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can crypto pairs be modeled as an Ornstein-Uhlenbeck process?
| frisky spectacular police squad public bath | 11/30/17 |
| frisky spectacular police squad public bath | 11/30/17 |
| Irate Multi-billionaire Principal's Office | 11/30/17 |
| frisky spectacular police squad public bath | 11/30/17 |
| Irate Multi-billionaire Principal's Office | 11/30/17 |
| frisky spectacular police squad public bath | 12/01/17 |
| Irate Multi-billionaire Principal's Office | 12/02/17 |
| 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 |
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) |