called Island, and the engine executed the first trade. Before that, the market relied on human traders, or “specialists”, to match the buy and sell orders. Now It sounds natural that this human routine can be easily automated by... [Read More] -
Navigating Alpha Sizing - Insights from a Factor Risk Model and Cryptocurrency Experiment
Alpha Sizing, Factor Risk Modeling, and the Quest for Portfolio Perfection
It was a perplexing puzzle to me when I first read Giuseppe A. Paleologo’s book “Advanced Portfolio Management” in 2022. The book (in Chapter 6) introduces the concept of alpha sizing, a technique for allocating positions based on expected returns of alphas and risk. After an in-depth empirical analysis of... [Read More] -
Thoughts after PyCon IE 2023
Yes, I flew to Dublin again, following my previous week at the Dublin Marathon. I’m not sure why I am so drawn to Dublin, but it’s true that this was my fourth time to the city. This time, I went there for PyCon Ireland 2023. [Read More] -
A FASTER NumPy Needed
How much can we still speed up on NumPy?
Most quant libraries stand on the shoulders of giants, NumPy. Is it still possible to enhance the performance of NumPy components within these libraries? [Read More]