Guns, Bombs and eSports: Applying Data and Portfolio Analytics to Counter-Strike Gambling

Since the publication of Bill James' seminal work, Baseball Abstract, and the rise to stardom for the Oakland A's, Sports Analytics - the application of statistics to competitive sports - has been (and still is) a prominent topic within the industry.  Thus, it is only reasonable for practitioners to apply this movement to the new and upcoming playing field called eSports, which has gained a large following over the years with many online games such as League of Legends, Dota 2 and Counter-Strike: Global Offensive (CSGO).  I would like to argue that the data drawn from eSports is definitely more abundant and easier to acquire whereas, real life sporting data requires physical measurements, whether it's measured by a person […]

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K-Means Portfolio for Value Investors

The Matlab code to easily create your own K-Means Portfolio is up!!  Click here to see it on my Github K-Means Clustering is the simplest clustering algorithm for discovering patterns and structure in data among many dimensions.  Can it work for Value investors? Let's do a simple test to see if it holds up in out-of-sample testing. Basic Overview Without getting into much of the math (a simple google search will suffice), K-Means clusters data through a simple iterative algorithm that initiates centroids and moves each centroid toward an optimized mean where the cost function : euclidean distance between each point and the […]

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Mean-Variance Net Neutral Portfolios

I haven't posted much since the start of school.  I'm still working on Portfolio Management but much of what I have learned aren't that worth blogging about since it's nothing new and different.  The only piece of thing I have on my blog is in relations with my work on The Fund.  I also haven't updated the Docs as well on MPT because I haven't read much of that book recently.  I'm currently focusing on getting a better overview of the available Black-Litterman literature.  There are also other methods I need to get to learning such as Portfolio Sorts by Almgren, Entropy Pooling by Meucci, […]

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Bootstrapping Portfolio Risk

Bootstrapping, originally proposed by Bradley Efron, is a statistic technique to approximate the sampling distribution of a parameter .  The term bootstrap was coined from the phrase "to pick oneself up from his own bootstraps".  Something seemingly impossible for a person, just like the bootstrap technique of obtaining more information from the sample.  The prominent use of the Bootstrap  rose when computing power and speed became faster as well as cheaper.  The bootstrap (certain usages) often outperform other mathematical measures because it makes less assumptions such the pop. distribution, relevant parameters, etc.  Furthermore, the bootstrap can approximate most measures whereas analytically deriving […]

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Skewtosis - An investment strategy

The strategy is NOT a feasible strategy as I've recently deduced and tested.   If you are still interested in my idea process then read below.  If you are interested in why it doesn't work what so ever then press Recently, I've came up with a strategy that have shown to consistently beat the market when applied. It is a quantitative method that involves two very simple statistical measures: Skewness and Kurtosis.   Skewness is the measure of asymmetry in the distribution of a random variable. It is calculated by taking the third standardized moment. I don't know much more about […]

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