{"id":28627,"date":"2020-04-06T12:00:55","date_gmt":"2020-04-06T03:00:55","guid":{"rendered":"https:\/\/smallake.kr\/?p=28627"},"modified":"2020-04-06T12:00:55","modified_gmt":"2020-04-06T03:00:55","slug":"three-quant-lessons-from-covid-19","status":"publish","type":"post","link":"https:\/\/smallake.kr\/?p=28627","title":{"rendered":"Three Quant Lessons from COVID-19"},"content":{"rendered":"<p>1.<br \/>\nMarcos Lopez de Prado, \uce5c\uc219\ud55c \uad50\uc218 \uc774\ub984\uc911 \ud558\ub098\uc785\ub2c8\ub2e4. \uc774 \ubd84\uc774 \uc62c\ub9b0 \ud2b8\uc717\uc5d0 \uc62c\ub77c\uc628 \ub17c\ubb38\uc785\ub2c8\ub2e4. Marcos Lopez de Prado\ub294 \ud2b8\uc717\uc744 \ud1b5\ud574 \ucf54\ub85c\ub09819\uc758 \uc704\uae30\ub97c \uae08\uc735\uacf5\ud559, \uc790\uc0b0\uc6b4\uc6a9\uc774\ub77c\ub294 \uad00\uc810\uc73c\ub85c \ud574\uc11d\ud558\uc5ec \uad50\ud6c8\uc744 \uacc4\uc18d\ud574\uc11c \uc62c\ub9ac\uace0 \uc788\uc2b5\ub2c8\ub2e4. \uc774\ub7f0 \ub0b4\uc6a9\uc744 \ucd1d\uc815\ub9ac\ud55c \ub17c\ubb38\uc774 &#8216;Three Quant Lessons from COVID-19&#8217;\uc785\ub2c8\ub2e4. \uc800\uc790\uc758 \uc8fc\uc7a5\uc740 \ud06c\uac8c \uc138\uac00\uc9c0\uc785\ub2c8\ub2e4. <\/p>\n<blockquote class=\"twitter-tweet\">\n<p lang=\"en\" dir=\"ltr\">Very few market makers experienced losses during the <a href=\"https:\/\/twitter.com\/hashtag\/COVID19?src=hash&amp;ref_src=twsrc%5Etfw\">#COVID19<\/a> selloff. They learned their lesson after the flash crash of 2010, and turned to nowcasting for managing real-time risks.<\/p>\n<p>COVID-19 should be the quant&#39;s Sputnik moment. Forecasting is the past. Nowcasting is the future <a href=\"https:\/\/t.co\/QQqm6gfDdk\">pic.twitter.com\/QQqm6gfDdk<\/a><\/p>\n<p>&mdash; Marcos L\u00f3pez de Prado (@lopezdeprado) <a href=\"https:\/\/twitter.com\/lopezdeprado\/status\/1245780823275646976?ref_src=twsrc%5Etfw\">April 2, 2020<\/a><\/p><\/blockquote>\n<p> <script async src=\"https:\/\/platform.twitter.com\/widgets.js\" charset=\"utf-8\"><\/script> <\/p>\n<blockquote class=\"twitter-tweet\">\n<p lang=\"en\" dir=\"ltr\">What are the difference between Forecasting and Nowcasting? Is Nowcasting just short-term Forecasting?<\/p>\n<p>Answers below, in a nutshell.<\/p>\n<p>For additional details: <a href=\"https:\/\/t.co\/ne5u5h9luN\">https:\/\/t.co\/ne5u5h9luN<\/a> <a href=\"https:\/\/t.co\/ci5wYUnOCR\">pic.twitter.com\/ci5wYUnOCR<\/a><\/p>\n<p>&mdash; Marcos L\u00f3pez de Prado (@lopezdeprado) <a href=\"https:\/\/twitter.com\/lopezdeprado\/status\/1246596635595018241?ref_src=twsrc%5Etfw\">April 5, 2020<\/a><\/p><\/blockquote>\n<p> <script async src=\"https:\/\/platform.twitter.com\/widgets.js\" charset=\"utf-8\"><\/script> <\/p>\n<p>\ubc1c\ud45c\uc6a9 \uc790\ub8cc\ub97c \ud06c\uac8c \uc138\uac00\uc9c0 \uc8fc\uc7a5\uc744 \ud569\ub2c8\ub2e4.<\/p>\n<blockquote><p>What lessons can we learn amid this crisis?