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Conversation

Daniel McKinnon

@danielmckinn0n

I'd always wondered why Bayesian methods weren't applied to more domains. The answer came to me after building a Bayesian Fama-French model for forecasting asset prices. In this case, Bayesian == frequentist with a 1,000x increase in computational cost!

Bayesian Factor Modeling for Market Forecasting - Daniel D. McKinnon

If you find this post interesting, check out A practical treatise on pairs trading, Bellman-Ford, Shannon’s Demon, and order book pressure: Tales from 18 months of cryptocurrency arbitrage Introduc...

5:34 PM · Jun 15, 2020

Replying to

@danielmckinn0n

Thanks for the fun evening read!

Replying to

@danielmckinn0n

I too had to learn this the hard way. Hoping that falling compute cost and improved Bayes tech (like probabalistic programming) fixes this over time.

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