berty62 / Bayesian_Statistics_Equity_Prediction

Using the 10 last days of S&P 500 mouvements (Up, Down & Flat) to predict a "naive" most likely move for the next day -- Bayesian Statistics project for ENSAE

Bayesian Statistics for equity mouvements' prediction

We used bayesian statistics methods with a view to predicting equity market's mouvement. During the backtest (on the S&P 500 index), we obtained a performance of +1.83% on a 10 days period.

This repository hosts the project for the Bayesian Statistics course at ENSAE, made by Nathan BRY & Bertrand VUILLEMOT. It contains :

• The report describing the rationale of the bayesian model and the results of backtest : Report.pdf
• The notebook containing the code concerning the implementation of both the model and the backtest : Final_StatsBay.ipynb