Tag: QuantInsti

Mean Reversion Strategies in Python (Course Review)

This post contains affiliate links. An affiliate link means Blackarbs may receive compensation if you make a purchase through the link, without any extra cost to you. Blackarbs strives to promote only products and services which provide value to my business and those which I believe could help you, the reader. In this post I will be reviewing the course “Mean Reversion Strategies by Dr. E.P. Chan” (<—affiliate link, use discount code LONGSHORT for an additional 5% off at checkout). First off, f

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Can We Use Mixture Models to Predict Market Bottoms? (Part 3)

Post Outline * Recap * Webinar Hypothesis * Anaylsis/Conclusions * Jupyter (IPython) Notebook * Github Links and Resources Recap Thus far in the series we've explored the idea of using Gaussian mixture models (GMM) to predict outlier returns. Specifically, we were measuring two things: 1. The accuracy of the strategy implementation in predicting return distributions. 2. The return pattern after an outlier event. During the exploratory phase of this project there were some interestin

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