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can crypto pairs be modeled as an Ornstein-Uhlenbeck process?
| Impertinent sanctuary mediation | 11/30/17 |
| Impertinent sanctuary mediation | 11/30/17 |
| swashbuckling reading party bawdyhouse | 11/30/17 |
| Impertinent sanctuary mediation | 11/30/17 |
| swashbuckling reading party bawdyhouse | 11/30/17 |
| Impertinent sanctuary mediation | 12/01/17 |
| swashbuckling reading party bawdyhouse | 12/02/17 |
| Impertinent sanctuary mediation | 12/05/17 |
| Impertinent sanctuary mediation | 12/11/17 |
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Date: November 30th, 2017 1:47 AM Author: Impertinent sanctuary mediation 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: Impertinent sanctuary mediation (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: swashbuckling reading party bawdyhouse 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: Impertinent sanctuary mediation 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: swashbuckling reading party bawdyhouse 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: Impertinent sanctuary mediation 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: swashbuckling reading party bawdyhouse 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: Impertinent sanctuary mediation 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: Impertinent sanctuary mediation (http://www.autoadmit.com/thread.php?thread_id=3813284&forum_id=7#34893020) |