Lecture

Clustering Stability: Methods and Computations

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In course

FIN-525: Financial big data

The course introduces modern methods to acquire, clean, and analyze large quantities of financial data efficiently. The second part expands on how to apply these techniques and robust statistics to financial analysis, in particular to intraday data and inv ...

Description

This lecture covers the quantification of clustering stability using the Rand Index, calibration windows, and rolling windows to save expensive computations. It also discusses memoization techniques, cache management in Python, and predictability diagnostics in-sample.

Instructor

Damien Challet

Teaching & PhD Courses Financial big data FIN-525 The course introduces modern methods to acquire, clean, and analyze large quantities of financial data efficiently. The second part expands on how to apply these techniques and robust statistics to financial analysis, in particular to intraday data and investment strategies.

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Related concepts (32)

Market economy

A market economy is an economic system in which the decisions regarding investment, production and distribution to the consumers are guided by the price signals created by the forces of supply and demand. The major characteristic of a market economy is the existence of factor markets that play a dominant role in the allocation of capital and the factors of production.

Quantifier (logic)

In logic, a quantifier is an operator that specifies how many individuals in the domain of discourse satisfy an open formula. For instance, the universal quantifier in the first order formula expresses that everything in the domain satisfies the property denoted by . On the other hand, the existential quantifier in the formula expresses that there exists something in the domain which satisfies that property. A formula where a quantifier takes widest scope is called a quantified formula.

Universal quantification

In mathematical logic, a universal quantification is a type of quantifier, a logical constant which is interpreted as "given any", "for all", or "for any". It expresses that a predicate can be satisfied by every member of a domain of discourse. In other words, it is the predication of a property or relation to every member of the domain. It asserts that a predicate within the scope of a universal quantifier is true of every value of a predicate variable.

Market anarchism

Market anarchism, also known as free-market anti-capitalism, is the branch of anarchism that advocates a free-market economic system based on voluntary interactions without the involvement of the state. A form of individualist anarchism, and libertarian socialism, it is based on the economic theories of mutualism and individualist anarchism in the United States. Samuel Edward Konkin III's agorism is a strand of left-wing market anarchism that has been associated with left-libertarianism.

Market (economics)

In economics, a market is a composition of systems, institutions, procedures, social relations or infrastructures whereby parties engage in exchange. While parties may exchange goods and services by barter, most markets rely on sellers offering their goods or services (including labour power) to buyers in exchange for money. It can be said that a market is the process by which the prices of goods and services are established. Markets facilitate trade and enable the distribution and allocation of resources in a society.

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