# Gilbert Liou

## 279 Flips | 1 Magazine | 1 Like | 5 Following | 1 Follower | @gilbertliou | Keep up with Gilbert Liou on Flipboard, a place to see the stories, photos, and updates that matter to you. Flipboard creates a personalized magazine full of everything, from world news to life’s great moments. Download Flipboard for free and search for “Gilbert Liou”

### 第五章 黄金时代

MARK一下，晚上过来吹牛B<br>#######################################<br>@董可人我今天要是再失眠明天我也不会让你睡好的!<br>最小二乘法是对普通线性回归参数估计的一种方法，目标是是loss function达到最小，而此时的loss function是误差平方和。<br>岭回归和普通线性回归的区别，我们可以从三种方式来看。<br>1. 最优化问题的不同 （我比较懒，公式就贴照片了），<br>对于岭回归，我们的最优化问题多了后面这些beta的平方和。<p>多元线性回归的OLS回归不仅仅可以看成是对loss function的最小化，得出的结果也是Y在X的线性空间上的投影。<p>2 从多变量回归的变量选择 …

### REINFORCEjs: Gridworld with Dynamic Programming

# About **REINFORCEjs** is a Reinforcement Learning library that implements several common RL algorithms supported with fun web demos, and is …

Stanford University

### Volatility Weighting Applied to Momentum Strategies

37 Pages Posted: 29 Apr 2015 Last revised: 29 Jul 2016<p>Unaffiliated Authors - Independent<p>Robeco Asset Management, Quantitative Investment Research<p>Date …

### A Martingale Decomposition of Discrete Markov Chains

12 Pages Posted: 28 Apr 2015<p>University of North Carolina (UNC) at Chapel Hill - Department of Economics; University of Aarhus - CREATES<p>Date Written: …

### [1207.0580] Improving neural networks by preventing co-adaptation of feature detectors

Computer Science > Neural and Evolutionary Computing<p>Title: Improving neural networks by preventing co-adaptation of feature detectors<p>Abstract: When a …

### [1505.05629] Regulating Greed Over Time

Statistics > Machine Learning<p>Title: Regulating Greed Over Time<p>Abstract: In retail, there are predictable yet dramatic time-dependent patterns in …

### The Unreasonable Effectiveness of Recurrent Neural Networks

There’s something magical about Recurrent Neural Networks (RNNs). I still remember when I trained my first recurrent network for Image Captioning. …

Deep Learning

### Uncovering Trend Rules

17 Pages Posted: 12 May 2015<p>Robeco Asset Management<p>Robeco Asset Management, Quantitative Investment Research<p>Date Written: May 11, 2015<p>Abstract<p>Trend …

### REVISION: Which Trend Is Your Friend?

Managed-futures funds and CTAs trade predominantly on trends. There are several ways of identifying trends, either using heuristics or statistical …

### Superstatistical Fluctuations in Time Series of Leverage Returns

14 Pages Posted: 25 Nov 2013<p>S&P Global Market Intelligence<p>S&P Capital IQ<p>Date Written: November 24, 2013<p>Abstract<p>Fat tails of q-Gaussian distributions …

### Transition from lognormal to chi-square superstatistics for financial time series. (arXiv:1506.01660v2 [q-fin.ST] UPDATED)

Share price returns on different time scales can be well modelled by a superstatistical dynamics. Here we provide an investigation which type of …

### [cond-mat/0507411] From time series to superstatistics

Condensed Matter > Statistical Mechanics<p>Title: From time series to superstatistics<p>Abstract: Complex nonequilibrium systems are often effectively …

### The Profitability of Pairs Trading Strategies: Distance, Cointegration, and Copula Methods

Rad, Hossein, Low, Rand Kwong Yew and Faff, Robert W., The Profitability of Pairs Trading Strategies: Distance, Cointegration, and Copula Methods, …

### Portfolio Insurance with Adaptive Protection (PIWAP)

23 Pages Posted: 22 Feb 2015<p>THEAM, BNP Paribas Investment Partners<p>BNP Paribas Asset Management<p>BNP Paribas Investment Partners<p>Date Written: January …

24 Pages Posted: 17 Apr 2015<p>State Street Corporate<p>State Street Corporate<p>Massachusetts Institute of Technology (MIT) - Sloan School of Management<p>State …

### EM vs gradient descent : MachineLearning

In what cases is it better to use EM vs just simple gradient descent (using Monte Carlo approximation if you've integrals in your likelihood function)<p>…

### REVISION: Fact, Fiction, and Value Investing

Value investing has been a part of the investment lexicon for at least the better part of a century. In particular the diversified systematic “value …

### Alpha Generation and Risk Smoothing Using Managed Volatility by Tony Cooper

Abstract<p>It is difficult to predict stock market returns but relatively easy to predict market volatility. But volatility predictions don't easily …

### A Proof of the Optimality of Volatility Weighting Over Time

23 Pages Posted: 20 Feb 2012 Last revised: 15 Aug 2014<p>Robeco Asset Management, Quantitative Investment Research<p>Date Written: May 28, 2012<p>Abstract<p>We …