This is a summary of links featured on Quantocracy on Wednesday, 08/14/2019. To see our most recent links, visit the Quant Mashup. Read on readers!
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Synthetic ETF Data Generation (Part-2) – Gaussian Mixture Models [Black Arbs]This post is a summary of a more detailed Jupyter (IPython) notebook where I demonstrate a method of using Python, Scikit-Learn and Gaussian Mixture Models to generate realistic looking return series. In this post we will compare real ETF returns versus synthetic realizations. To evaluate the similarity of the real and synthetic returns we will compare the following: visual inspection histogram