OKRs: Data collection
- Collect minute level market data for SPY
- Calculate deltas
Density Estimation
- Decide on a density estimation method (or two)
- MAP estimation (Gaussian & Fat tailed)
- KDEs
- Mixture models
- Log-Spline model
- Implement chosen density estimation model
Time Series Estimation
- Decide on time series estimation method depending on density technique
- ARIMA
- Implement chosen time series model
Evaluation
- Evaluate using Kolmogorov-Smirnov Testing
- Compare estimations between time frames with KL-Divergence and Wasserstein Metric
- Build system w/ simple strategy to paper trade
Reach Goals
- Online Model
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