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Marcos López de Prado's New Book & More - Alpaca Newsletter (April 29, 2020)

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This is the second edition of the Alpaca Newsletter for Quants & Developers where we will update you on market & research as well as industry job openings and internships, along with Alpaca’s products and community developments.

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Tweet of The Week

Marcos López de Prado is one of the most famous machine learning quantitative investors and alumni of AQR, Tudor and Citadel among others. He recently released his new book 'Machine Learning for Asset Managers'. Here is a tweet by Marcos.

https://twitter.com/lopezdeprado/status/1254802745531432960?s=20

Alpaca Updates

  • Learn how to access Alpaca API and trade from Google Colab - Using Google Colab, not only can you start trading with Alpaca API instantly after getting API key, but also you have powerful tools to analyze and visualize data to help you make your trading decisions [Source]
  • Are custom bar time frames possible? I only see options for minute, 1Min, 5Min, 15Min, day or 1D time frames. There are other time frames i would like to use such as 10m, 1hr, 4hr, 1wk. I’m new here. Can anyone help me with this? - Read the answer on our forum
  • Alpaca Member: Introduce yourself :) - As the Alpaca community is growing, we thought it would be great to have people introduce themselves and share a bit about their background and why they are using Alpaca.
  • If you are looking for industry internships, jobs, or just want to connect with other members of the community, go to this forum
  • Does anyone know of any tool out there to do some simple simulations/scenarios into options, turbos and derivatives? - Romain Lussier was asking on Slack.

Market News

  • Crisis-hunting hedge funds enjoyed blowout returns in March, but investors say the strategy of waiting years for markets to crumple is still unlikely to draw new fans. Even with the huge gains so far this year, many funds in the sector remain deeply in the red after a long bull market punctuated by occasional dips [Source]
  • French markets regulator fines hedge fund Elliott €20m - The Autorité des Marchés Financiers said on Wednesday that it had fined Elliott over “inaccurate and late reports” filed in connection with a tender offer in 2015 by XPO logistics for Norbert Dentressangle, a French logistics group [Source]
  • Wall Street Quants Are Turning Their Skills to the Virus Fight - The senior data scientist’s team at the Australian credit fund built a proprietary model mapping the infection path using a so-called linear mixed framework, a form of regression analysis also used in statistical finance. “Publicly available models were mostly, if not all, built for the purpose of informing government policies and were not suitable for the niche needs of financial market participants,” Lin wrote in an email. “Coolabah decided to build its own Covid-19 forecasting models tailored to our needs.” [Source]
  • RenTech, one of the most well known #quant firms had models that misfired in March rebound in April, and the Medallion fund greatly outperformed the market YTD. [Source]

Research Updates

  • Replicating Airbnb’s Amenity Detection with Detectron2 - A couple of months ago, I read an article by Airbnb’s engineering team which described how they used computer vision to detect amenities in photos. The article read like a recipe. A machine learning recipe. Like any budding chef (or machine learner), I decided to reproduce it and add a few of my own flavours [Source]
  • What Does it Take to Break into Data Science with a Bachelor’s Degree? - Things I’ve learned from my experience completing a data science boot camp and landing a data science role with only an undergraduate degree [Source]
  • To model the real world, quants turn to synthetic data - Future financial models will be built using artificially generated data [Source]
  • VIX - Simple and Intuitive Explanation of Volatility Index - There are two formulas that are used to calculate vol indexes: the theoretical variance swap formula and its practical discrete reformulation. While these formulas may look complicated it is actually really simple if viewed in a chart. [Continue reading about VIX]
  • Tail Risk Hedge Funds - Tail risk funds tend to be most in demand when they are least attractive. Short-term bonds provided similar benefits to tail risk funds. The TAIL ETF closely replicates the performance of tail risk funds[Source]

Job Updates

  • Associate Director, Risk Oversight, Multi-Asset and Alternatives- Wellington Management - Boston, MA [Apply]
  • Senior Analyst Data Sourcing and Strategy - Man Group - Boston, MA [Apply]
  • Quantitative Researcher - Facebook - New York [Apply]
  • Quantitative Analyst - Guggenheim Partners Company -  Santa Monica [Apply]

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