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

estimating the parameters of an observed multi-dimensional O...
frisky spectacular police squad public bath
  11/30/17
...
frisky spectacular police squad public bath
  11/30/17
can we use this to predict when moon?
Irate Multi-billionaire Principal's Office
  11/30/17
yup
frisky spectacular police squad public bath
  11/30/17
how
Irate Multi-billionaire Principal's Office
  11/30/17
someone here has to understand this
frisky spectacular police squad public bath
  12/01/17
I know lasso and those things but this is PhD level shit
Irate Multi-billionaire Principal's Office
  12/02/17
it should be reasonably accessible to anyone with a solid ba...
frisky spectacular police squad public bath
  12/05/17
...
frisky spectacular police squad public bath
  12/11/17


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Date: November 30th, 2017 1:47 AM
Author: frisky spectacular police squad public bath

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: frisky spectacular police squad public bath



(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: Irate Multi-billionaire Principal's Office

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: frisky spectacular police squad public bath

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: Irate Multi-billionaire Principal's Office

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: frisky spectacular police squad public bath

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: Irate Multi-billionaire Principal's Office

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: frisky spectacular police squad public bath

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: frisky spectacular police squad public bath



(http://www.autoadmit.com/thread.php?thread_id=3813284&forum_id=7#34893020)