When GME goes up, the market goes down. Read on!

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Disclaimer: This is a short article and does not intent to provide financial advice or to suggest anything whatsoever.

Introduction

Recently there is a lot of noise around GME, reddit and the stock market.

My hypothesis was that there is a significant correlation between GME and S&P 500 time courses of price.

I did a simple correlation analysis and I found that there is a significant (p=0.05) negative correlation (rho= -0.319) between the GME and S&P500 price.

Just for a reminder this is what happened over the past couple of months:


Machine Learning, Programming

In this article, I explain what robust regression is, using a working example in Python.

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1. Introduction

Regression models are used to predict a numerical value (dependent variable) given a set of input variables (independent variables). The most famous model of the family is the linear regression [2].

Linear regression fits a line (or hyperplane) that best describes the linear relationship between some inputs (X) and the target numeric value (y).

However, if the data contains outlier values, the line can become biased, resulting in worse predictive performance. Robust regression refers to a family of algorithms that are robust in the presence of outliers [2].


Data Science, Machine Learning

In this post, I explain what PCA is, when, and why to use it, and how to implement it in Python using scikit-learn. Also, I explain how to get the feature importance after a PCA analysis.

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1. Introduction & Background

Principal Components Analysis (PCA) is a well-known unsupervised dimensionality reduction technique that constructs relevant features/variables through linear (linear PCA) or non-linear (kernel PCA) combinations of the original variables (features). In this post, we will only focus on the famous and widely used linear PCA method.

The construction of relevant features is achieved by linearly transforming correlated variables into a smaller number of uncorrelated variables. This is done by projecting (dot product) the original data into the reduced PCA space using the eigenvectors of the covariance/correlation matrix aka the principal components (PCs).

The resulting projected data are essentially linear combinations of…


Data Visualization, Deep Learning

In this post, I show you how to predict stock prices using a forecasting LSTM model

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1. Introduction

1.1. Time-series & forecasting models

Traditionally most machine learning (ML) models use some observations (samples/examples), but there is no time dimension in the data.

Time-series forecasting models are the models that are capable of predicting future values based on previously observed values. Time-series forecasting is widely used for non-stationary data. Non-stationary data are called the data whose statistical properties, e.g., the mean and standard deviation, are not constant over time but instead, these metrics vary over time.

These non-stationary input data (used as input to these models) are usually called time-series. Some time-series examples include the temperature values over time, stock price over time, price…


Data Science, Data Visualization

In this post, I show you how to predict stock prices using a forecasting model publicly available from the Facebook Data Science team: The Prophet

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1. Introduction

1.1. Time-series & forecasting models

Traditionally most machine learning (ML) models use as input features some observations (samples/examples), but there is no time dimension in the data.

Time-series forecasting models are the models that are capable of predicting future values based on previously observed values. Time-series forecasting is widely used for non-stationary data. Non-stationary data are called the data whose statistical properties, e.g., the mean and standard deviation, are not constant over time but instead, these metrics vary over time.

These non-stationary input data (used as input to these models) are usually called time-series. Some examples of time-series include the temperature values over time, stock…


Data Visualization, Deep Learning

In this post, I show you how to predict stock prices using a forecasting LSTM model

Image for post
Image for post

1. Introduction

1.1. Time-series & forecasting models

Traditionally most machine learning (ML) models use as input features some observations (samples/examples), but there is no time dimension in the data.

Time-series forecasting models are the models that are capable of predicting future values based on previously observed values. Time-series forecasting is widely used for non-stationary data. Non-stationary data are called the data whose statistical properties, e.g., the mean and standard deviation, are not constant over time but instead, these metrics vary over time.

These non-stationary input data (used as input to these models) are usually called time-series. Some examples of time-series include the temperature values over time, stock…


In this article I explain what robust regression is, using a working example in Python

Image for post
Image for post

1. Introduction

Regression models are used to predict a numerical value (dependent variable) given a set of input variables (independent variables). The most famous model of the family is the linear regression [2].

Linear regression fits a line (or hyperplane) that best describes the linear relationship between some inputs (X) and the target numeric value (y).

However, if the data contains outlier values, the line can become biased, resulting in worse predictive performance. Robust regression refers to a family of algorithms that are robust in the presence of outliers [2].


Getting Started

In this article, I explain how the Naive Bayes works and I implement a multi-class text classification problem step-by-step in Python.

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Table of contents

  1. Introduction
  2. The Naive Bayes algorithm
  3. Dealing with text data
  4. Working Example in Python (step-by-step guide)
  5. Bonus: Having fun with the model
  6. Conclusions

1. Introduction

Naive Bayes classifiers are a collection of classification algorithms based on Bayes’ Theorem. It is not a single algorithm but a family of algorithms where all of them share a common principle, i.e. every pair of features being classified is independent of each other.

Naive Bayes classifiers have been heavily used for text classification and text analysis machine learning problems.

Text Analysis is a major application field for machine learning algorithms. However the raw data, a sequence of…


Mathematical formulation, Finding the optimum number of clusters and a working example in Python

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Introduction

K-means is one of the most widely used unsupervised clustering methods.

The K-means algorithm clusters the data at hand by trying to separate samples into K groups of equal variance, minimizing a criterion known as the inertia or within-cluster sum-of-squares. This algorithm requires the number of clusters to be specified. It scales well to large number of samples and has been used across a large range of application areas in many different fields.

The k-means algorithm divides a set of N samples (stored in a data matrix X) into K disjoint clusters C, each described by the mean μj of…


In this post I show you how to predict the TESLA stock price using a forecasting ARIMA model

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1. Introduction

1.1. Time-series & forecasting models

Time-series forecasting models are the models that are capable to predict future values based on previously observed values. Time-series forecasting is widely used for non-stationary data. Non-stationary data are called the data whose statistical properties e.g. the mean and standard deviation are not constant over time but instead, these metrics vary over time.

These non-stationary input data (used as input to these models) are usually called time-series. Some examples of time-series include the temperature values over time, stock price over time, price of a house over time etc. …

Serafeim Loukas

Diploma of Electrical & Computer Engineering (NTUA). Master of Science in Neuroscience (UNIGE). Currently, I am a PhD student at EPFL.

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