Bayesian regression and bitcoin miner
This kind of trading is good for price stability over the short term. Let's hope it becomes more widely adopted. If you take part in an experiment then you affect the outcome of the experiment. If you observe how cattles graze and the environment that predicts their habits is one thing. But to graze with the cattles is another. By taking part in the experiment the outcome over time is not predictable. You add an element to the unpredictability.
There is indeed nothing new with this approach: I used it back in when trading on the interest rate futures for a French bank, then a Houston-based Commodity trading advisor. The returns were good. Am I missing something? It appears these guys didn't actually trade anything.
So these results mean nothing. My algorithm did 80x over 6 months and I'm an undergrad working alone Bayesian regression was used 25 years ago to predict stock returns with no great success. The problem is data-mining bias, which the authors do not address. They select the best performing models without a correction for multiple comparisons. Obviously, the best model did well but many other models failed. The problem is which model to use forward.
Add friction and you get a negative result. Let the algorithm wars commence! If you want to make money, find an unsophisticated place and start a smart war. The algorithm that evolves the quickest wins.
Long-Term Capital Management rev 2. Taleb has written extensively on the errors of this general approach. Interesting how people are attracted to the idea of getting money without producing anything of value. If you give me the ton of money that those guys got to produce such a crappy paper, I will debunk it and explain everything that is wrong with this They would have done better to simply buy at the start and sell at the end.
This is all over fitted. These sort of papers are worth less than the paper to print them. It is a shame that prestigious institutions such as MIT allow to publish such a rubbish.
I am in the business of automated trading since years and papers showing such results are seldom reproducible. Authors claiming such a performance should either a provide access to code and data to make their experiments reproducible after all this is science , or b stop working in academia and start their hedge fund.
Those not acting according to a or b are charlatans, see http: Note that someone tried to reproduce the results of the paper here: The heavy math needs the manually picked-up clusters to work Fluorescent dye could enable sharper biological imaging Depth-sensing imaging system can peer through fog Scientists gain new visibility into quantum information transfer Exploring his depth of field.
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Comments Kenneth October 21, How do I give you my money? MIT team led by Indian-origin researcher develop algorithm to predict price of Bitcoin. Devavrat Shah, Kang Zhang. But I find difficulty in believing that simple Bayesian regression can. You can use the Bayesian Linear Regression module to create a regression model based on Bayesian statistics.
The project will see how students use their Bitcoins when their whole community. Variational Bayesian inference for linear and logistic regression: BTCpredictor - Bitcoin price prediction algorithm using bayesian regression techniques. OKCoin could help predict the future price of the currency when the Bayesian regression algorithm is.
Continue reading Bayesian Correlation is a Distribution: It is also heading for a legal and social catastrophe at an ever accelerating pace.