I can Fix Him: Vanilla Cross-Validation is our lying ex-boyfriend
Why we left Cross Validation for Purged K-Folds and Walk Forward Methods
QuantyFrog
A backroom in the financial internet
$ init quantyfrog --mode surreal --cv purged
EXPERIMENTS
LORE
Jim Simons / Renaissance
“Alpha isn’t found, it’s engineered.” Notes on regime detection, feature orthogonality, and ruthless validation
Black–Scholes–Merton
From self‑financing portfolios to $\nabla V \cdot d\mathbf{S}$ hedges. What still survives contact with market microstructure.
Salomon Brothers (1986)
How practitioners read the curve like a mission report. Empirical edges that didn’t die, they adapted.
READING LOG
| Work | Status | Notes |
|---|---|---|
| Benn Eifert's Tweets | Active | Check @benpeiffert to learn absolutely everything about options and specifically volatility |
| Quantitative Portfolio Management (Michael Isichenko) | Active | Just an all around fantastic read to understand the basics of the skeletal structure of quant work itself |
| Quanty Macro's Blog | Active | A fantastic blog on ideas and projects that cater to every single demographic point and serve as the inspiration for my own blog |
STOCHASTIC PROCESSES
Geometric Brownian Motion
$\mathrm{d}S_t = \mu S_t\,\mathrm{d}t + \sigma S_t\,\mathrm{d}W_t$
Heston
$\begin{aligned}\mathrm{d}S_t &= \mu S_t\,\mathrm{d}t + \sqrt{v_t}\, S_t\,\mathrm{d}W^S_t\\ \mathrm{d}v_t &= \kappa(\theta - v_t)\,\mathrm{d}t + \xi\sqrt{v_t}\,\mathrm{d}W^v_t \end{aligned}$
Vasicek / CIR
$\mathrm{d}r_t = a(b-r_t)\,\mathrm{d}t + \sigma\,\mathrm{d}W_t$ • $\mathrm{d}r_t = a(b-r_t)\,\mathrm{d}t + \sigma\sqrt{r_t}\,\mathrm{d}W_t$
ABOUT
22 year old hyper-passionate quant larper. Articles live here; longer pieces mirror on Ghost. Ping if you read code for breakfast.