<br \/>\n1. More nowcasting, less forecasting<br \/>\n2. Develop theories, not trading rules<br \/>\n3. Avoid all-regime strategies<\/p><\/blockquote>\n<p><img data-recalc-dims=\"1\" decoding=\"async\" src=\"https:\/\/i0.wp.com\/www.smallake.kr\/wp-content\/uploads\/2020\/04\/corona1.png?w=1130&#038;ssl=1\" alt=\"\"  class=\"aligncenter size-full wp-image-28640\" srcset=\"https:\/\/i0.wp.com\/smallake.kr\/wp-content\/uploads\/2020\/04\/corona1.png?w=1357&amp;ssl=1 1357w, https:\/\/i0.wp.com\/smallake.kr\/wp-content\/uploads\/2020\/04\/corona1.png?resize=300%2C169&amp;ssl=1 300w, https:\/\/i0.wp.com\/smallake.kr\/wp-content\/uploads\/2020\/04\/corona1.png?resize=200%2C113&amp;ssl=1 200w\" sizes=\"(max-width: 1130px) 100vw, 1130px\" \/><br \/>\n<img data-recalc-dims=\"1\" decoding=\"async\" src=\"https:\/\/i0.wp.com\/www.smallake.kr\/wp-content\/uploads\/2020\/04\/corona2.png?w=1130&#038;ssl=1\" alt=\"\"  class=\"aligncenter size-full wp-image-28639\" srcset=\"https:\/\/i0.wp.com\/smallake.kr\/wp-content\/uploads\/2020\/04\/corona2.png?w=1359&amp;ssl=1 1359w, https:\/\/i0.wp.com\/smallake.kr\/wp-content\/uploads\/2020\/04\/corona2.png?resize=300%2C168&amp;ssl=1 300w, https:\/\/i0.wp.com\/smallake.kr\/wp-content\/uploads\/2020\/04\/corona2.png?resize=200%2C112&amp;ssl=1 200w\" sizes=\"(max-width: 1130px) 100vw, 1130px\" \/><br \/>\n<img data-recalc-dims=\"1\" decoding=\"async\" src=\"https:\/\/i0.wp.com\/www.smallake.kr\/wp-content\/uploads\/2020\/04\/corona3.png?w=1130&#038;ssl=1\" alt=\"\"  class=\"aligncenter size-full wp-image-28638\" srcset=\"https:\/\/i0.wp.com\/smallake.kr\/wp-content\/uploads\/2020\/04\/corona3.png?w=1357&amp;ssl=1 1357w, https:\/\/i0.wp.com\/smallake.kr\/wp-content\/uploads\/2020\/04\/corona3.png?resize=300%2C170&amp;ssl=1 300w, https:\/\/i0.wp.com\/smallake.kr\/wp-content\/uploads\/2020\/04\/corona3.png?resize=200%2C113&amp;ssl=1 200w\" sizes=\"(max-width: 1130px) 100vw, 1130px\" \/><\/p>\n<iframe src=\"\/\/docs.google.com\/viewer?url=https%3A%2F%2Fwww.smallake.kr%2Fwp-content%2Fuploads%2F2020%2F04%2FSSRN-id3568800.pdf&hl=ko&embedded=true\" class=\"gde-frame\" style=\"width:100%; height:500px; border: none;\" scrolling=\"no\"><\/iframe>\n<p class=\"gde-text\"><a href=\"https:\/\/www.smallake.kr\/wp-content\/uploads\/2020\/04\/SSRN-id3568800.pdf\" class=\"gde-link\">Download (PDF, 1.17MB)<\/a><\/p>\n<p>2.<br \/>\nMarcos \uad50\uc218\uc758 \ud2b8\uc717\uc744 \ubcf4\uba74 \ucf54\ub85c\ub09819 \uc704\uae30\uc18d\uc5d0\uc11c \ud000\ud2b8\ub4e4\uc774 \ub9de\ub2e5\ub728\ub9b0 \uacbd\ud5d8\uc744 \ud1b5\ud55c \uad50\ud6c8 \ubc0f \uc774\ub860\uc801 \uadfc\uac70\ub97c \uc54c\ub9ac\ub294 \ub0b4\uc6a9\ub3c4 \ub9ce\uc2b5\ub2c8\ub2e4. \uc6b0\uc120 \uc9c0\ub09c \uc2dc\uae30 \uc704\uae30\ub4e4\uc744 \ubd84\uc11d\ud55c \ub17c\ubb38\uc744 \uc18c\uac1c\ud558\uace0 \uc788\uc2b5\ub2c8\ub2e4.Portfolio Management Research\uc5d0 \uc62c\ub77c\uc628 \ub17c\ubb38\uc911 Financial Crisis\uac00 \uc8fc\uc81c\uc778 \ub17c\ubb38\ub4e4\uc785\ub2c8\ub2e4.