Python and AQR Capital Management

Anyone who uses Python knows what Pandas is and has used it, I think. Wes McKinney developed Pandas while at AQR Capital Management (AQR) for manipulating financial data at AQR. AQR manages over $217 Billion. Cool enough.

We can now get insight to how Python and Pandas is used at AQR. Marcos Lopez de Prado continues to work at AQR. He has written a book that outlines the general methods used at AQR and the book includes usable code! The name of his book is “Advances in Financial Machine Learning.” The hardcover cost $15.09 at Amazon.com.

There are a lot of different ways to look at what is in the book. For this post I will just observe that what P123 does is similar. I guess 2+2=4 wherever it is tried. Not that it would be a bad idea to borrow from some of the ideas that are not currently being used at P123.

Every bit (and byte) is open-source.

-Jim