Open in app

Sign In

Write

Sign In

Andrey Babynin
Andrey Babynin

337 Followers

Home

About

Published in

DataDrivenInvestor

·Apr 4, 2021

Testing trading strategy with ML and hammer candle

The article is around testing the predictable power of a well-known feature of technical analysis: hammer. Hammer at the end of the downtrend has long been considered as a sign of trend reversal. In this article, I intend to use hammers as an entry point for short-term trading and enhance…

Trading

5 min read

Testing trading strategy with ML and hammer candle
Testing trading strategy with ML and hammer candle
Trading

5 min read


Mar 12, 2021

NFT: a closer look (March 5–11)

I week ago I decided to start tracking all the hype around NFT. For this purpose, I start to weekly monitor the top 100 positions on opensea.com. I collected statistics in collectables and art categories from the 5th of March to the 11th of March. …

Nft

2 min read

NFT: a closer look (March 5–11)
NFT: a closer look (March 5–11)
Nft

2 min read


Sep 7, 2020

Log-periodic power law singularity model and Tesla stock

In this article I try to explain the basics of LPPLS model using Excel and Tesla stock. And show how one may react to all the hype about Tesla (at least, from the model point of view) Theory The model is about exponential growth. In finance exponential growth is most…

Tesla

4 min read

Log-periodic power law singularity model and Tesla stock
Log-periodic power law singularity model and Tesla stock
Tesla

4 min read


Published in

DataDrivenInvestor

·Feb 26, 2020

Hierarchical Risk Parity in Portfolio Construction

This is a practical application of Marcos López de Prado articles (1 and 2) on portfolio optimization process. More specifically, I will overview the hierarchical risk parity approach (HRP), and one of its variations — theory-implied correlation matrcices approach. …

Finance

6 min read

Hierarchical Risk Parity in Portfolio Construction
Hierarchical Risk Parity in Portfolio Construction
Finance

6 min read


Feb 6, 2020

Reinforcement learning in Trading (part 2 - the last)

In the previous post, I started to write about my trading RL experiment. Today I decided to complete the description of the trading network (I coded it a year ago). Metrics (or features) Well, prices themselves are not very helpful for NN, returns too, because they are volatile (5 min) and exhibit stochastic…

Rl

3 min read

Reinforcement learning in Trading (part 2 - the last)
Reinforcement learning in Trading (part 2 - the last)
Rl

3 min read


Published in

Towards Data Science

·Feb 1, 2020

Herding Model in Financial Markets

This article is devoted to the herding mechanism in stocks. I base it on the articles: 1) Estimation of Agent-Based Models: the case of an Asymmetric Herding Model, Alfarano et. al. (2005) 2) Ants, Rationality, and Recruitment, Kirman (1993) In the first part, I present the theoretical model as outlined…

Economics

5 min read

Herding Model in Financial Markets
Herding Model in Financial Markets
Economics

5 min read


Published in

DataDrivenInvestor

·Nov 26, 2019

Portfolio optimization using particle swarm algorithm

Particle swarm optimization is a kind of natural algorithms like genetic algorithms. In this post I’m going to apply it to portfolio optimization problem. The beauty of the algorithm that it can solve non-convex problems when our optimization goal. …

Investing

4 min read

Portfolio optimization using particle swarm algorithm
Portfolio optimization using particle swarm algorithm
Investing

4 min read


Nov 25, 2019

Economic recession: how to count probabilities

This year I have come across several pieces of research and insights from investment firms and think-tank with estimates of recession probability. I have noticed that many strategists have developed very complicated models on how to measure it. Allianz, for instance, has at least three models, which gives very different…

Statistics

3 min read

Economic recession: how to count probabilities
Economic recession: how to count probabilities
Statistics

3 min read


Aug 4, 2019

Reinforcement learning in trading (Part 1)

This is a brief introduction to making a simple bot for trading using reinforcement learning. Looking at the success of Deepmind robots at various games, it is a trivial idea to build a trading bot. In the end, trading is yet another zero-sum like game. In the beginning, I thought…

Machine Learning

3 min read

Reinforcement learning in trading (Part 1)
Reinforcement learning in trading (Part 1)
Machine Learning

3 min read


Published in

Towards Data Science

·Jul 22, 2019

ETF2Vec: My story about trying to extact narrative from ETF holdings

The world is occupied by embeddings models. Word2vec, Image to vectors and much more. After recent news about extacting knowledge from science papers, I decided to apply model to the world of finance. Before I start, I must admit: I haven’t extracted much knowledge, but still have learnt a bunch…

Investing

5 min read

ETF2Vec: My story about trying to extact narrative from ETF holdings
ETF2Vec: My story about trying to extact narrative from ETF holdings
Investing

5 min read

Andrey Babynin

Andrey Babynin

337 Followers

Finance + Data + Python.

Following
  • ODSC - Open Data Science

    ODSC - Open Data Science

  • Tim Denning

    Tim Denning

  • Jesus Rodriguez

    Jesus Rodriguez

  • Samuele Mazzanti

    Samuele Mazzanti

  • Miriam Santos

    Miriam Santos

See all (86)

Help

Status

Writers

Blog

Careers

Privacy

Terms

About

Text to speech

Teams