<\/p>\n<blockquote class=\"twitter-tweet\">\n<p lang=\"en\" dir=\"ltr\">Navigate your way through the current climate, our Financial Crisis Collection is open to all until 31st March! <br \/>Access the research online now <a href=\"https:\/\/t.co\/JwP5jRHakr\">https:\/\/t.co\/JwP5jRHakr<\/a> <a href=\"https:\/\/t.co\/ZQ0DstOLO3\">pic.twitter.com\/ZQ0DstOLO3<\/a><\/p>\n<p>&mdash; Portfolio Management Research (@PM_Research_) <a href=\"https:\/\/twitter.com\/PM_Research_\/status\/1242881358780944389?ref_src=twsrc%5Etfw\">March 25, 2020<\/a><\/p><\/blockquote>\n<p> <script async src=\"https:\/\/platform.twitter.com\/widgets.js\" charset=\"utf-8\"><\/script> <\/p>\n<p>\ub610\ub2e4\ub978 \ud2b8\uc717\uc740 \uc704\uae30\uc5d0 \ub300\uc751\ud558\uc9c0 \ubabb\ud558\ub294 \uc804\ub7b5\uc758 \uc57d\uc810\uc744 \uc5b4\ub5bb\uac8c \ucd5c\uc18c\ud654\ud560\uc9c0\ub97c \ub2e4\ub8e8\uace0 \uc788\uc2b5\ub2c8\ub2e4. \uacb0\ub860\uc740 \uae30\uacc4\ud559\uc2b5\uae30\uc220\uc744 \ub3c4\uc785\ud558\ub77c\ub294 \ub0b4\uc6a9\uc785\ub2c8\ub2e4.(^^)<\/p>\n<blockquote class=\"twitter-tweet\">\n<p lang=\"en\" dir=\"ltr\">Many quant funds have performed poorly during the <a href=\"https:\/\/twitter.com\/hashtag\/COVID19?src=hash&amp;ref_src=twsrc%5Etfw\">#COVID19<\/a> selloff, because they confound research with backtesting.<\/p>\n<p>In the scientific method, the purpose of testing is to refute a hypothesis, not to help formulate it. Backtest overfitting is ubiquitous: <a href=\"https:\/\/t.co\/bcUqxhRKkw\">https:\/\/t.co\/bcUqxhRKkw<\/a> <a href=\"https:\/\/t.co\/mi926ToRtu\">pic.twitter.com\/mi926ToRtu<\/a><\/p>\n<p>&mdash; Marcos L\u00f3pez de Prado (@lopezdeprado) <a href=\"https:\/\/twitter.com\/lopezdeprado\/status\/1241856542300942336?ref_src=twsrc%5Etfw\">March 22, 2020<\/a><\/p><\/blockquote>\n<p> <script async src=\"https:\/\/platform.twitter.com\/widgets.js\" charset=\"utf-8\"><\/script> <\/p>\n<iframe src=\"\/\/docs.google.com\/viewer?url=https%3A%2F%2Fwww.smallake.kr%2Fwp-content%2Fuploads%2F2020%2F04%2FSSRN-id3558728.pdf&hl=ko&embedded=true\" class=\"gde-frame\" style=\"width:100%; height:500px; border: none;\" scrolling=\"no\"><\/iframe>\n<p class=\"gde-text\"><a href=\"https:\/\/www.smallake.kr\/wp-content\/uploads\/2020\/04\/SSRN-id3558728.pdf\" class=\"gde-link\">Download (PDF, 2.38MB)<\/a><\/p>\n<blockquote class=\"twitter-tweet\">\n<p lang=\"en\" dir=\"ltr\">Prior to commissioning the strategy, evaluate its probability of a false positive: <a href=\"https:\/\/t.co\/E1EqoDRpMR\">https:\/\/t.co\/E1EqoDRpMR<\/a><\/p>\n<p>After its deployment, monitor the following:<br \/>* probability of alpha decay<br \/>* probability of strategy drift<br \/>* probability of a regime switch<a href=\"https:\/\/t.co\/UVgCMHuBnU\">https:\/\/t.co\/UVgCMHuBnU<\/a> <a href=\"https:\/\/t.co\/0DSi5vqtDT\">pic.twitter.com\/0DSi5vqtDT<\/a><\/p>\n<p>&mdash; Marcos L\u00f3pez de Prado (@lopezdeprado) <a href=\"https:\/\/twitter.com\/lopezdeprado\/status\/1235043786750738432?ref_src=twsrc%5Etfw\">March 4, 2020<\/a><\/p><\/blockquote>\n<p> <script async src=\"https:\/\/platform.twitter.com\/widgets.js\" charset=\"utf-8\"><\/script> <\/p>\n<iframe src=\"\/\/docs.google.com\/viewer?url=https%3A%2F%2Fwww.smallake.kr%2Fwp-content%2Fuploads%2F2020%2F04%2FSSRN-id3167017.pdf&hl=ko&embedded=true\" class=\"gde-frame\" style=\"width:100%; height:500px; border: none;\" scrolling=\"no\"><\/iframe>\n<p class=\"gde-text\"><a href=\"https:\/\/www.smallake.kr\/wp-content\/uploads\/2020\/04\/SSRN-id3167017.pdf\" class=\"gde-link\">Download (PDF, 912KB)<\/a><\/p>\n<p>3.