Reinforcement Learning for Orders Execution in Modern Quantitative Finance

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This article presents a review, discussion and implementation of the paper Censored Exploration and the Dark Pool Problem by Kuzman Ganchev, Michael Kearns, Yuriy Nevmyvaka and Jennifer Wortman Vaughan from the Computer and Information Science department of the University of Pennsylvania. You can find it here.

It is quite long because I try to be exhaustive on the mathematical arguments that guarantee the efficiency of the proposed algorithms. I also think it really helps understanding what everything is about. …


Principal Component Analysis on Sentence Embeddings

Image by the author. Source code

In this blog post, I will present how you can perform usual data analysis on complex data, such as sentence embeddings from transformers. The full notebook can be found here.

In the Actuarial Loss Competition on Kaggle, we have to predict insurance claim costs for workers injuries. We are given a number of very classical features, such as age, salary, number of dependent children etc., but also a short text description of the nature and circumstances of the accident, and we have to predict the ultimate cost of that claim.

The specificity of this work is, first, that I have…


Half of a Yellow Sun by Chimamanda Ngozi Adichie

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This is the fifth episode of a series of personal book reviews. Please follow me if you enjoyed it and want to read my next stories, feel free to leave your own comments, or contact me if you would like me to write a personal analysis of one of your favorite literary pieces !

Disclaimer : All opinions expressed here are my own and do not necessarily reflect a general truth nor the opinions of anyone else.

Content : 10/10 |

There are some things that are so unforgivable that they make other things easily forgivable.

This book is the story of dozens of…


How a prodigy of business ruined his multi-billion start-up and why the world’s top investors fell for his fantasies

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This is the fourth episode of a series of personal book reviews. Please follow me if you enjoyed it and want to read my next stories, feel free to leave your own comments, or contact me if you would like me to write a personal analysis of one of your favorite literary pieces !

Disclaimer : All opinions expressed here are my own and do not necessarily reflect a general truth nor the opinions of anyone else.

Content : 8/10 |

This book is as much as a multi-characters biography as a historical study of a very particular time, the 2010’s : in the…


Running Your Data Preprocessing Pipeline End-to-End on GPU

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This blog post intends to present the feature selection notebook I recently published in the ongoing Mechanisms of Action Kaggle competition.

Exploratory data analysis, and especially getting an idea of features importance, is a crucial step when confronted with a data science problem. However, this step can often be trying if your database is huge, with numerous interconnexions, making the analysis costly in computing time.

GPUs are great at improving computing time… if you can use them ! Indeed, their use is often dedicated to training neural networks, thanks to powerful frameworks (Tensorflow or Pytorch are the most famous) that…


Why You Should Stake Everything On LinkedIn Right Now

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Disclaimer : This story is inspired by this excellent New York Times article.

The worldwide lockdowns have created a massive tsunami on workplaces : numerous unhealthy companies have received the final blow, other promising startups have seen profits skyrocket and are experiencing a historical boom.

Let’s try to look at it from a positive point of view : economic crises are always good times for new beginnings. Obsolete branches collapse, others emerge, century-old giants with feet of clay file for bankruptcy, and time is ripe for renewal and innovation. …


Talking about death isn’t important. It’s a necessity.

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This is the third episode of a series of personal book reviews. Please follow me if you enjoyed it and want to read my next stories, feel free to leave your own comments, or contact me if you would like me to write a personal analysis of one of your favorite literary pieces !

Disclaimer : All opinions expressed here are my own and do not necessarily reflect a general truth nor the opinions of anyone else.

I may not be the first one to say it, but I will anyway :

Harry Potter changed my life, for the best.


How well-targeted advertising can make your profits skyrocket

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The main flaw of the baby entrepreneur, especially if he or she comes from a technical or technological background and is full of ideas but with little in-depth knowledge of business management, is to underestimate the phenomenal impact marketing can have on a very young company.

Coming myself from a background where technical mastery and innovation are essential, I’ve always been bathed in the idea that, as long as your project makes sense, is creative and groundbreaking, then customers will come on their own, and that it’s better to focus on developing product performance rather than setting up a sound…


A Book About Cruelty, Friendship, and Lonelihood

Photo by Kevin Gent on Unsplash

This is the second episode of a series of personal book reviews. Please follow me if you enjoyed it and want to read my next stories, feel free to leave your own comments, or contact me if you would like me to write a personal analysis of one of your favorite literary pieces !

Disclaimer : All opinions expressed here are my own and do not necessarily reflect a general truth nor the opinions of anyone else.

Content : 10/10 |

I first read the book in its French translation at least a dozen times before I actually read it in English. It was…


How To Get High Performing Models In Competitions

Photo by 🇨🇭 Claudio Schwarz | @purzlbaum on Unsplash

If you recently got started on Kaggle, or if you are an old regular of the platform, you probably wonder how to easily improve the performance of your model. Here are some practical tips I’ve accumulated through my Kaggle journey. So, either build your own model or just start from a baseline public kernel, and try implementing these suggestions !

1. Always review past competitions

Although Kaggle’s policy is to never feature twice an identical competition, there are often remakes of very similar problems. For example, some hosts propose a regular challenge on the same theme yearly (NFL’s Big Data Bowl for example), with only…

Louise Ferbach

Passionnate Kaggler & Book Reader.

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