I used to work on the development of statistical filters and the KPI by blending the stats such as Sortino Ratio, Omega Ratio, Skewness, Kurtosis and so on for selecting and ranking Equities/ETFs/Hedge Funds. Today some thoughts pop into my head few hours after the talks. I ask myself why not implement the statistics of those Equities/ETFs/Hedge Funds and the mean reversion models into the SVM. SVM can handle the selection and filtering things. I use the SVM to do the pattern recognition for trading strategies. Obviously, it can also help me classify and find the patterns within those assets across the investment universe!
No comments:
Post a Comment