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Use Student's T to totally overfit expected stock returns #10

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willb wants to merge 1 commit into radanalyticsio:master from willb:better-model

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willb commented Nov 15, 2017 •

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This commit changes the simulation to use Student's T instead of a normal distribution. Specifically:

instead of calculating mean and variance, we fit a Student's T distribution to observed stock returns,
each simulation step samples from the appropriate T distribution to determine predicted returns

Note that the worker image must have scipy version 0.17.1 installed.


          Use Student's T to totally overfit stock returns

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