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can crypto pairs be modeled as an Ornstein-Uhlenbeck process?
| Violet Irate Indian Lodge | 11/30/17 |
| Violet Irate Indian Lodge | 11/30/17 |
| frozen shrine clown | 11/30/17 |
| Violet Irate Indian Lodge | 11/30/17 |
| frozen shrine clown | 11/30/17 |
| Violet Irate Indian Lodge | 12/01/17 |
| frozen shrine clown | 12/02/17 |
| 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 |
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) |