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can crypto pairs be modeled as an Ornstein-Uhlenbeck process?
| Crimson Beady-eyed Hall Mood | 11/30/17 |
| Crimson Beady-eyed Hall Mood | 11/30/17 |
| Burgundy corner | 11/30/17 |
| Crimson Beady-eyed Hall Mood | 11/30/17 |
| Burgundy corner | 11/30/17 |
| Crimson Beady-eyed Hall Mood | 12/01/17 |
| Burgundy corner | 12/02/17 |
| Crimson Beady-eyed Hall Mood | 12/05/17 |
| Crimson Beady-eyed Hall Mood | 12/11/17 |
Poast new message in this thread
Date: November 30th, 2017 1:47 AM Author: Crimson Beady-eyed Hall Mood 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: Crimson Beady-eyed Hall Mood (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: Burgundy corner 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: Crimson Beady-eyed Hall Mood 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: Burgundy corner 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: Crimson Beady-eyed Hall Mood 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: Burgundy corner 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: Crimson Beady-eyed Hall Mood 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: Crimson Beady-eyed Hall Mood (http://www.autoadmit.com/thread.php?thread_id=3813284&forum_id=7#34893020) |