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

estimating the parameters of an observed multi-dimensional O...
Violet Irate Indian Lodge
  11/30/17
...
Violet Irate Indian Lodge
  11/30/17
can we use this to predict when moon?
frozen shrine clown
  11/30/17
yup
Violet Irate Indian Lodge
  11/30/17
how
frozen shrine clown
  11/30/17
someone here has to understand this
Violet Irate Indian Lodge
  12/01/17
I know lasso and those things but this is PhD level shit
frozen shrine clown
  12/02/17
it should be reasonably accessible to anyone with a solid ba...
Violet Irate Indian Lodge
  12/05/17
...
Violet Irate Indian Lodge
  12/11/17


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Date: November 30th, 2017 1:47 AM
Author: Violet Irate Indian Lodge

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: Violet Irate Indian Lodge



(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: frozen shrine clown

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: Violet Irate Indian Lodge

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: frozen shrine clown

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: Violet Irate Indian Lodge

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: frozen shrine clown

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: Violet Irate Indian Lodge

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: Violet Irate Indian Lodge



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