<br \/>\nQuatpedia \ube14\ub85c\uadf8\uc5d0 \uc62c\ub77c\uc628 <a href=\"https:\/\/quantpedia.com\/modelling-the-bottom-of-the-covid-19-financial-crisis\/\" rel=\"noopener noreferrer\" target=\"_blank\">Modelling the Bottom of the Covid-19 Financial Crisis<\/a>\ub294 \ucf54\ub85c\ub09819\ub97c \ub2e4\ub978 \uad00\uc810\uc5d0\uc11c \uc811\uadfc\ud569\ub2c8\ub2e4.  \ucf54\ub85c\ub09819\uc758 \uc704\uae30\ub294 \uc804\uc5fc\ubcd1\uce58\ub8cc\uc758 \uc704\uae30\uc774\uba74\uc11c \uacbd\uc81c \uc704\uae30\uc774\uace0 \uc804\uc5fc\ubcd1\uc704\uae30\uac00 \ud574\uc18c\ub418\uc9c0 \uc54a\uc73c\uba74 \uacbd\uc81c \uc704\uae30 \ub610\ud55c \ud574\uc18c\ub418\uc9c0 \uc54a\uae30\ub54c\ubb38\uc5d0 \uc804\uba85\ubccc \uc608\uce21\uc774 \ubb34\ucc99 \uc911\uc694\ud558\ub2e4\uace0 \uc8fc\uc7a5\ud569\ub2c8\ub2e4.<\/p>\n<blockquote><p>The global pandemic of current scope is something that was experienced by only a few of the currently living people. We have some historical accounts of how it unfolded in the past, but otherwise, it is uncharted territory. It is a true Black Swan event \u2013 event that I believe was in nobody\u2019s lineup of stress testing scenarios. But we can still try to get some understanding of the scope of the current situation.<\/p>\n<p>The actual global crisis is a mix of 2 crisis. The first one is the health-care \/ pandemic crisis, during which millions of people will be infected, and unfortunately, a lot of people will die. The second crisis is the economic crisis\/recession, which will follow simultaneously with (or soon after) the first one (due to the decrease in worldwide supply and demand).<\/p>\n<p>The second crisis cannot end before the first one is solved. It is impossible to predict how the world will look like in three months, which health care measures and economic stimulus will be adopted. But we can say that the current situation will get worse before it is better. We cannot exactly say when the market bottom will occur, but at least we can try to model the minimum time needed for things to get under control during the pandemic. And we can say that the economic situation will probably not get better before pandemic will be under control.<\/p><\/blockquote>\n<p>\ub2e8\uc21c\ud788 \uc0dd\uac01\ud574\ubcf4\ub354\ub77c\ub3c4 \ube44\uad50\uc801 \uc815\ud655\ud788 \uc804\uc5fc\ubcd1\uc704\uae30\ub97c \uc608\uce21\ud560 \uc218 \uc788\uc73c\uba74 \uc0ac\uc804\uc5d0 \uacbd\uc81c\uc801 \ud589\ub3d9\uc744 \ud560 \uc218 \uc788\uace0 \uc774\ub97c \ud1b5\ud574 \uc774\uc775\uc744 \uc5bb\uc744 \uc218 \uc788\uc9c0\uc54a\uc744\uae4c\uc694?