The goal of this project is to use some of the historical price data on cryptocurrencies to develop a portfolio selection algorithm. We improve a basic ARI model with no hyperparameter optimization from 24% returns to 32% returns.
An MCMC implementation of the generalized Wishart process
The goal of this project is to use some of the historical price data on cryptocurrencies to develop a portfolio selection algorithm. We improve a basic ARI model with no hyperparameter optimization from 24% returns to 32% returns.
An MCMC implementation of the generalized Wishart process