## Backtesting Basics: Understanding your key metrics

Backtesting is an incredibly powerful tool that can be used to understand how our trading algorithms might fare in the real world (might is the key word). However, if you’re a data scientist coming from a non-finance background it can be rather difficult to understand what it all means. Sortinos Read more…

## How To Build A Text Summarizer Using Elmo and Spacy

This article refers to a problem in Quant-Quest’s Uk Data Science Varsity and Asia Invitational competition. You can view the problems and code along here Introduction There are several approaches to text building text summarises. Broadly, they can be split into two groups defined by the type of output they Read more…

## How We Think About ESG Problems At Auquan

For those data scientists who are new to finance and ESG investing, we’ve decided to put together a quick article outlining how we think about ESG problems. If you need a quick recap on what ESG is, check out our previous article here. If not, here is a workflow we Read more…

## An Approach to Time Series Data when Data is Limited (ARIMA / VAR)

n this article, I will be detailing an approach to a competition on Auquan’s website called the Ethical Investing Challenge — see here for more details This article also presumes a certain level of knowledge about time series data. If you haven’t worked with time series much, take a look at Read more…

## Time Series Analysis for Financial Data V — ARIMA Models

Download IPython Notebook here. In the previous posts in this series, we combined the Autoregressive models and Moving Average models to produce Auto Regressive Moving Average(ARMA) models. We found that we were still unable to fully explain autocorrelation or obtain residuals that are discrete white noise. Let’s further extend this discussion of Read more…

## Recapping Covariance and Correlation

Covariance Covariance measures the extent to which the relationship between two variables is linear. The sign of the covariance shows the trend in the linear relationship between the variables, i.e if they tend to move together or in separate directions. A positive sign indicates that the variables are directly related, Read more…

## Refresher: Expected Value and Arithmetic Mean

In this refresh article, we are going to take you back to basics and quickly recap expected value and different types of mean. Although this is basic it is important that you are fluent with these terms to master the more advanced lessons coming later in this series. The expected Read more…