About:

Dean Markwick is an electronic trading quant with interests in stats, sports, and gambling, and enjoys films and food.

Website:

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Interests:

Stats Sports Rambling Sports modelling Professional sports Gambling

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Arthur Turrell
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This post delves into quantitative investing in FX markets, focusing on data analysis, the DXY index, and the complexities of currency return modeling.
The post documents a lecture series on deep learning applications in finance, focusing on building a neural network to predict the daily trading volume of the SPY ETF using Julia and Flux. It contrasts this approach with tradition...
The blog post analyzes the current Premier League season, focusing on the performance of promoted teams and those at risk of relegation. It explores historical data to determine the average points needed to avoid relegation, using...
The text discusses the concept of cyclical embeddings for numerical variables that follow a cycle, particularly in the context of finance. It explores how cyclical embeddings work, their application in modeling daily trading volum...
The text discusses the concept of price impact in market microstructure and how each trade affects the supply and demand of an asset. It explores different price impact models and their fitting process using Bitcoin data. The mode...
The text discusses the importance of using data to evaluate trading strategies without running them in production, and the use of importance sampling to assess new trading rules. It also explores the use of reinforcement learning ...
The text discusses the concept of alpha capture, which involves systematically assessing trading ideas to determine who generates profitable ideas. It also explores the idea of using the Acquired podcast as a study for alpha captu...
The blog post discusses the Almgren Chris model from Optimal Execution of Portfolio Transactions, explaining the math and problem setup, and how to minimize execution costs. It also covers the mean-variance optimization of the Alm...
The text discusses the use of principal component analysis (PCA) to understand how different currencies drive the overall portfolio and how to hedge exposure to a basket of Asian currencies. The author explains the process of gath...
The post explores the Ornstein–Uhlenbeck (OU) process, the equations, how to simulate such a process, and estimate the parameters. It discusses mean reversion and OU processes, and methods to enhance the accuracy of estimates thro...
The text discusses the concept of skew in trading strategies, particularly cross-asset skew, and its potential to produce alpha. It replicates the results of a paper on cross-asset skew and explores how skew can be used as a tradi...
The text explores the concept of causal regularisation, which uses machine learning techniques to produce models that can be interpreted causally. The author works through two papers to understand the process better and uses free ...
The text provides free finance data sets for quants, covering high-frequency FX market data, daily futures market data, equity order book data, and building your own crypto datasets. It includes advice on how to get started in qua...
The text is about reinforcement learning and a basic model that can be easily implemented in Julia. It explains the concept of the multi-armed bandit, its application in various problems, and the implementation of different strate...