This is a summary of links featured on Quantocracy on Saturday, 04/08/2017. To see our most recent links, visit the Quant Mashup. Read on readers!
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Can We Use Mixture Models to Predict Market Bottoms? (Part 2) [Black Arbs]In the previous post I gave a basic "proof" of concept, where we designed a trading strategy using Sklearn's implementation of Gaussian mixture models. The strategy attempts to predict an asset's return distribution such that returns that fall outside the predicted distribution are considered outliers and likely to mean revert. It showed some promise but had many areas in need