Quantitative Investment Trading Research Educator
I recently came across López de Prado et al.'s (2026) treatment of the Sharpe ratio estimator: Artykuł Sharpe Ratio Distribution: When Normal s a No-Go, Why Not SHASHo? (1/4) pochodzi z serwisu Dr Krzysztof Ozimek .
This is a build-along workshop, not a lecture: attendees go from generating to validating and refining an end-to-end ML trading strategy with real ETF market data — using AI coding agents to build the feature engineering, model training, and backtesting pipeline, and AI research agents to generate, validate, and refine the trading ideas themselves. Artykuł Attending Machine Learning for Trading in…
How a single-value performance metric can distort the ranking of trading strategies — and how to avoid falling for it and gain deeper insight into strategy comparison. Artykuł Is B Really Better Than A? A Trading Strategy Comparison pochodzi z serwisu Dr Krzysztof Ozimek .
🎁 Gifted review copy from Packt Publishing — honest, unpaid opinion below. Just finished reviewing Stefan Jansen's Machine Learning for Trading, 3rd Edition (Packt, 2026), several days after publication. Artykuł Machine Learning for Trading, 3rd Edition — Book Review pochodzi z serwisu Dr Krzysztof Ozimek .
I wrote my newest paper mainly to challenge the conventional way of judging an investment or trading strategy through a single observational point of its performance metric — an approach that discards precious information about... Artykuł Beyond the single scalar: uncovering a trading strategy s conditional performance distribution pochodzi z serwisu Dr Krzysztof Ozimek .
🎁 Gifted review copy from Packt Publishing — honest, unpaid opinion below. This is a genuinely useful reference for anyone building trading systems in Python. The recipe format is the book's greatest strength — plenty of self-contained recipes spanning data acquisition, data wrangling, and visualization; building fundamental data screeners; factor trading; backtesting (both vector-based…
XAI methods enable the use of tools such as AI/ML models or backtesting in finance while gaining explainability of their outputs. Artykuł Explainable AI (XAI): Taxonomy, Methods & Events pochodzi z serwisu Dr Krzysztof Ozimek .
Introduction The Capital Asset Pricing Model (CAPM) represents an asset’s market sensitivity using a single scalar (beta), estimated by ordinary least squares on the full return distribution. Artykuł Beta Is Not Linear: Distributional Effects in Equity Markets pochodzi z serwisu Dr Krzysztof Ozimek .
I am pleased to announce that my new paper is now available: "Cross-Sectional Topological Anomaly Scores and Intraday Return Predictability: BallMapper Descriptors, Decoder-Conditional VAE, and Function-on-Function Regression on S P 500 Intraday Data" Artykuł Can the Topological Shape of the Market Predict How Returns Evolve? pochodzi z serwisu Dr Krzysztof Ozimek .
The chart visualizes rolling risk–return–volume dynamics for ten highly liquid S P 500 constituents — AAPL, AMZN, AVGO, GOOG, GOOGL, META, MSFT, NVDA, PLTR, and TSLA — selected, over the April 2025–March 2026 period, by ranking all index members on the Amihud (2002) illiquidity ratio — a widely used measure of price impact per unit of trading volume — and retaining the ten most liquid stocks.…