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Total Posts: 71
Joined: Feb 2018
Posted: 2020-09-15 18:59

CV is important for data science first and foremost. All the systematic trading groups (buy-side) I am aware of (including myself) trade based on some sort of prediction, say returns, vol or whatever. How to assess the quality of prediction without a robust CV? I do not know. How to set up a robust CV when your dataset is sub 10K points which are strongly correlated? I do not know. I might be under-educated here.


CV == cross-validation.


Total Posts: 405
Joined: Mar 2018
Posted: 2020-09-15 19:29
@sharpe_machine misunderstanding i thought you meant coefficient of variation (mu / sigma). Also 10K seems like a decent amount of points to me. Splitting it into 10 parts still leaves 1000 points for each block.

Anyway, arent all financial datasets correlated? Equities would be no different to bond/commodities data.

Im clearly missing something with the issues in doing cross validation. Had a look online but I cant see anything on cross validation with highly correlated time series. Can anyone point me to something on this?


Total Posts: 500
Joined: Mar 2005
Posted: 2020-09-28 20:31
Addressing credit market structure failures is hot.

Except everyone so far has been wrong.

An extremely heterogeneous, illiquid product cannot be "commoditized" or "electronified" by FX/equity old hands.

There could be legitimate quantitative approaches to credit (trading) but too much data is missing to fully understand the risk so other asset class BSDs come in to lecture and fail because of the underlying risk complexity.

On a laager on a hill. A long way from Avondale.


Total Posts: 1345
Joined: Jun 2005
Posted: 2021-03-14 12:06
Interesting comparison of defi / decentralized options platforms.
Accidentally I learned that one of my old contacts is busy in creating one of them for 3 years by now.
Till end of the year we will see many more.

... What is a man
If his chief good and market of his time
Be but to sleep and feed? (c)

Founding Member

Total Posts: 1374
Joined: Mar 2004
Posted: 2021-03-16 21:24
I haven't seen anything that works margin wise - without reasonable portfolio margin I struggle to see how it can get competitive. That's the problem that seems the big one to me.

Capital Structure Demolition LLC Radiation
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