Piotr’s Substack
Piotr PomorskiStuff I publish on LinkedIn and Twitter but longer
| Platform |  | Pricing | Only free issues | Publishes | Monthly |
|---|---|---|---|---|---|
| Issues | 18 | Founded | 3 years ago | Last Issue | 3 months ago |
| Active | |||||
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piotrpomorski.substack.comLatest Issues
Tactical Asset Allocation with ML and Black-Litterman: Some Theory, Some Practice, Surprisingly Decent Results
Introduction
Most people get tactical asset allocation wrong in the same way: they build a model that spits out expected returns, shove those into a mean-variance optimizer, and end up with a portfolio that puts 90% into whatever had th...
FX Predictions: Some Brief Thoughts
From my experience (and I bet others would agree), FX is often much easier to predict over the long term than other asset classes. The reason is simple: FX is primarily driven by macro factors, which move far more slowly than Arsenal fans’...
Volatility-Volume Slippage Model
Several months ago, I published an X post that incorporated my Volatility–Volume Slippage Model, but it had some flaws—particularly in terms of dynamism and in not fully addressing liquidity issues.
Here’s a quick update showing what the n...
The ML Algorithms Guide Nobody Asked For (But Everyone Needs)
So you’ve finished your ML course, read all the Kaggle kernels, and now you’re staring at actual production data thinking “what the hell do I actually tune here?” Yeah, I’ve been there. Turns out there’s a massive gap between knowing what g...
TSFresh: From One Price to 800+ Features
Ever wondered how much signal you can squeeze out of a single price series? I mean, we've all been there—staring at a column of closing prices thinking "surely there's more to this than just the raw numbers." Well, spoiler alert: there abso...
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Quant, ML Engineer, Data Scientist | PhD @ UCL | CFA Charter Holder | I try posting interesting stuff
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