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can crypto pairs be modeled as an Ornstein-Uhlenbeck process?

estimating the parameters of an observed multi-dimensional O...
Laughsome impertinent voyeur
  11/30/17
...
Laughsome impertinent voyeur
  11/30/17
can we use this to predict when moon?
abnormal concupiscible athletic conference
  11/30/17
yup
Laughsome impertinent voyeur
  11/30/17
how
abnormal concupiscible athletic conference
  11/30/17
someone here has to understand this
Laughsome impertinent voyeur
  12/01/17
I know lasso and those things but this is PhD level shit
abnormal concupiscible athletic conference
  12/02/17
it should be reasonably accessible to anyone with a solid ba...
Laughsome impertinent voyeur
  12/05/17
...
Laughsome impertinent voyeur
  12/11/17


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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

(http://www.autoadmit.com/thread.php?thread_id=3813284&forum_id=7#34803934)



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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)