Skip to content
This repository was archived by the owner on Apr 27, 2022. It is now read-only.

Use Student's T to totally overfit expected stock returns - #10

Open
willb wants to merge 1 commit into
radanalyticsio:masterfrom
willb:better-model
Open

Use Student's T to totally overfit expected stock returns#10
willb wants to merge 1 commit into
radanalyticsio:masterfrom
willb:better-model

Conversation

@willb

@willb willb commented Nov 15, 2017

Copy link
Copy Markdown
Member

This commit changes the simulation to use Student's T instead of a normal distribution. Specifically:

  1. instead of calculating mean and variance, we fit a Student's T distribution to observed stock returns,
  2. each simulation step samples from the appropriate T distribution to determine predicted returns

Note that the worker image must have scipy version 0.17.1 installed.

Sign up for free to subscribe to this conversation on GitHub. Already have an account? Sign in.

Labels

None yet

Projects

None yet

Development

Successfully merging this pull request may close these issues.

1 participant