Quantitative Trading

Quantitative investment and trading ideas, research, and analysis.

Wednesday, June 18, 2025

Deep Reinforcement Learning for Portfolio Optimization

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Is it really better than Predictnow.ai's Conditional Portfolio Optimization scheme? We wrote a lot about transformers in the last three ...
Friday, June 06, 2025

Cross-Attention for Cross-Asset Applications: How to mash up features from multiple assets

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In the previous  blog post , we saw how we can apply self-attention transformers to a matrix of time series features of a  single  stock. Th...
Friday, May 23, 2025

Applying Transformers to Financial Time Series

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In the previous blog post , we gave a very simple example of how traders can use self-attention transformers as a feature selection method:...
Friday, May 16, 2025

A Poor Person's Transformer: Transformer as a sample-specific feature selection method

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 For those of us who grew up before GenAI became a thing (e.g. Ernie), we often use tree-based algorithms for supervised learning. Trees wor...
Saturday, May 10, 2025

Have LLMs improved over the last year? Comparing their responses to our books' prompts a year later.

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The answer to this question may seem obvious if you read the breathless proclamations of AI luminaries, but good quantitative investors shou...
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Ernie Chan

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