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Ricercatore quant

Analisti che vogliono strumenti statistici per giudicare se un pattern nei dati di mercato è reale.

Misura rendimenti, rischio e dipendenza, verifica le affermazioni con intervalli e ricampionamento, e correggi per test multipli e selezione.

Nuovo sui mercati? Prima inizia da Start Here.

Fondamenti

  1. 1

    Returns: simple, log and percentage points

    Returns are the raw material of every later method.

    • Principiante
    • Spiegazione
    • 3 min
    • In arrivo
  2. 2

    Standard deviation: volatility as a number

    Volatility as a number.

    • Principiante
    • Guida visuale
    • 3 min
    • In arrivo
  3. 3

    Distributions and fat tails, in pictures

    Fat tails change what averages mean.

    • Principiante
    • Guida visuale
    • 3 min
    • In arrivo
  4. 4

    Correlation without the confusion

    Co-movement measured correctly.

    • Principiante
    • Guida visuale
    • 3 min
    • In arrivo
  5. 5

    Probability for analysts: base rates first

    Base rates before any conclusion.

    • Principiante
    • Spiegazione
    • 3 min
    • In arrivo
  6. 6

    Expectancy: the average outcome of a rule

    Average outcome of a rule.

    • Principiante
    • Spiegazione
    • 3 min
    • In arrivo
  7. 7

    Sample size: how many trades is enough?

    How many observations a claim needs.

    • Principiante
    • Spiegazione
    • 3 min
    • In arrivo
  8. 8

    Drawdowns: depth, duration and recovery math

    Drawdown maths needed for ratio comparisons.

    • Principiante
    • Guida visuale
    • 3 min
    • In arrivo

Essenziale

  1. 9

    Regression basics: lines through noisy data

    Regression as the basic modelling tool.

    • Intermedio
    • Guida visuale
    • 3 min
    • In arrivo
  2. 10

    Statistical significance without the jargon

    Significance without the jargon.

    • Intermedio
    • Spiegazione
    • 5 min
    • In arrivo
  3. 11

    Confidence intervals for strategy metrics

    Intervals around strategy metrics.

    • Intermedio
    • Spiegazione
    • 5 min
    • In arrivo
  4. 12

    Bootstrapping: resampling your own results

    Resampling your own results.

    • Intermedio
    • Spiegazione
    • 5 min
    • In arrivo
  5. 13

    Autocorrelation: does today echo yesterday?

    Dependence between today and yesterday.

    • Intermedio
    • Guida visuale
    • 3 min
    • In arrivo
  6. 14

    Stationarity: prices vs returns

    Why prices and returns behave differently.

    • Intermedio
    • Guida visuale
    • 3 min
    • In arrivo
  7. 15

    Volatility clustering and calm-storm regimes

    Volatility clustering and regimes.

    • Intermedio
    • Guida visuale
    • 3 min
    • In arrivo
  8. 16

    Trend, noise or bounce? Guess the process

    Quiz: tell trend from noise.

    • Principiante
    • Quiz o sfida
    • 3 min
    • In arrivo
  9. 17

    Sharpe, Sortino and Calmar, side by side

    Risk-adjusted ratios compared side by side.

    • Intermedio
    • Guida visuale
    • 3 min
    • In arrivo
  10. 18

    Quant formulas cheat sheet

    Formula cheat sheet for the path.

    • Intermedio
    • Scheda di riepilogo
    • 2 min
    • In arrivo
  11. 19

    Sample size calculator for strategy metrics

    Interactive sample-size calculator.

    • Intermedio
    • Strumento interattivo
    • 3 min
    • In arrivo

Avanzato

  1. 20

    Multiple testing: why many discoveries fail

    Why many discoveries fail.

    • Avanzato
    • Spiegazione
    • 6 min
    • In arrivo
  2. 21

    Cointegration is not correlation

    Cointegration versus correlation.

    • Avanzato
    • Spiegazione
    • 6 min
    • In arrivo
  3. 22

    Monte Carlo simulation: what could have happened

    Simulating what could have happened.

    • Avanzato
    • Spiegazione
    • 6 min
    • In arrivo
  4. 23

    Factor models: explaining returns with exposures

    Explaining returns with exposures.

    • Avanzato
    • Spiegazione
    • 6 min
    • In arrivo
  5. 24

    Optimisation and its traps

    Optimisation traps.

    • Avanzato
    • Spiegazione
    • 6 min
    • In arrivo
  6. 25

    The deflated Sharpe ratio, made intuitive

    Deflating ratios for the number of trials.

    • Avanzato
    • Spiegazione
    • 6 min
    • In arrivo
  7. 26

    Probability of backtest overfitting (PBO)

    Probability that a backtest is overfit.

    • Avanzato
    • Spiegazione
    • 6 min
    • In arrivo
  8. 27

    Many strategies, one dataset: selection bias

    Selection bias across many strategies.

    • Avanzato
    • Spiegazione
    • 6 min
    • In arrivo
  9. 28
    Progetto conclusivo

    A small p-value is not a strategy

    Capstone field note: a p-value is not a strategy.

    • Intermedio
    • Nota dal campo o nota di sviluppo
    • 5 min
    • In arrivo
Letture facoltative: 9
  • When averages disagree: arithmetic vs geometric
  • Random walks can draw convincing patterns
  • Momentum vs mean reversion: the statistical view
  • Z-scores and percentile ranks
  • Bayesian thinking for analysts
  • Volatility models (GARCH), conceptually
  • Principal components: hidden common drivers
  • State-space models and the Kalman filter
  • A backtesting protocol checklist

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