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

estimating the parameters of an observed multi-dimensional O...
Slate floppy state
  11/30/17
...
Slate floppy state
  11/30/17
can we use this to predict when moon?
hairraiser twinkling uncleanness market
  11/30/17
yup
Slate floppy state
  11/30/17
how
hairraiser twinkling uncleanness market
  11/30/17
someone here has to understand this
Slate floppy state
  12/01/17
I know lasso and those things but this is PhD level shit
hairraiser twinkling uncleanness market
  12/02/17
it should be reasonably accessible to anyone with a solid ba...
Slate floppy state
  12/05/17
...
Slate floppy state
  12/11/17


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Date: November 30th, 2017 1:47 AM
Author: Slate floppy state

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: Slate floppy state



(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: hairraiser twinkling uncleanness market

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: Slate floppy state

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: hairraiser twinkling uncleanness market

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: Slate floppy state

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: hairraiser twinkling uncleanness market

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: Slate floppy state

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: Slate floppy state



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