11. Time- and State-Dependent Resampling
Автор: Fortitudo Technologies
Загружено: 2025-04-19
Просмотров: 381
This is the twelfth video in the open-source fortitudo.tech Python package playlist: https://github.com/fortitudo-tech/for...
This video goes through the Time- and State-Dependent Resampling SSRN article available at https://ssrn.com/abstract=5117589
It also goes through the article's Python code available at https://github.com/fortitudo-tech/for...
Time- and State-Dependent Resampling is a new general class of time series resampling methods for high-dimensional investment market simulation.
The Fully Flexible Resampling method, first introduced in Chapter 3 of the Portfolio Construction and Risk Management book (https://antonvorobets.substack.com/p/..., is an instance of the Time- and State-Dependent Resampling class.
You can read more about the relation between the Fully Flexible Resampling method and the Time- and State-Dependent Resampling class here: https://antonvorobets.substack.com/p/...
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