<\/p>\n","protected":false},"excerpt":{"rendered":"<p>1. Marcos Lopez de Prado, \uce5c\uc219\ud55c \uad50\uc218 \uc774\ub984\uc911 \ud558\ub098\uc785\ub2c8\ub2e4. \uc774 \ubd84\uc774 \uc62c\ub9b0 \ud2b8\uc717\uc5d0 \uc62c\ub77c\uc628 \ub17c\ubb38\uc785\ub2c8\ub2e4. Marcos Lopez de Prado\ub294 \ud2b8\uc717\uc744 \ud1b5\ud574 \ucf54\ub85c\ub09819\uc758 \uc704\uae30\ub97c \uae08\uc735\uacf5\ud559, \uc790\uc0b0\uc6b4\uc6a9\uc774\ub77c\ub294 \uad00\uc810\uc73c\ub85c \ud574\uc11d\ud558\uc5ec \uad50\ud6c8\uc744 \uacc4\uc18d\ud574\uc11c \uc62c\ub9ac\uace0 \uc788\uc2b5\ub2c8\ub2e4. \uc774\ub7f0 \ub0b4\uc6a9\uc744 \ucd1d\uc815\ub9ac\ud55c \ub17c\ubb38\uc774 &#8216;Three Quant Lessons from COVID-19&#8217;\uc785\ub2c8\ub2e4. \uc800\uc790\uc758 \uc8fc\uc7a5\uc740 \ud06c\uac8c \uc138\uac00\uc9c0\uc785\ub2c8\ub2e4. Very few market makers experienced losses during the #COVID19 selloff. They learned their lesson after the&#8230;<br \/><a class=\"read-more-button\" href=\"https:\/\/smallake.kr\/?p=28627\">Read more<\/a><\/p>\n","protected":false},"author":1,"featured_media":28643,"comment_status":"open","ping_status":"closed","sticky":false,"template":"","format":"standard","meta":{"nf_dc_page":"","om_disable_all_campaigns":false,"_monsterinsights_skip_tracking":false,"_monsterinsights_sitenote_active":false,"_monsterinsights_sitenote_note":"","_monsterinsights_sitenote_category":0,"_jetpack_newsletter_access":"","_jetpack_dont_email_post_to_subs":false,"_jetpack_newsletter_tier_id":0,"_jetpack_memberships_contains_paywalled_content":false,"_jetpack_feature_clip_id":0,"_jetpack_memberships_contains_paid_content":false,"footnotes":"","jetpack_publicize_message":"Three Quant Lessons from COVID-19. \ubbf8\uad6d\ucf54\ub12c\ub300 \uad50\uc218\uc774\uc790 \ud380\ub4dc\ub9e4\ub2c8\uc800\uc778\uc778 \ubd84\uc758 \ubc1c\ud45c\uc790\ub8cc\uc785\ub2c8\ub2e4. \"More nowcasting, less forecasting!. Develop theories, not trading rules!\"","jetpack_publicize_feature_enabled":true,"jetpack_social_post_already_shared":true,"jetpack_social_options":{"image_generator_settings":{"template":"highway","default_image_id":0,"font":"","enabled":false},"version":2},"jetpack_post_was_ever_published":false},"categories":[7],"tags":[3450,2366,403,244,3437],"class_list":["post-28627","post","type-post","status-publish","format-standard","has-post-thumbnail","hentry","category-7","tag-corona19","tag-quant","tag-403","tag-244","tag-3437"],"aioseo_notices":[],"aioseo_head":"\n\t\t<!-- All in One SEO 4.9.8 - aioseo.com -->\n\t<meta name=\"robots\" content=\"max-image-preview:large\" \/>\n\t<meta name=\"author\" content=\"smallake\"\/>\n\t<meta name=\"keywords\" content=\"corona19,quant,\uacbd\uc81c\uc704\uae30,\uae08\uc735\uacf5\ud559,\ucf54\ub85c\ub09819\" \/>\n\t<link rel=\"canonical\" href=\"https:\/\/smallake.kr\/?p=28627\" \/>\n\t<meta name=\"generator\" content=\"All in One SEO (AIOSEO) 4.9.8\" 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