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Finding Alpha on the Internet [Part 3]

Finding Alpha on the Internet [Part 3]

Tuesday, Mar 22, 2022

We continue the series by replicating using as much data and code as provided in the source material. We create a three-state Gaussian Mixture Model and fit it so S&P500 data. I examine the output and give feedback about my coding replication and data sourcing along the way. Then I try to apply a proxy for adding economic data as a feature—previous posts Part 1 and Part 2.

@ Derek Wong
10 minutes read
Finding Alpha on the Internet [Part 2]

Finding Alpha on the Internet [Part 2]

Wednesday, Jan 12, 2022

I was continuing from the last post. I will explain why I picked the paper I did, answer the questions from the previous post, and show my note-taking and thought process. After reading hundreds if not thousands of whitepapers, blogs, or articles, this is my distilled version of how I approach it. I will document this for the first time. It may be different from how others approach it. Over time you will get your own approach. So let’s hit the stacks.

@ Derek Wong
12 minutes read
Finding Alpha on the Internet Part 1

Finding Alpha on the Internet Part 1

Tuesday, Jan 4, 2022

The internet is teeming with resources for potential alpha. How do you separate the wheat from the chaff? In this series of blog posts, I will explain my process for identifying sources worth diving deeper into and extracting some kind of benefit to a portfolio or strategy. This will be a side-by-side view of my workflow as an individual. As of now, I have no idea what even to research or how I will go about doing it. So let us begin.

@ Derek Wong
5 minutes read

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Not financial advice, no recommendations, only my own opinions. Nothing here constitutes a view or opinion from my employer. Please don’t sue me.

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About Me

I am an alternatives portfolio manager focused on quantitatve and systematic methods using derivatives. Quantitative finance geek, macroeconomics enthusiast, and research addict.