Day Eight: LASSO Regression TL/DR LASSO regression (least absolute shrinkage and selection operator) is a modified form of least squares regression that penalizes model complexity via a regularization parameter. It does so by including a term proportional to $||\beta||_{l_1}$ in the objective function which shrinks coefficients towards zero, ... [Read more...]

Day Seven: Sensor Fusion TL/DR Sensor fusion is a generic term for techniques that address the issue of combining multiple noisy estimates of state in an optimal fashion. There’s a straight forward view of it as the gain on a Kalman–Bucy filter, and an even simpler interpretation ... [Read more...]

There’s a classic probability problem/brainteaser popularized by google that states: In a country in which people only want boys, every family continues to have children until they have a boy. If they have a girl, they have another child. If they have a boy, they stop. What is ... [Read more...]

What is Random? As previously discussed, there’s no universal measure of randomness. Randomness implies the lack of pattern and the inability to predict future outcomes. However, The lack of an obvious model doesn’t imply randomness anymore than a curve fit one implies order. So what actually constitutes randomness, ... [Read more...]

Is September Bearish? Traders love discussing seasonality, and September declines in US equity markets are a favorite topic. Historically September has underperformed every other month of the year, offering a mean return of -.56% on the S&P 500 index from 1950 to 2012; 54% of Septembers were bearish over the same period – more ... [Read more...]