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can crypto pairs be modeled as an Ornstein-Uhlenbeck process?
| Laughsome impertinent voyeur | 11/30/17 |
| Laughsome impertinent voyeur | 11/30/17 |
| abnormal concupiscible athletic conference | 11/30/17 |
| Laughsome impertinent voyeur | 11/30/17 |
| abnormal concupiscible athletic conference | 11/30/17 |
| Laughsome impertinent voyeur | 12/01/17 |
| abnormal concupiscible athletic conference | 12/02/17 |
| Laughsome impertinent voyeur | 12/05/17 |
| Laughsome impertinent voyeur | 12/11/17 |
Poast new message in this thread
Date: November 30th, 2017 1:47 AM Author: Laughsome impertinent voyeur estimating the parameters of an observed multi-dimensional OU process is typically accomplished via maximum likelihood estimation, but the problem with MLE is that it becomes computationally intractable as dimensionality increases. the goal of statistical arbitrage is to hedge risk (e.g., by taking opposite positions on highly cointegrated pairs of market-traded goods), but the amount of data required for statistical significance grows exponentially with the number of market-traded goods (e.g., with each crypto market).
here's a paper that uses adaptive lasso to model a multi-dimensional OU process subject to a row-sparsity assumption: https://arxiv.org/pdf/1707.03010.pdf |
Date: November 30th, 2017 2:49 AM Author: Laughsome impertinent voyeur (http://www.autoadmit.com/thread.php?thread_id=3813284&forum_id=7#34804050) |
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Date: November 30th, 2017 4:54 AM Author: abnormal concupiscible athletic conference can we use this to predict when moon? (http://www.autoadmit.com/thread.php?thread_id=3813284&forum_id=7#34804303) |
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Date: November 30th, 2017 6:43 AM Author: Laughsome impertinent voyeur yup (http://www.autoadmit.com/thread.php?thread_id=3813284&forum_id=7#34804399) |
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Date: November 30th, 2017 8:22 AM Author: abnormal concupiscible athletic conference how (http://www.autoadmit.com/thread.php?thread_id=3813284&forum_id=7#34804548) |
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Date: December 1st, 2017 5:09 PM Author: Laughsome impertinent voyeur someone here has to understand this (http://www.autoadmit.com/thread.php?thread_id=3813284&forum_id=7#34817131) |
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Date: December 2nd, 2017 5:36 AM Author: abnormal concupiscible athletic conference I know lasso and those things but this is PhD level shit (http://www.autoadmit.com/thread.php?thread_id=3813284&forum_id=7#34820201) |
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Date: December 5th, 2017 10:33 PM Author: Laughsome impertinent voyeur it should be reasonably accessible to anyone with a solid background in statistics (http://www.autoadmit.com/thread.php?thread_id=3813284&forum_id=7#34849196) |
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Date: December 11th, 2017 6:24 PM Author: Laughsome impertinent voyeur (http://www.autoadmit.com/thread.php?thread_id=3813284&forum_id=7#34893020) |