hueyduck

As the football/soccer season is drawing to an end, let's see what Colley's method has to say about the overall performance of each club in the "Big Five" European football leagues. Note that Colley's method is an algorithm that takes both 1) how a team did and 2) how the team's opponent did into account when ranking performance.

Sample: all matches from the "Big Five" leagues plus Champions League and Europa League during the 2019-20 season

Thanks for the support! I am in EDT (GMT-4).

Excellent point - I've actually read [1] but not [2]. It's worth noting that neither of them suffers from the same negative weights problem that I am seeing, which is probably due to the fact that 1) an explicit bound between 0 and 1 is imposed on the weights 2) (to a much lesser extent) the analysis is conducted conditional on a specific realized path as of Wednesday.

I think that's where I first learned the term "corner the market".

Thanks for sharing my post here. There's actually one more thing I tried but didn't make it into the post - if we treat the 12 trading windows as distinct asset classes characterized by their own expected return/volatility plus the pair-wise correlations, it's possible to construct tangent portfolio/efficient frontier and get the optimal weights. The negative expected return on a few of them certainly makes the exercise less meaningful though.