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QuantStu - Student Paper and Project Discussion Group on Linked In

Onegin

Well-Known Member
C++
With @Andy Nguyen's blessing, I recommend checking out a new group on Linked In. QuantStu

The next meeting is Tues, 6/2 at 11am EST:
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"Hierarchical Risk Parity for Multi-Asset Portfolios" Abhishek Namballa and Matt Lyberg will present their (together with Kushal Saharan and Akhil Sethia) replication and extension of Marco Lopez de Prado's paper "Building Diversified Portfolios that Perform Out of Sample" from The Journal of Portfolio Management.

We replicate Lopez de Prado’s paper, extend the simulations to include additional linkage methods, variable correlations, and back test the three methods for a portfolio of sector ETFs on the S&P 500 and multi-asset ETF portfolio.
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The initial idea was to have a small group of grad students collaborate on research this summer. It morphed into a (currently) weekly meeting where a member presents their work to the group via zoom. The idea is we can informally discuss the work, provide feedback, and help each other along. In the first meeting, a Finance / Comp Sci grad student presented a random forest credit risk model.

The group might be a good way for you to encounter the literature and follow as other students try to replicate papers and share original ideas. The structure and format are shamelessly copied from QWAFAFEW, a quant based discussion group for professionals in Boston and New York. I've attended both, and found them instrumental in my career. This is like a student version of that group if you're familiar.

Call for papers / projects - If you have completed or are completing a project you'd like to share, please follow the link and post the idea in the group. The group will only be as useful as the contributions of team members. We had a great preso last week, and the one this Tuesday 6/2 should be good. After that, who knows? It could be you.
 

Onegin

Well-Known Member
C++
Is there recording for people who currently are interning so they could view at a later time?
You raise a good point. On one hand, recording opens up the event to more people. On the other, no recording would make any mistakes less costly, and potentially encourage more candid feedback.

I’ll put it to the group and revert if that works?
 
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