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can crypto pairs be modeled as an Ornstein-Uhlenbeck process?
| Crusty out-of-control bbw hospital | 11/30/17 |
| Crusty out-of-control bbw hospital | 11/30/17 |
| Marvelous rebellious public bath | 11/30/17 |
| Crusty out-of-control bbw hospital | 11/30/17 |
| Marvelous rebellious public bath | 11/30/17 |
| Crusty out-of-control bbw hospital | 12/01/17 |
| Marvelous rebellious public bath | 12/02/17 |
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| Crusty out-of-control bbw hospital | 12/11/17 |
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Date: November 30th, 2017 1:47 AM Author: Crusty out-of-control bbw hospital 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: Crusty out-of-control bbw hospital (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: Marvelous rebellious public bath 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: Crusty out-of-control bbw hospital 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: Marvelous rebellious public bath 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: Crusty out-of-control bbw hospital 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: Marvelous rebellious public bath 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: Crusty out-of-control bbw hospital 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: Crusty out-of-control bbw hospital (http://www.autoadmit.com/thread.php?thread_id=3813284&forum_id=7#34893020) |