This is a summary of links featured on Quantocracy on Thursday, 11/04/2021. To see our most recent links, visit the Quant Mashup. Read on readers!
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The Longest Winning Streak for Bitcoin [Quant at Risk]In the previous article Estimating Probability of Bitcoin Pullback in its Bullish Market we touched an interesting point worth exploring a bit further. Namely, the probability of Bitcoin close-price closing each day higher than a day ago days in a row. We had seen that in July 2021 Bitcoin moved and closed higher 10x in a row. We showed how to calculate the probability of a pullback in Bitcoin
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New Site: Portfolio Diversification Via K-means [Machine Learning Applied]We use the K-means algorithm to answer two questions regarding portfolio diversification. How diversified is a given portfolio? How can a diversified portfolio be constructed? Additionally, we use the multidimensional scaling (MDS) algorithm to visualize results. Procedure Take the last 120 days of adjusted close data. Zscore the data (substract the mean and divide by the standard deviation).
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Using Machine Learning to Predict Options Returns [Alpha Architect]Though classical option pricing models assume that options are redundant assets, more recent research rejects this idea. However, research on cross-sectional predictors of option returns is relatively scarce and not very well understood. Contrarily, extensive literature examines cross-sectional determinants of stocks, bonds, currencies, mutual funds, and hedge funds. In this paper, the authors use