Adventures in Financial Data Science

The empirical properties of financial data and some other things that I find interesting...

[stattrader]

As it’s pi day I’m offering free shipping for my book Adventures in Financial Data Science with code 4ATAN1 https://www.gillerinvestments.com/store #finance #markets #datascience #themarketsnotnormal #piday https://www.instagram.com/p/CMaYz2bg-mC/?igshid=k6gvuhvddyxl

[stattrader]

Trying to upload Fatal Accident data from @nhtsagov — schema in CSV files inconsistent year-by-year. This kind of sloppy data curation is what kills most #datascience projects. https://www.instagram.com/p/CMLDkLxgJOA/?igshid=1vg2r0v6ypuqi

[stattrader]

Waiting for new inventory to be printed for my book Adventures in Data Science. Once that is done, we will be able to offer the paperback through @amazon #datascience #finance #markets until then, you can still order through the website https://www.gillerinvestments.com/store https://www.instagram.com/p/CMCkHsxgvPN/?igshid=1u6rexkxwwich

[stattrader]

Here’s the cover image for the draft version of my second book on #financialdatascience Essays on Trading Strategy https://amzn.to/3qjUFnc https://www.instagram.com/p/CMBOMRKgSeL/?igshid=2xyh4zmgor4r

[stattrader]

Get one of our stickers to remind your colleagues that The Market’s Not Normal! rdbl.co/3aXezAd #finance #stockmarket #stocks #stonks #themarketsnotnormal https://www.instagram.com/p/CLw_iTagqSb/?igshid=1kz69juoi8y4j

[stattrader]

Don’t be surprised by #initialclaims use #alternativedata #ai #machinelearning #markets https://www.instagram.com/p/CLcLy3rAmpO/?igshid=soeg1n2yl0y9

[stattrader]

On #valentines, and other named holidays, social media sentiment spikes. Are your trading signals appropriately corrected? #datascience #alternativedata #trading #stocks https://www.instagram.com/p/CLSH-wwgiEi/?igshid=1xn88gg68we15

[stattrader]

GameStop $GME fitted to a GARCH(1,1) model with Student-t distribution. Probability of a return as extreme as the most recent is 1% — not remarkable. Don’t use the Normal distribution for #stonks #optionstrading #gamestop https://www.instagram.com/p/CLKLApQgyos/?igshid=xxlk8k9wu18q

[stattrader]

@googletrends.ig continues to be a predictor for #InitialClaims. Our number for last week was 764,187, actual release 793,000. #datascience #machinelearning #ai #finance #economics #alternativedata https://www.instagram.com/p/CLJ30Vqg73w/?igshid=1twg62w4gn5pb

[stattrader]

University of Michigan releases remain strongly correlated with our private survey data, available earlier. #datascience #ai #markets #finance https://www.instagram.com/p/CKojyuuAn6A/?igshid=mgdstdpts8op

[stattrader]

This is why market orders can be dangerous! #stonks #gamestop $GME https://www.instagram.com/p/CKmFTgAj74N/?igshid=1uvccg0fn05ni

[stattrader]

This is when I point out, yet again, that the returns of #stonks are not normally distributed! $GME #gamestop #datascience #finance https://www.instagram.com/p/CKl7bK5jeNa/?igshid=1l9kqjp5j06vh

[stattrader]

#initialclaims continues to track the predictions from our #alternativedata model based on @Google search trends. #machinelearning #ai #markets #economy https://www.instagram.com/p/CKTzJKEgXKj/?igshid=x0fekx3r9fgt

[stattrader]

Consensus for initial claims was around 800,000. Our estimate for subscribers was 938,532 available last week. Release was 965,000 #datascience #alternativedata #ai #finance #markets #initialclaims #unemployment https://www.instagram.com/p/CKB0UhuAF6P/?igshid=15krgouy7dy3b

[stattrader]

Search data for the week ending today shows an increase in #initialclaims from the lower level of the holiday week. #datascience #machinelearning #alternativedata #macroeconomics https://www.instagram.com/p/CJ1LryAAw8Y/?igshid=zv74mdr640z

[stattrader]

And this is a description not a prediction.

This data does not answer the question of whether increasing green vegetable servings leads to future weight loss.

[stattrader]

It’s a real phenomenon, but a very tiny part of the variance!