Measures of Codependence

Join our reading group! hudsonthames.org/reading-group/

Join Illya Barziy, Quant Research Team Lead at Hudson and Thames, to explore various measures of codependence and how these algorithms are used in pairs trading (distance approach), clustering, portfolio optimization, and risk management.

The presentation is largely based on the lecture notes of Prof. Marcos Lopez de Prado at Cornell University.

This functionality is also available via the MlFinLab python library. hudsonthames.org/mlfinlab

Learn more with the Definitive Guide to Pairs Trading: hudsonthames.org/definitive-guide-to-pairs-trading